These outperform after Yellen gives a speech

When Janet Yellen makes her semi-annual report to Congress on Tuesday and Wednesday, asset classes that would benefit from a short-term interest rate hike will likely gain, if history is any guide.

Using Kensho, a quantitative analytics tool used by hedge funds, CNBC found that of U.S. assets, the 5-year U.S. Treasury yield had the highest median return at 2.91 percent in the 10 days following a speech by the Fed chair during the past year. In contrast, the 10-year Treasury yield and the 30-year yield had negative median returns.

Analysts said shorter-maturity yields are more relevant to U.S. fiscal policy than longer-term yields as foreign investors continue to buy U.S. Treasurys.

"The Fed is strong on course for the exit of zero interest rates in June, July, August, September, which is bearish for the short end but the long end is being dragged lower in yield, higher in bond prices, because of the overwhelmingly bullish bond environment," said Larry McDonald, head of U.S.strategy at Newedge USA.

The Nasdaq could get a boost in its move toward 5,000 after Yellen's appearance, as the Nasdaq 1000 had some of the highest median returns in the study, at 2.73 percent.

Financials also outperformed, with the capital markets sector, diversified financials and financials besting the S&P 500's 1.48 percent median return. Only consumer financials and the banking industry group had median returns slightly below that. Major financial institutions will likely enjoy greater profit margins once interest rates go up.

Outside of financials, FX expert Marc Chandler of Brown Brothers Harriman expects major currencies to trade lower or in the middle part of their recent range around Yellen's remarks.

Chandler also expects the Canadian dollar to decline with another possible rate cut by the Bank of Canada early next month. The currency historically declines against the U.S. dollar following Yellen's remarks.

The Kensho study also showed that the U.S. dollar index gained more than 1 percent, especially against the euro.

Oil will likely continue to feel its way to a bottom as Brent and WTI historically decline about 2 or 3 percent in the 10 trading days following a Yellen speech.

Read MoreJanet Yellen's got some explaining to do

The study looked at performance 10 trading days after Yellen offered remarks on 15 occasions, beginning Feb. 11, 2014.

Disclosure: CNBC's parent NBCUniversal is a minority investor in Kensho.

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