October Seasonality - Volatility & Returns
Scanning 54 broad ETFs for unusual October behavior. Measuring anomaly severity.
Which assets or asset pairs behave very differently in October compared to the rest of the year?
To answer this question, we need to focus on variables we can actually bet on and see if their distributions tend to be different in October compared to all months. I selected these variables:
Future returns
Future volatility
Change in returns (future - trailin…