Calendar effects: government bond index
How the RGBITR government bond index behaved by month, by weekday, around Bank of Russia meetings, at quarter turns and before tax payments — with the number of observations and a significance test.
as of the close on 09 Oct 2026 · Effects tested across both indices: 50. None passed the multiple-comparison correction: on this history the calendar gives no edge.
| Effect | Observations | Mean | 95% interval | Median | Up | Above normal | t | p | Significance |
|---|---|---|---|---|---|---|---|---|---|
| Month of the year | |||||||||
| January | 23 | +0.39 % | −0.35 % to +1.13 % | +0.49 % | 70 % | −0.28 % | −0.72 | 0.474 | no |
| February | 24 | +0.70 % | −1.10 % to +2.50 % | +0.49 % | 67 % | −0.055 % | −0.06 | 0.952 | no |
| March | 24 | +1.44 % | +0.46 % to +2.42 % | +0.94 % | 75 % | +0.77 % | 1.56 | 0.130 | no |
| April | 24 | +1.46 % | +0.47 % to +2.45 % | +0.81 % | 71 % | +0.76 % | 1.55 | 0.133 | no |
| May | 24 | +0.67 % | −0.14 % to +1.49 % | +0.80 % | 79 % | −0.027 % | −0.06 | 0.950 | no |
| June | 24 | +0.72 % | −0.067 % to +1.50 % | +0.52 % | 71 % | +0.002 % | 0.00 | 0.996 | no |
| July | 24 | +0.73 % | +0.040 % to +1.41 % | +0.68 % | 79 % | −0.047 % | −0.13 | 0.900 | no |
| August | 24 | +0.049 % | −0.57 % to +0.67 % | +0.051 % | 54 % | −0.78 % | −2.30 | 0.027 | before correction only |
| September | 24 | +0.22 % | −0.68 % to +1.11 % | +0.85 % | 63 % | −0.60 % | −1.28 | 0.210 | no |
| October | 23 | +0.77 % | −0.28 % to +1.82 % | +0.89 % | 70 % | −0.016 % | −0.03 | 0.976 | no |
| November | 23 | +0.75 % | +0.11 % to +1.39 % | +0.60 % | 70 % | +0.043 % | 0.13 | 0.900 | no |
| December | 23 | +0.92 % | −0.40 % to +2.23 % | +1.12 % | 87 % | +0.15 % | 0.22 | 0.826 | no |
| Day of the week | |||||||||
| Monday | 1149 | +0.009 % | −0.020 % to +0.038 % | +0.053 % | 63 % | −0.032 % | −1.92 | 0.056 | no |
| Tuesday | 1193 | −0.001 % | −0.032 % to +0.029 % | +0.008 % | 52 % | −0.046 % | −2.66 | 0.008 | before correction only |
| Wednesday | 1197 | +0.056 % | +0.030 % to +0.081 % | +0.031 % | 58 % | +0.026 % | 1.69 | 0.090 | no |
| Thursday | 1197 | +0.055 % | +0.020 % to +0.090 % | +0.044 % | 60 % | +0.024 % | 1.19 | 0.232 | no |
| Friday | 1182 | +0.057 % | +0.027 % to +0.087 % | +0.042 % | 61 % | +0.027 % | 1.57 | 0.117 | no |
| Saturday | 25 | +0.067 % | +0.021 % to +0.11 % | +0.053 % | 76 % | +0.033 % | 1.41 | 0.169 | no |
| Sunday | 7 | +0.14 % | −0.11 % to +0.39 % | +0.025 % | 86 % | +0.11 % | 1.05 | 0.335 | too few observations |
| Bank of Russia meeting | |||||||||
| 5 trading days before the decision | 57 | +0.038 % | −0.53 % to +0.61 % | +0.15 % | 65 % | −0.16 % | −0.54 | 0.588 | no |
| Decision day | 57 | −0.064 % | −0.33 % to +0.20 % | +0.010 % | 53 % | −0.10 % | −0.79 | 0.436 | no |
| 5 trading days after the decision | 57 | −0.20 % | −0.80 % to +0.41 % | −0.008 % | 49 % | −0.42 % | −1.32 | 0.191 | no |
| After a rate cut, 5 days | 18 | −0.32 % | −1.06 % to +0.41 % | +0.18 % | 56 % | −0.51 % | −1.44 | 0.169 | too few observations |
| After a hold, 5 days | 23 | +0.20 % | −0.56 % to +0.97 % | −0.19 % | 39 % | +0.019 % | 0.05 | 0.958 | no |
| After a rate hike, 5 days | 16 | −0.63 % | −2.47 % to +1.21 % | +0.12 % | 56 % | −0.87 % | −0.95 | 0.355 | too few observations |
| Quarter turn | |||||||||
| Last 5 trading days of the quarter | 95 | +0.42 % | +0.16 % to +0.67 % | +0.30 % | 79 % | +0.26 % | 1.99 | 0.049 | before correction only |
| First 5 trading days of the quarter | 95 | +0.081 % | −0.13 % to +0.29 % | +0.12 % | 62 % | −0.10 % | −0.93 | 0.356 | no |
| Tax period | |||||||||
| 5 trading days through the tax payment day | 284 | +0.14 % | +0.012 % to +0.26 % | +0.14 % | 63 % | −0.052 % | −0.70 | 0.482 | no |
Calendar effects: government bond index — statistics calculated by TradeAlmanac. As of the close on 9 October 2026. Effects tested across both indices: 50. None passed the multiple-comparison correction: on this history the calendar gives no edge. How the RGBITR government bond index behaved by month, by weekday, around Bank of Russia meetings, at quarter turns and before tax payments — with the number of observations and a significance test. Methodology
Calculated from daily index values of the Moscow Exchange. A record of the past, not a forecast and not investment advice.