What a (FOMC) day | lead-lag markets | risk-adjusted returns

S&P_20150318_5min

S&P_20150318_5min

EURUSD_20150318_5min

EURUSD_20150318_5min

BrentCrude_20150318_5min

BrentCrude_20150318_5min

Gold_20150318_5min

Gold_20150318_5min

USDJPY_20150318_5min

USDJPY_20150318_5min

While on days with key market events such as this, all correlations spike intensely especially from the moment of the announcement, there are many unique differences between the markets to warrant carefully going through your arsenal of weapons before selecting the best armament for the campaign at hand.

Lead-lag markets; early morning reaction as true direction or head fake; muted caged movement until the explosive 1400 hour; different holding periods; difference in nominal returns from <2%(USDJPY) to >6%(Brent Crude); different sizing in the different markets based on your measurement and judgement of each individual market’s risk/volatility/nominal size/margin requirement/credit available/personal familiarity; path-dependent trade management/maximum adverse excursions of each market; different risk-reward structures…

Which market provided the best risk-adjusted return today?