The January Effect: does it work?
The January effect, small-cap stocks outperforming in early January, was one of the first calendar anomalies documented in academic finance.
The rule we tested. Long only the first weeks of January on a small-cap proxy, flat the rest of the year, the standard January-effect calendar rule.
- January effect (small-cap outperformance) - QQQ proxy (1 ETF (QQQ standing in for IWM)), 2005-01-04 to 2025-03-14, costs 0.05% per side: −13.1 pts/yr vs buy-and-hold across 21 trades, p=1.000, q=1.000 after correction: did not beat buy-and-hold.
No. ETF −13.1 pts/yr vs buy-and-hold (p=1.000, q=1.000). None cleared Tickfloor's Benjamini-Hochberg q<0.10 bar once weighed against every other rule tested alongside it.
This is one line in a wider check: Tickfloor's research desk has run 401 strategies against buy-and-hold, and after correcting for how many were tested (Benjamini-Hochberg, 444 tests), 0 survived. A single win-rate claim like this one is exactly the kind of result that check exists to catch before anyone trades on it.
General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.
Does the January effect still work?
No. ETF −13.1 pts/yr vs buy-and-hold (p=1.000, q=1.000). None cleared Tickfloor's Benjamini-Hochberg q<0.10 bar once weighed against every other rule tested alongside it.
What exact rule did Tickfloor test?
Long only the first weeks of January on a small-cap proxy, flat the rest of the year, the standard January-effect calendar rule.
Is this financial advice?
No. This measures a publicly claimed strategy rule, not a recommendation. General information only, not personal advice.
See the full numbers on the Day and month seasonality family page, or the full method and every result.
Other rules we've tested: Golden Cross / Death Cross, RSI(2) Mean Reversion, MACD Crossover.
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