FOMC day carry

Checked October 2026

FOMC-day carry holds the high-yielding currencies against the dollar from the afternoon before a scheduled Fed decision to the afternoon of the decision. Mueller, Tahbaz-Salehi and Vedolin published the pattern in the Journal of Finance in 2017. Backtoast ran it. This version made 0.1% a year at +0.02% a trade, but failed our test on trade frequency, recent performance and outlier dependence.

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FOMC day carry

The trade is on for one day around each scheduled Fed decision, eight a year, from the afternoon before to the afternoon of. It holds the three highest-yielding currencies against the dollar, picked by their rate gap over the US.

The run could only rank pairs that quote the dollar second, so it picked the top three of the Australian dollar, the euro, the pound and the New Zealand dollar, and left out the other five. Its day ran from the 5:00 p.m. New York roll to the next, an hour off the paper's 4:00 p.m.

The full-time version is G10 currency carry, which holds the high-yielders all quarter.

When it works

Mueller, Tahbaz-Salehi and Vedolin found the FOMC-day return was larger when uncertainty about Fed policy was high, larger again when the Fed was easing, and largest for the currencies with the widest rate gap over the US. It's in the market about eight days a year, so it carries far less exposure than holding carry all year, which is why some traders use it as a short, scheduled carry trade around Fed decisions.

Origins

Mueller, Tahbaz-Salehi and Vedolin found the high-yield group earned 16.83 basis points on FOMC days against 1.67 on other days from 1994 to 2010, where a basis point is a hundredth of a percent. The run is from late 2021 to October 2026.

The run is Backtoast's, from 29 October 2026, after costs.