Calendar effects: RGBITR government bond index
RGBITR is the Moscow Exchange government bond total return index, coupons included. How it 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 | +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 % | −0.06 % | −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 % | −0.03 % | −0.06 | 0.950 | no |
| June | 24 | +0.72 % | −0.07 % to +1.50 % | +0.52 % | 71 % | < 0.01 % | 0.00 | 0.996 | no |
| July | 24 | +0.73 % | +0.04 % to +1.41 % | +0.68 % | 79 % | −0.05 % | −0.13 | 0.900 | no |
| August | 24 | +0.05 % | −0.57 % to +0.67 % | +0.05 % | 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 % | −0.02 % | −0.03 | 0.976 | no |
| November | 23 | +0.75 % | +0.11 % to +1.39 % | +0.60 % | 70 % | +0.04 % | 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 | 1,149 | +0.01 % | −0.02 % to +0.04 % | +0.05 % | 63 % | −0.03 % | −1.92 | 0.056 | no |
| Tuesday | 1,193 | > −0.01 % | −0.03 % to +0.03 % | +0.01 % | 52 % | −0.05 % | −2.66 | 0.008 | before correction only |
| Wednesday | 1,197 | +0.06 % | +0.03 % to +0.08 % | +0.03 % | 58 % | +0.03 % | 1.69 | 0.090 | no |
| Thursday | 1,197 | +0.05 % | +0.02 % to +0.09 % | +0.04 % | 60 % | +0.02 % | 1.19 | 0.232 | no |
| Friday | 1,182 | +0.06 % | +0.03 % to +0.09 % | +0.04 % | 61 % | +0.03 % | 1.57 | 0.117 | no |
| Saturday | 25 | +0.07 % | +0.02 % to +0.11 % | +0.05 % | 76 % | +0.03 % | 1.41 | 0.169 | no |
| Sunday | 7 | +0.14 % | −0.11 % to +0.39 % | +0.03 % | 86 % | +0.11 % | 1.05 | 0.335 | too few observations |
| Bank of Russia meeting | |||||||||
| 5 trading days before the decision | 57 | +0.04 % | −0.53 % to +0.61 % | +0.15 % | 65 % | −0.16 % | −0.54 | 0.588 | no |
| Decision day | 57 | −0.06 % | −0.33 % to +0.20 % | +0.01 % | 53 % | −0.10 % | −0.79 | 0.436 | no |
| 5 trading days after the decision | 57 | −0.20 % | −0.80 % to +0.41 % | −0.01 % | 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 % | +0.02 % | 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 | +0.08 % | −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 % | +0.01 % to +0.26 % | +0.14 % | 63 % | −0.05 % | −0.70 | 0.482 | 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: RGBITR 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. RGBITR is the Moscow Exchange government bond total return index, coupons included. How it 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.