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Turn-of-the-Month Effect Applied to SSO

January 10, 2022 • Posted in Calendar Effects

Referring to “Turn-of-the-Month Effect Persistence and Robustness”, a subscriber asked about applying the Turn-of-the-Month (TOTM) effect to ProShares Ultra S&P500 (SSO).  As in the referenced research, we define TOTM as the interval from the close five trading days before to the close four trading days after the last trading day of the month (a total of eight trading days, centered on the monthly close). We compare a strategy of holding SSO only during TOTM to buying and holding SSO. We initially assume 0.1% one-way SSO-cash switching frictions and look at sensitivity of findings to variation in the assumed level of frictions. Using daily dividend-adjusted prices for SSO during late June 2006 through early December 2021, we find that: (more…)

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