Research // economic release studies

How far markets move.
After the data.

For each scheduled US economic release, how far the Nasdaq-100, S&P 500 and long Treasury funds moved in the 5 and 30 minutes after it, against the same half hour on the business day before. Size, not direction, with the number of releases behind every figure.

  1. n = 142Gross domestic product (GDP)Nasdaq-100 fund, 30 minutes after: 11.2 bp typical (n = 141), against 7.9 bp in the control window (n = 139). 142 releases since Jan 29, 2016. Bureau of Economic Analysis.
  2. n = 128Job openings and labor turnover (JOLTS)Nasdaq-100 fund, 30 minutes after: 14.9 bp typical (n = 128), against 17.5 bp in the control window (n = 128). 128 releases since Jan 12, 2016. Bureau of Labor Statistics.
  3. n = 127Personal income and outlays (PCE)Nasdaq-100 fund, 30 minutes after: 10.8 bp typical (n = 126), against 9.3 bp in the control window (n = 24). 127 releases since Feb 1, 2016. Bureau of Economic Analysis.
  4. n = 130The jobs report (Employment Situation)Nasdaq-100 fund, 30 minutes after: 23.9 bp typical (n = 127), against 9.5 bp in the control window (n = 113). 130 releases since Jan 8, 2016. Bureau of Labor Statistics.

Reading the studies

  • Each figure is a size, not a direction. We hold no consensus forecast, so we do not sort releases into beats and misses, and a large move after one release says nothing about the direction of the next one.
  • Moves are in basis points of the fund's price: 100 basis points is 1%. The typical size is the median of the moves with their sign removed, so half of the measured releases moved less and half moved more. The middle half runs from the 25th to the 75th percentile of the signed moves.
  • The control window is the same thirty clock minutes on the business day before each release, for the same funds, leaving out a day that was itself a release morning at that time. It is a baseline for that hour of the day, not a morning with nothing scheduled: the notes say what it still holds, such as releases we do not measure yet. Every figure carries the number of mornings it rests on (n).
  • What happened before is not a forecast. Information only, not financial advice.

Not financial advice. This is market research on past price moves, not a recommendation to trade. Read the risk disclosure.

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