Calendar effects: MOEX Russia Index
How the MOEX Russia 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 09/10/2026 · Effects tested across both indices: 50. None passed the multiple-comparison correction: on this history the calendar gives no edge.
| Effect | Observations | Mean window return | 95% interval | Median window return | Share of windows up | Above ordinary days | t | p | Significance |
|---|---|---|---|---|---|---|---|---|---|
| Month of the year | |||||||||
| January | 23 | +2.69 % | −0.32 % to +5.71 % | +2.26 % | 74 % | +1.94 % | 1.28 | 0.212 | no |
| February | 24 | +1.08 % | −2.63 % to +4.80 % | +1.72 % | 67 % | +0.01 % | 0.01 | 0.996 | no |
| March | 24 | +0.51 % | −2.20 % to +3.23 % | −0.97 % | 46 % | −0.41 % | −0.29 | 0.770 | no |
| April | 24 | +1.40 % | −1.67 % to +4.46 % | +0.55 % | 54 % | +0.46 % | 0.30 | 0.770 | no |
| May | 24 | −0.17 % | −3.80 % to +3.46 % | −2.92 % | 38 % | −1.29 % | −0.72 | 0.475 | no |
| June | 24 | +0.12 % | −2.09 % to +2.32 % | +0.16 % | 54 % | −0.78 % | −0.64 | 0.528 | no |
| July | 24 | +0.47 % | −2.05 % to +2.99 % | +1.25 % | 63 % | −0.49 % | −0.36 | 0.720 | no |
| August | 24 | +1.86 % | −0.70 % to +4.42 % | +1.70 % | 71 % | +1.01 % | 0.74 | 0.461 | no |
| September | 24 | +0.42 % | −3.39 % to +4.22 % | +2.60 % | 67 % | −0.80 % | −0.40 | 0.695 | no |
| October | 23 | −0.38 % | −4.05 % to +3.29 % | +2.16 % | 61 % | −1.66 % | −0.83 | 0.417 | no |
| November | 23 | +1.40 % | −1.47 % to +4.27 % | +1.69 % | 70 % | +0.53 % | 0.35 | 0.725 | no |
| December | 23 | +2.27 % | +0.06 % to +4.48 % | +2.07 % | 65 % | +1.52 % | 1.28 | 0.210 | no |
| Day of the week | |||||||||
| Monday | 1,148 | +0.13 % | +0.01 % to +0.24 % | +0.23 % | 56 % | +0.09 % | 1.43 | 0.154 | no |
| Tuesday | 1,194 | +0.04 % | −0.06 % to +0.15 % | +0.09 % | 53 % | −0.01 % | −0.13 | 0.896 | no |
| Wednesday | 1,198 | +0.03 % | −0.07 % to +0.12 % | +0.07 % | 53 % | −0.03 % | −0.48 | 0.631 | no |
| Thursday | 1,198 | −0.02 % | −0.14 % to +0.09 % | −0.02 % | 49 % | −0.10 % | −1.47 | 0.141 | no |
| Friday | 1,185 | +0.07 % | −0.03 % to +0.17 % | +0.07 % | 53 % | +0.03 % | 0.45 | 0.652 | no |
| Saturday | 25 | +0.40 % | −0.09 % to +0.88 % | +0.41 % | 64 % | +0.36 % | 1.53 | 0.139 | no |
| Sunday | 5 | +1.92 % | +0.02 % to +3.83 % | +2.13 % | 80 % | +1.86 % | 2.76 | 0.051 | too few observations |
| Bank of Russia meeting | |||||||||
| 5 trading days before the decision | 57 | +0.08 % | −1.18 % to +1.34 % | +0.07 % | 51 % | −0.22 % | −0.31 | 0.757 | no |
| Decision day | 57 | < 0.01 % | −0.61 % to +0.62 % | −0.14 % | 44 % | −0.06 % | −0.19 | 0.851 | no |
| 5 trading days after the decision | 57 | −0.87 % | −2.01 % to +0.26 % | −0.41 % | 46 % | −1.19 % | −1.96 | 0.054 | no |
| After a rate cut, 5 days | 18 | −1.16 % | −3.45 % to +1.13 % | −0.29 % | 50 % | −1.46 % | −1.29 | 0.214 | too few observations |
| After a hold, 5 days | 23 | −0.13 % | −1.63 % to +1.38 % | −0.13 % | 48 % | −0.36 % | −0.49 | 0.631 | no |
| After a rate hike, 5 days | 16 | −1.62 % | −4.28 % to +1.04 % | −0.78 % | 38 % | −1.96 % | −1.44 | 0.169 | too few observations |
| Quarter turn | |||||||||
| Last 5 trading days of the quarter | 95 | +0.58 % | > −0.01 % to +1.17 % | +0.40 % | 62 % | +0.40 % | 1.26 | 0.210 | no |
| First 5 trading days of the quarter | 95 | +1.01 % | +0.05 % to +1.97 % | +1.39 % | 64 % | +0.78 % | 1.48 | 0.141 | no |
| Tax period | |||||||||
| 5 trading days through the tax payment day | 284 | +0.22 % | −0.23 % to +0.67 % | +0.35 % | 55 % | −0.04 % | −0.14 | 0.890 | no |
Returns are per window of the row (a month, one trading day or five trading days), in percent of the index level at the close before the window.
Calendar effects: MOEX Russia 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 MOEX Russia 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.