Fractiz
Pattern Detail
January Effect
Whether the first five trading sessions of January lean up more than a normal stretch of the year.
Reliable effect
None
No window is distinguishable from the baseline.
Baseline Avg Return
+0.064%
Across 4,539 NQ sessions (1d)
Windows tested
1
0 reliable, 1 within noise
Summary
No window beats the all-session baseline beyond chance. Every difference below is within the margin of error, the seasonal effect is not measurable here.
Per-Window Stats
| Window | Sessions | Avg Return | % Up | Std Dev | Δ vs Baseline | Verdict |
|---|---|---|---|---|---|---|
| January Effect | 95 | +0.130% | 55.8% | 1.48% | +0.066% | Noise |
| Baseline (all sessions) | 4,539 | +0.064% | 55.8% | 1.41% | — |
"Reliable" = the window's average return differs from the all-session baseline beyond a 95% chance threshold, on at least 30 sessions. Everything else is within the margin of error.
Reliable effect
None
No window is distinguishable from the baseline.
Baseline Avg Return
+0.040%
Across 4,539 ES sessions (1d)
Windows tested
1
0 reliable, 1 within noise
Summary
No window beats the all-session baseline beyond chance. Every difference below is within the margin of error, the seasonal effect is not measurable here.
Per-Window Stats
| Window | Sessions | Avg Return | % Up | Std Dev | Δ vs Baseline | Verdict |
|---|---|---|---|---|---|---|
| January Effect | 95 | +0.099% | 55.8% | 1.10% | +0.059% | Noise |
| Baseline (all sessions) | 4,539 | +0.040% | 54.6% | 1.25% | — |
"Reliable" = the window's average return differs from the all-session baseline beyond a 95% chance threshold, on at least 30 sessions. Everything else is within the margin of error.
The January Effect is the claim that stocks push higher at the very start of the year, over the first handful of trading sessions of January. This page tests that window on its own and asks whether returns there actually lean up more than a normal session, or whether the new-year push is mostly folklore.
What this measures
- The window is the first 5 trading sessions of January.
- Sessions are read off the regular trading hours, so each is one daily session.
- The window is compared against a baseline of every other session in the year, so the numbers say how far the early-January stretch sits from the typical session.
Why it matters
The January Effect story points to fresh capital at the turn of the year: retirement contributions, new allocations, and a bounce in beaten-down names sold for tax reasons in December. Like its year-end cousin, it is repeated far more than it is tested. A date carries no edge of its own, so the only honest question is whether this window’s returns lean up more than an ordinary stretch, and by enough to clear chance.
The sample is thin: about 5 sessions a year, so even a long history leaves under a hundred sessions in the window. A modest tilt can easily be noise, which is exactly what the reliability test on the page is for.
How to read the numbers
- Avg return is the mean session return inside the window.
- Delta vs baseline is how far that mean sits above or below a normal session. A positive delta is the new-year push.
- % Up is the share of sessions that closed up, a useful complement to the mean.
- The verdict tags the window Reliable only when its difference from the baseline clears a 95% chance threshold on enough sessions. With a window this thin, a visible-looking tilt can still read as noise.
What’s not here
- The small-cap version of the effect (the classic January Effect was strongest in small stocks); this measures an index future, not a small-cap basket.
- Different window sizes (some authors use the first 5, others the first 10 sessions, or the whole month).
- A year-by-year breakdown.
For the late-December side of the same year-end story, see the Santa Rally.
FAQ
Is the January Effect real?
It is the claim that the first trading days of January run higher, usually pinned on fresh retirement contributions, new allocations, and a rebound in tax-loss names. This page tests it by measuring the first 5 trading sessions of January against a baseline of every other session, and tags the window reliable only when its lean clears a 95% chance threshold. The sample is small, about 5 sessions a year, so a modest tilt can read as noise. The numbers on the page show whether it held on this market.
Is the January Effect the same as the Santa Rally?
No. The Santa Rally is the last 5 sessions of December; the January Effect is the first 5 of January. They are two halves of the same year-end story, kept as separate windows so neither borrows the other’s sessions. Comparing the two is itself telling: a strong push on one side and a flat one on the other shows which half actually carries the seasonality on this market.