The following chart plots the month returns of the S&P 500 Index for January for the period 1980-2017.
The characteristic of the market in January seems to have changed around the year 2000.
In the 20 years from 1980 to 1999 the S&P 500 index only fell in 5 years. But in the 18 years since 2000 the index has fallen in 10 years.
Further analysis of the S&P 500 Index in January over different periods can be seen in the following table.
In the 68 years from 1950 to 2017 the Index had an average month return in January of 0.9%, and saw positive returns in 59% of years. But since year 2000 this has dramatically changed, with an average month return of -1.1% and positive returns seen in only 44% of years.
Since 2000, January has the weakest record of performance for the S$P 500 Index.
The following chart plots the cumulative returns from 1980 for 12 portfolios, where each portfolio invests each year exclusively in just one of the 12 respective months. (and is in cash for the other 12 months of the year).
The best performing month over this period has been April, investing in just the month of April each year would have grown an investment of $100 in 1980 to $179 in 2017.
The worst month has been September (the bottom line in the following chart): a $100 investing just in the month of September would be worth $76 by 2017.
The cumulative portfolio for January has been highlighted in the above chart.
It can see that by year 2000, January was the strongest of all the months in the year, but that record changed after 2000. By 2017 the $100 would have grown to 130.