From the Financial Post:
...“Expensive, low-growth, weak-momentum, negative-sentiment, poor-quality, small-size, and high-beta stocks are likely to shine in January”...The paragraph preceeding the above gives some context:
-Playing the January effect
...The strategist also noted that the momentum effect tends to disappear and quality tends to fail in January.
He conducted a statistical testing of the January effect on more than 700 factors in the U.S. and 400 in Canada. What he found was that most traditional style factors reverse trend in January for U.S. stocks. For example, the best time-proved value strategy, trailing earnings yield, completely reverse trend. At the same time, most long-term and short-term growth styles also underperformed in January....