The January effect, in which small stocks outperform large stocks in January, was in full force during the past 15 years.
Research from The Frank Russell Co., Tacoma, Wash., shows the average price return in January for stocks in the Russell 2000 was 4.2% between 1979 and 1994. For the larger-cap Russell 1000, the average return in January was 2.3%.
The effect also persists over the long haul. According to the book, "The Incredible January Effect: The Stock Market's Unsolved Mystery," by Robert Haugen and Josef Lakonishok, the effect has occurred about 90% of the time since 1926.