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These stocks outperform when the Fed releases minutes

Janet Yellen
Kevin Lamarque | Reuters
Janet Yellen

Through Alan Greenspan's reign, across the Ben Bernanke years and now during the Janet Yellen era, Fed minutes have been market movers, but more positive under the current Fed chair.

Going back to early 2001, the Fed minutes were released 114 times and the S&P 500 was higher nearly half the time with an average gain of 0.8 percent, according to data provided by Kensho, a quantitative tool used by Wall Street trading firms.

But during the much shorter tenure of Yellen, the market has been higher two-thirds of the time on the days when minutes are released, also for an average gain of 0.8 percent. Fed minutes release days, under Yellen, have also been good days for energy and consumer discretionary stocks. Minutes from the December meeting will be released at 2 p.m. ET Wednesday.

The Energy Sector SPDR ETF XLE was positive on each of the six days the minutes were released under Yellen, for an average gain of 0.6 percent. The Consumer Discretionary Select Sector SPDR Fund ETF XLY was higher 83 percent of the time with an average gain of 1 percent.

On Fed minutes days going back to 2001, financial stocks have been volatile. The best performance for the Financials Sector SPDR ETF XLF was on July 16, 2008, when the ETF surged 13.1 percent during the financial crisis, and the S&P 500 gained 2.5 percent. The worst performance was also the financial sector on Oct. 7, 2008, and the XLF lost 10.6 percent while the S&P 500 lost 5.7 percent.

The financials clearly had their best days when the Fed announced big developments in monetary policy. A study of market performance after minutes from six of those meetings starting in the financial crisis shows the XLF was higher 83 percent of the time with an average return of 3.9 percent.

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The first of those minutes dates was Nov. 25 when Fed minutes covered the meeting where the Fed announced it would purchase $600 billion in agency MBS and debt. The last was the Sept. 13, 2012, meeting where the Fed announced QE3.

After the minutes of the last meeting were released on Nov. 19, the S&P 500 lost 0.2 percent, while it gained 1.75 percent on the minutes release day of Oct. 8

—CNBC's Gina Francolla contributed to this story

Disclosure: NBCUniversal, parent of CNBC, is a minority investor in Kensho.