You've heard of the "January Effect," where investors sell stocks in December for tax reasons, only to buy them back in January, causing their price to jump.

All year long, we've been looking at stocks that also do better in other months. Retailers, for example, have some seasons that perform better than others, simply because of the nature of the business. And some stocks actually do best in February. 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, awarding 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 February:

Stock

Market Cap

Avg. % Return -- Feb

Avg. % Return -- Rest of Year

CAPS Rating (out of 5 max)

LTM Return

J.C. Penney (NYSE:JCP)

$3.5 billion

4.63%

(0.63%)

**

(67.49%)

XTO Energy (NYSE:XTO)

$21.8 billion

9.39%

2.21%

*****

(32.60%)

EOG Resources (NYSE:EOG)

$16.1 billion

7.12%

1.96%

****

(34.23%)

Tenaris

$12.6 billion

8.91%

2.44%

*****

(40.93%)

Aluminum Corp of China (NYSE:ACH)

$7.6 billion

19.17%

(0.76%)

*****

(62.38%)

Sources: America Online, Motley Fool CAPS.

What's given steel producer Tenaris such a hot February, while the rest of the year is cold-rolled? Considering that rival United States Steel (NYSE:X) does better in November, it's one reason we don't recommend simply using this as a list of stocks to buy or sell. Consider it just a platform for further research. We may need to look closer for a reason, but Tenaris's five-star CAPS ratings suggests that investors think there's more to mine here than just a brief slurry of opportunity. Yet if these companies have really resolved to do better in February, let's take a look at some of those above that might live up to that promise.

Into the ether
The iron law of supply and demand can be skewed at times but never overcome. Thus, we've seen oil companies hammered as the demand for fossil fuels withers in this recession, while natural gas plays like XTO Energy and Chesapeake Energy (NYSE:CHK) watch their shares evaporate as ever-greater supplies are located.

If you're willing to accept the risk and volatility inherent in natural gas companies, CAPS member NollierCapMgmt thinks you'll find XTO worth the trouble:

XTO is an independent oil & gas [exploration and production] company. It is one of the strongest among its peers. However, XTO is highly leveraged and this could prove to be a huge risk given the current economic environment. Regardless, it is trading at an attractive valuation from both a DCF model & P/E multiple. XTO could deliver a double within a year but tread lightly because if commodities prices continue to fall XTO could find itself in a heap of trouble due to shrinking CF and its mound of LT debt. My DCF FV is 50% higher from here. 10 yr avg P/E multiple is 13.50.

Mall rats
Serving the middle-market consumer in this recession hasn't been easy for department stores. Shoppers haven't stopped shopping completely, but they've opted instead to spend their money at deep-discount retailers like Wal-Mart Stores (NYSE:WMT). Some chains, such as Macy's, seem poised on the brink of bankruptcy; others, such as Mervyn's, have already taken a plunge into the abyss.

J.C. Penney has not been wearing well, either. Same-store sales have plummeted and its credit rating was recently downgraded to near-junk status. That's a tough burden to bear for a retailer that had made good on its turnaround story just a few years ago.

Top-rated CAPS All-Star TSIF thinks that the combination of smart management and sufficient cash on hand still make Penney's a long-term winner:

People have to shop somewhere...even in a recession...I've thumbed down most of their competition and written some up as BK candidates....! YES, I know earnings will be terrible, but I like the Low P/B, they are still making money. I think they have the buffer room at this price. Market expectations are VERY low. Well managed, cash on hand due to some timely business moves. Needs to cut back growth, but should be able to buy/rent any new locations it could possibly want very cheaply. Good product mix. Number one reason for upthumb...my wife shops there!

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?

Wal-Mart and Chesapeake Energy are Motley Fool Inside Value selections. Try any of our Foolish newsletters services free for 30 days.

Fool contributor Rich Duprey owns shares of Wal-Mart but does not have a financial position in any of the other stocks mentioned in this article. You can see his holdings here. The Motley Fool has a disclosure policy.