Эффект января

Привет, кто занимается проверкой выводов различных исследований? Решил проверить гипотезу о бо́льшем росте обыкновенных акций (особенно малых компаний) в январе по сравнению с другими месяцами за несколько последних лет, но результаты расходятся с предположениями:

Для Russel 2000 (компании с малой капитализацией):
1989-2018 (30 лет): JAN +0.18%; FEB +1.10%; MAR +1.59%; APR +1.22%; MAY +1.32%; JUN +0.14%; JUL -0.27%; AUG -0.54%; SEP +0.02%; OCT +0.29%; NOV +1.87%; DEC +2.87%;
1994-2018 (25 лет): JAN -0.43%; FEB +0.72%; MAR +1.41%; APR +1.72%; MAY +0.72%; JUN +0.70%; JUL -0.64%; AUG -0.37%; SEP +0.17%; OCT +0.52%; NOV +1.97%; DEC +2.72%;
1999-2018 (20 лет): JAN -0.64%; FEB +0.31%; MAR +1.93%; APR +1.73%; MAY +0.40%; JUN +0.82%; JUL -0.53%; AUG -0.24%; SEP -0.81%; OCT +1.03%; NOV +2.05%; DEC +2.65%;
2004-2018 (15 лет): JAN -0.92%; FEB +0.73%; MAR +2.71%; APR +0.87%; MAY +0.28%; JUN +0.20%; JUL +0.73%; AUG -0.64%; SEP +0.75%; OCT +0.48%; NOV +1.68%; DEC +2.04%;
2009-2018 (10 лет): JAN -1.84%; FEB +1.43%; MAR +3.81%; APR +1.94%; MAY -0.75%; JUN +0.43%; JUL +1.93%; AUG -1.66%; SEP +1.29%; OCT +2.27%; NOV +3.00%; DEC +2.31%;
2014-2018 (5 лет): JAN -3.64%; FEB +3.03%; MAR +2.10%; APR -0.99%; MAY +0.70%; JUN +2.19%; JUL -0.18%; AUG -0.32%; SEP -1.05%; OCT +2.01%; NOV +4.21%; DEC -0.10%;
Картинкой:


Для S&P500 (SPY):

1969-2018 (50 лет): JAN +0.85%; FEB +0.27%; MAR +1.24%; APR +1.27%; MAY +0.45%; JUN +0.03%; JUL +0.44%; AUG +0.08%; SEP -0.68%; OCT +1.01%; NOV +1.22%; DEC +1.56%;
1974-2018 (45 лет): JAN +1.05%; FEB +0.29%; MAR +1.20%; APR +1.57%; MAY +0.74%; JUN +0.36%; JUL +0.44%; AUG -0.17%; SEP -0.84%; OCT +1.14%; NOV +1.49%; DEC +1.39%;
1979-2018 (40 лет): JAN +0.88%; FEB +0.34%; MAR +1.26%; APR +1.56%; MAY +0.89%; JUN +0.16%; JUL +0.80%; AUG +0.08%; SEP -0.59%; OCT +1.11%; NOV +1.66%; DEC +1.47%;
1984-2018 (35 лет): JAN +0.81%; FEB +0.59%; MAR +1.40%; APR +1.39%; MAY +1.12%; JUN -0.01%; JUL +0.86%; AUG -0.26%; SEP -0.65%; OCT +1.01%; NOV +1.21%; DEC +1.81%;
1989-2018 (30 лет): JAN +0.13%; FEB +0.28%; MAR +1.45%; APR +1.69%; MAY +1.13%; JUN -0.47%; JUL +1.14%; AUG -0.87%; SEP -0.38%; OCT +1.51%; NOV +1.53%; DEC +1.69%;
1994-2018 (25 лет): JAN +0.03%; FEB +0.06%; MAR +1.49%; APR +1.93%; MAY +0.58%; JUN -0.24%; JUL +0.70%; AUG -0.85%; SEP -0.14%; OCT +1.81%; NOV +1.65%; DEC +1.30%;
1999-2018 (20 лет): JAN -0.80%; FEB -0.39%; MAR +1.90%; APR +1.81%; MAY +0.15%; JUN -0.72%; JUL +0.45%; AUG -0.30%; SEP -1.14%; OCT +1.83%; NOV +1.14%; DEC +1.21%;
2004-2018 (15 лет): JAN -0.96%; FEB +0.77%; MAR +1.75%; APR +1.71%; MAY +0.20%; JUN -0.92%; JUL +1.48%; AUG -0.50%; SEP +0.48%; OCT +0.94%; NOV +0.99%; DEC +1.22%;
2009-2018 (10 лет): JAN -1.17%; FEB +1.48%; MAR +2.95%; APR +1.93%; MAY -0.28%; JUN -0.48%; JUL +2.70%; AUG -1.19%; SEP +0.90%; OCT +2.87%; NOV +1.86%; DEC +1.42%;
2014-2018 (5 лет): JAN -2.48%; FEB +3.27%; MAR +1.37%; APR +0.66%; MAY +1.46%; JUN +0.09%; JUL +1.49%; AUG -0.63%; SEP -0.59%; OCT +2.72%; NOV +2.18%; DEC +0.15%;

Картинкой:




Как видим, январь не особо выделяется.
(Для расчёта была взята среднее арифметическое доходностей (ЗакрытиеТекущегоМесяца/ЗакрытиеПредыдущегоМесяца — 1) за указанный период.)

Что думаете об этом?