CHAPEL HILL, N.C. (MarketWatch) — Profiting from the so-called January Effect used to be as close to a sure thing as the stock market ever provided. Is it as sure a bet nowadays?

It’s an urgent question, since one of the more popular January Effect strategies calls for placing your bets on Dec. 22. So you need to almost immediately decide whether this strategy is compelling enough to follow.

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You might have thought you had a couple of weeks to decide, on the perfectly reasonable assumption that the January Effect refers to the month of January. But that assumption is wrong: Historically, at least, the most exploitable year-end stock market cross-currents begin in late December — and are largely spent by the second week of January.

Overall, in fact, the entire month of January is hardly noteworthy. Since the Dow Jones Industrial Average DJIA, -1.84% was created in 1896, for example, January is in 6th place in a ranking of monthly average performance. Though its average return is slightly higher than that of all other months — 0.9% versus 0.6% — this difference is not significant at the 95% confidence level that statisticians often use to conclude that a pattern is real.

Another error that traders often make is assuming that the January Effect manifests in abnormal strength in the market averages. If that assumption were correct, of course, they could capture this seasonal pattern simply by increasing their equity exposure during the turn-of-year period.

In fact, however, the January Effect refers to the relative strength of small-cap stocks over large-caps. Exploiting it therefore does not require increasing your equity exposure but instead betting on that relative strength. The most straightforward way of doing that is to buy small caps while simultaneously shorting an equal dollar amount of large-cap stocks.

Which ETFs should you choose to represent the large-cap and small-cap sectors?

My performance tracking suggests that two good choices are the SPDR S&P 500 ETF SPY, -1.11% (or a similar ETF benchmarked to the S&P 500 SPX, -1.15% ) and the Guggenheim S&P 500 Equal Weight ETF RSP, -2.51% . Because both ETFs are benchmarked to indices containing the same 500 stocks, and because the SPY weights stocks according to their market caps while RSP weights each stock equally, the difference in their returns is a pure play on small-cap relative strength.

The accompanying chart reports how much you would have made over the last 11 years by investing $100,000 in RSP from Dec. 20 of each year to the subsequent Jan. 9 — while simultaneously selling-short an equal dollar amount of SPY. This three-week period was chosen on the basis of past research that found it to be the optimal window for exploiting the January Effect. The chart only extends back 11 years because the RSP began trading in 2003.

The average three-week return of this strategy has been $359. Is that enough to make it worth your while? It’s hard to calculate the specific percentage this represents, since the strategy is market neutral. Most brokers would allow you to use much of the proceeds you realize by shorting SPY to purchase RSP, since you would have a lot less than $100,000 at risk.

Still, because a $359 gain on a $100,000 fully-hedged portfolio does seem awfully modest, you may very well conclude that it’s not worth the effort — especially since the year-by-year results are quite volatile.

Are there other combinations of large- and small-cap ETFs that hold more promise than SPY and RSP? Perhaps, though I have yet to find them — even after extensive analysis of all the obvious suspects.

My hunch is that the January Effect is the victim of the inexorable effects of the stock market’s efficiency. Though it’s too early to declare that it has completely disappeared, it’s become a pale shadow of its former self.

If you still want to try exploiting the January Effect, be my guest. But you may also decide it’s not worth the trouble.

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