Elections

We analyze a multi-asset calendar anomaly around U.S. federal elections that is consistent across assets and simple to trade. While our previous study documents a robust pre-election drift, the cross-asset pricing of its D+1 resolution remains unmapped beyond SPY. Using a diversified ETF basket spanning technology, emerging markets, real estate, high-yield credit, gold, oil, and foreign exchange, we show that election day itself is neutral to slightly positive — an equal-weight D0 long earns a modest 1.03% p.a. at a Sharpe of 0.19, which we document as the control arm of the experiment but do not trade — while the following session delivers a systematic sell-off across all seven legs as the political uncertainty premium collapses. An equal-weight short on D+1 yields 1.86% per annum with a Sharpe of 0.31 and a maximum drawdown of -4.16%, achieved over 13 trading days in 26 years. Intermediate Treasuries exhibit the inverse pattern, selling off in the four days before the vote and rallying from D0 to D+2, with a Sharpe of 0.48.