Mid December I posted an article on the Jan Effect and a few lists of stocks that may outperform. This system is one of the more reliable alpha anomalies there is. Once again, small caps beat large caps for a market neutral profit of 4%, and 3 of our lists outperformed SPY by an average of 1.9%. I’m updating this today as I’ll be at the conference the rest of the week (Dec 13 – Jan 30):
Small cap stocks: IWC, 10.4%
Large cap stocks: SPY, 6.4%
Small (Min $100M market cap, down at least 70% YTD): 10.4%
Really Small (Min $10M market cap, down at least 70% YTD): 3.3%
Small Quality (Min $100M market cap, down at least 60% YTD, but only took top half by these factors P/B, P/S, EV/EBITDA, Debt/Assets): 10.1%
Dividend selloff (Min $100M market cap, > 10% dividend yield, worst 10 stocks by 4 week return): 9.3%
