Biweekly performance of low-risk anomalies over the FOMC cycle

•A significant biweekly pattern in the performance of low-risk anomalies over the FOMC cycle.•Low-risk anomalies are largely resolved during even weeks, in line with macroeconomic uncertainty reduction.•Non-parametric dynamic trading strategies leveraging the FOMC meeting schedule for anomaly portfolios. This paper examines how the performance of low-risk anomalies varies over the FOMC cycle as they are expected to be weaker as uncertainty is resolved following an FOMC meeting. We form a low-minus-high risk portfolio or betting-against-risk (BAR) portfolio, mimicking low-risk anomalies, using four proxies of risk, and find the biweekly pattern of returns for all four BAR portfolios after the FOMC meeting consistent with Cieslak et al. (2019). Taking advantage of the FOMC meeting schedule being known in advance, we propose dynamic BAR strategies. We find that the dynamic BAR strategy significantly outperforms the original low-minus-high risk portfolio.