Strategies · Core
January Effect in Stocks
Overweight small or beaten-up names in early January — the tax-loss / window-dressing calendar, heavily mined.
Definition
Classic: small-caps outperform in January, especially prior-year losers (tax-loss rebound). Implementation is a January-only overweight vs the rest of the year. Post-publication and indexation have damaged it.
Why it matters
It is the most famous equity calendar effect. Famous is not the same as live.
Case
A January that is just risk-on beta. The small-cap premium that month was the market, not a tax-lot story.
How to read it
Small vs large, prior-year loser filter, and post-1990s samples. Do not sell November to fund a folklore.
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