Yesterday we published a B.I.G. Tips report looking at Fed rate hikes after long pauses that actually throws a splash of cold water on the thesis that equity prices are set to surge even further. If you’re not yet a member, you can sign up for one month of Bespoke Premium at this page to see the report ahead of today’s FOMC announcement. It’s an actionable piece of analysis. With today being a Fed Day, below is a breakdown of the S&P 500’s performance on Fed Days by month since 1995. As shown, the S&P 500 has historically averaged a gain of 0.34% on all Fed Days, but the index has done even better on the 22 December Fed Days we’ve seen over the last 20+ years. The S&P has averaged a gain of 0.48% on December Fed Days with positive returns 71% of the time.
December Fed Days have historically been slightly more volatile than normal as well. The average absolute change for the S&P on all Fed Days since 1995 has been +/-0.88%, but December Fed Days have seen an average absolute change of +/-1.05%.
Looking at the table, you’ll see that February has historically been the only month where the S&P has averaged a decline on Fed Days, but there have only been six February Fed Days since 1995. August Fed Days have been the most bullish, with the S&P averaging a one-day gain of 0.62%.
Once again, if you’re not yet a member, sign up for one month of our Bespoke Premium service to have a look at our more in-depth FOMC analysis.