Strategy #0000000063 · Macroeconomic events and event-driven strategies
Macroeconomic announcement-day premium
Separate event-day and non-event returns, using cash as the non-event baseline.
Announcement-day strategies build on research that average returns or risk compensation may differ on scheduled macro-news days. The rule holds equities on event days and cash otherwise. It depends on event definitions, release timing, intraday risk, data revisions and sample selection.
Research findings are not fixed laws or causal guarantees; event definitions, sample periods and costs matter.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
How does holding equities only on scheduled announcement days compare with staying invested throughout?
Nora divides the trading year into scheduled announcement days and all other days. She enters event-day equity return, non-event equity return and cash return separately.
The simulator combines event-day equity with non-event cash, subtracts switching cost and compares it with remaining fully invested. Daily returns are scenario averages.
Studies examine particular historical samples; they do not imply a premium every year or at every FOMC meeting. Event-day positions still face gaps, intraday volatility and policy surprises.
- Event equity plus cash on other daysEnter event-day count and three daily return assumptions to compare event exposure with always-equity for one simplified year.
- Always-equity scenarioNo announcement calendar or daily prices are loaded; average daily returns are summed without compounding, volatility or risk adjustment.
- Difference before risk adjustmentIllustrative expiry outcome.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
R_{event}=N_e r_e+(N-N_e)r_c-C,\quad R_{equity}=N_e r_e+(N-N_e)r_o
N is trading days; N_e event days; r_e, r_o and r_c are event-equity, other-day equity and cash daily returns; C is strategy cost.
Greeks: the directional intuition
- 事件樣本
- Measures sensitivity to implied volatility.
- 非同步風險
- Measures sensitivity to implied volatility.
- 執行成本
- Measures sensitivity to implied volatility.
R_{event}=N_e r_e+(N-N_e)r_c-C,\quad R_{equity}=N_e r_e+(N-N_e)r_o
Practical context · published observations
Macroeconomic announcement-day premium: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
不載入公告行事曆或日線資料；把平均日報酬相加，忽略複利、波動和風險調整，僅作情境。 Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Related methods use different signals and assumptions.
Compare the rule, exposure and implementation limits.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| FOMC-cycle exposure | Meeting cycle | Holds market exposure in selected meeting-cycle weeks. | Sensitive to cycle and meeting-date definitions. |
| Announcement-day beta spread | Event-day risk pricing | Tilts to high beta on event days and lower beta otherwise. | Beta estimation and event-sample risk. |
| Pre-announcement drift | Expectation formation | Studies return and uncertainty premia before releases. | Surprises and information leakage are hard to identify live. |
No announcement calendar or daily prices are loaded; average daily returns are summed without compounding, volatility or risk adjustment.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.