Academy of Financial Services
An anniversary date of a contract’s initiation determines the valuation for investment opportunities such as equity indexed annuities and a variety of structured investment products. Using the S&P 500 daily returns from 1950 to 2018 as the underlying index, this paper analyzes anniversary-date-based differences in returns for these types of investment products. Along the lines of the many documented calendar-based market anomalies, we find that non-trivial differences in returns can exist for contracts initiated mere days apart. These differences exhibit seasonality and do not appear driven by a particular sub-period of the almost seven-decade sample we investigate.
Author(s): Steve Fraser, Brian Payne