NFP Drift
Pre-announcement drift on scheduled BLS release days (NFP + CPI)
Risk
Low
Holding Period
~2-3 trading days per event
Best For
Stable release cadence periods; weaker during data-revision storms
How it works
Savor & Wilson (2014) showed that scheduled macro releases — not just FOMC — exhibit pre-announcement equity drift. NFP averages ~15-25 bps excess return in the 24h before release, CPI around 20 bps. Both are smaller than FOMC's 49 bps but still positive and statistically significant. The mechanical trade is the same as FOMC drift: long SPX at T−1 close, exit at T+1 close. Lower per-event edge × 12 events/year per release = ~2-3% gross annual, uncorrelated with FOMC drift since the calendars don't overlap.
Model parameters
Event
Non-Farm Payrolls monthly release (first Friday ~08:30 ET)
Target Asset
Savor-Wilson anomaly documented on SPX
Size per Trade
Smaller than FOMC since per-event edge is ~20 bps vs 49 bps
Entry / Exit
Business day before/after each release
Academic background
Academic Basis
Based on Savor & Wilson (2014), 'Asset Pricing: A Tale of Two Days', Journal of Financial Economics
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