You've heard of the "January Effect," when investors sell stocks in December for tax reasons, only to buy them back in January -- and the stock prices jump as a result.

All through 2008, we looked at stocks that also perform better in other months. Retailers, for example, have some seasons that perform better than others, simply because of the nature of the business. Some stocks actually do best in January, despite all of the window-dressing going on. Whatever the reason, investing based solely on the calendar is certainly not a Foolish strategy.

Still, wouldn't it be great to know ahead of time which stocks performed best at what times?

On Motley Fool CAPS, more than 125,000 members have weighed in on some 5,400 stocks and awarded five-star ratings to the companies that best command their confidence. We've paired their opinions with data going as far back as five years, to see which stocks perform best in each month. The following five companies seem to do best in January:

Stock

Market Cap

Avg. % Return, Jan.

Avg. % Return, Rest of Year

CAPS Rating (5 Max)

Trailing-12-Month Return

Illumina (NASDAQ:ILMN)

$3.2 billion

17.96%

2.99%

***

(12.08%)

Bed Bath & Beyond (NASDAQ:BBBY)

$6.8 billion

3.71%

(1.36%)

***

(13.51%)

Steel Dynamics (NASDAQ:STLD)

$2.2 billion

7.38%

0.41%

****

(61.78%)

Hologic (NASDAQ:HOLX)

$3.3 billion

15.61%

1.94%

*****

(61.92%)

Altair Nanotechnologies

$113.6 million

19.65%

0.86%

***

(71.16%)

Sources: America Online, Motley Fool CAPS.

What's made Illumina a better performer in January compared to the rest of the year? Considering that rival Luminex (NASDAQ:LMNX) does better in May, it's one reason why we don't recommend simply using this as a list of stocks to buy or sell -- just a platform for further research. We need to look closer for the reason, but Illumina's three-star CAPS ratings suggests investors think the prospects for future growth are, um, illuminating. Yet if these companies have really resolved to do better in January, let's take a look at some of those above that might live up to that promise.

Steely resolve
There didn't seem to be much that was dynamic about the steel industry in the second half of the year, as prices for all sorts of commodities seemed to implode on themselves. CAPS member TMFSinchiruna noted in November that his early backing of the steel industry was just that: early. However, now that stimulus programs have been unveiled in countries around the world, Steel Dynamics ought to recapture the luster its shares had lost. Perhaps another of those September picks he made, such as ArcelorMittal (NYSE:MT), will also find its shares case hardened against a further decline.

My timing in throwing support behind several of the steelmakers back in mid-September is now looking like an unfortunate choice. What looked then like severely overblown concern for slowing demand from Asia quickly came into view during October as a legitimate concern for the near-term. That being said, I still think the group will find some strength on the medium term once the dollar rally ceases to enjoy this irrational rally and demand from China picks back up a bit on the heels of their economic stimulus program. For Steel Dynamics, I await a fundamental recovery in prices for scrap metal, which will make all the difference for them. For now, I am not giving up on my painful green thumb.

Beyond linens and things
Home-decor specialist Bed Bath & Beyond has been able to gain market share as rival Linens 'N' Things declared bankruptcy. While investors may want to take advantage of that long-term trend, the discounting environment that followed created some short-term problems. As its rival liquidated inventory, the home-design leader's profits got squeezed.

That's not enough to convince some investors. If Linens 'N' Things couldn't effectively compete against Wal-Mart Stores (NYSE:WMT) for basic household items, Bed Bath & Beyond probably won't fare much better. CAPS member SwordAgain says the retailer has little visibility for the months ahead, but that Wal-Mart will remain the deep discount champ.

Strong sell on this rebound from 16 to 25. [Goldman Sachs] target is 26. Most others below that. Company has warned. Weak retail sector during this quarter will hurt earnings. No visibility into quarters farther out. Strong competitive pressure from macro stores like [Wal-Mart].

A calming effect
It pays to start your own research on these stocks on Motley Fool CAPS. Read a company's financial reports, scrutinize key data and charts, and examine the comments your fellow investors have made -- all from a stock's CAPS page.  Your voice affects these stocks, whatever month the calendar may display. Since it's free to sign up and express your investing opinions, why not use this opportunity to take your star turn?

On Jan. 12, 2009, Fool co-founder David Gardner, Jeff Fischer, and their Motley Fool Pro team will accept new subscribers to their real-money portfolio service. Motley Fool Pro is investing $1 million of the Fool’s own money in long and short positions in a range of securities, including common stocks, put and call options, and exchange-traded funds (ETFs). They also incorporate proprietary CAPS "community intelligence" data into their research. To learn more about Motley Fool Pro, and to receive a private invitation to join, simply enter your email address in the box below.

Fool contributor Rich Duprey owns shares of Bed Bath & Beyond and Wal-Mart but has no financial position in any of the other stocks mentioned in this article. You can see his holdings. Wal-Mart Stores and Bed Bath & Beyond are Motley Fool Inside Value selections. Illumina and Bed Bath & Beyond are Stock Advisor recommendations. The Fool owns shares of Bed Bath & Beyond and has a disclosure policy.