SPY (the S&P 500 exchange-traded fund, or ETF) rose in 23 of the 33 Santa Claus rally windows since 1993. We define the window as the last 5 trading days of December plus the first 2 trading days of January. SPY returned a mean of 0.81% over it, with dividends counted. A mean is the sum of the returns divided by how many there are.
Other 7-day stretches (every one that shares no price date with a window) returned a mean of 0.31%. The gap is 0.50 percentage points, the difference between two percentages. It appears in the data, but random draws (we explain the test below) matched it in 14.0% of tries, so chance can explain it. The gap also sits in the early years of the sample.
How strong is the Santa Claus rally? In SPY since 1993 the window returned more than other 7-day stretches on average, but luck can explain the gap.
SPY returned a mean of 0.81% in the window against 0.31% for other 7-day stretches. It rose in 23 of 33 years.
We drew 33 random 7-day stretches, one per year, 200,000 times. Their mean reached 0.81% or more in 14.0% of draws.
From 1993 to 2009 the window returned a mean of 1.24%. From 2010 to 2025 it returned 0.35%, against 0.38% for other stretches.
What is the Santa Claus rally?
The Santa Claus rally is a seasonal pattern. It is the idea that stocks rise at the turn of the year. We define it as the last 5 trading days of December plus the first 2 trading days of January.
A 7-day stretch means 7 trading days. A percentage point is the gap between two percentages. A median is the middle return once the returns are in order.
How did we test it?
We used SPY's daily prices from 29 January 1993 to 26 October 2026, with dividends counted.
Each window starts at the close on the trading day before the first of the 7 days. It ends at the close on the second trading day of January. The first window starts on 23 December 1993 and ends on 4 January 1994. The last starts on 23 December 2025 and ends on 5 January 2026.
That gives 33 windows. We label each by its December year.
Did SPY rise in the Santa Claus rally window?
In 23 of the 33 years, yes. The window fell in the other 10. The mean return was 0.81% and the median was 0.80%. Chart 1 shows every year.
Source: YX Insights price data
The best window returned 7.76% and ended on 5 January 2009. The worst fell 4.60% and ended on 4 January 2000. Both are the extremes of the 33 windows.
The two parts of the window differ. The last 5 trading days of December returned a mean of 0.28%. It rose in 17 of 33 years. The first 2 trading days of January returned a mean of 0.53%. It rose in 24 of 33 years.
How does it compare with other weeks?
We compared each window with every 7-trading-day stretch in the file that shares no price date with a window. That includes the starting close. There are 7,991 such stretches. They overlap one another, so they are not 7,991 separate tests.
Chart 2 gives the means and medians.
Source: YX Insights price data
Other stretches rose 59.5% of the time. The Santa Claus rally windows rose 69.7% of the time. The window came out ahead on the mean, the median and the share that rose.
Could chance explain the gap?
Yes. We ran a random-draw test. In each of the 33 years, we picked one 7-day stretch at random from the stretches that start in that calendar year and share no price date with the window. We averaged the 33 returns and repeated that 200,000 times.
The mean of the random draws was 0.30%. A draw reached 0.81% or more in 14.0% of tries. Chance alone produced a mean this high in about one try in seven.
The test treats the 33 years as independent. Real markets may break that assumption.
Did the pattern hold in every period?
No. The table splits the 33 years into two periods. Each is compared with other 7-day stretches that start in the same years.
Window years | Number of windows | Mean, Santa Claus rally window | Mean, other 7-day stretches | Window rose in |
|---|---|---|---|---|
1993 to 2009 | 17 | 1.24% | 0.23% | 12 of 17 |
2010 to 2025 | 16 | 0.35% | 0.38% | 11 of 16 |
SPY with dividends counted. Other stretches start in the same years and share no price date with a window. Source: YX Insights price data
From 1993 to 2009 the window returned a mean of 1.24% against 0.23% for other stretches. From 2010 to 2025 it returned 0.35% against 0.38%. The window rose in 12 of 17 early years and 11 of 16 later years.
Dropping one year at a time leaves the mean between 0.59% and 0.97%. The lowest comes from dropping the window that ended in January 2009. The highest comes from dropping the window that ended in January 2000.
Does the exact window matter?
Yes. We moved the 7-day window by up to 3 trading days earlier and later, in the same 33 years. We ran seven positions, including the one we defined. Chart 3 shows them.
Source: YX Insights price data
The mean runs from 0.14% for the window 2 trading days later to 1.16% for the window 3 trading days earlier. The window as defined has the second-highest mean of the seven.
Moving the window one trading day later cuts the mean from 0.81% to 0.60%. Moving it three trading days earlier lifts the mean to 1.16%. The mean spans more than 1 percentage point across the seven positions, so the result depends on where the 7 days sit.
Does a falling window predict a weaker rest of the year?
We also tested whether a falling window came before a weaker rest of the year. For each window, we measured SPY from the close of the window's last day to the last close of that calendar year. That needs a finished year, so it covers 32 windows, 1993 to 2024.
The window fell in 9 of those 32 years. Chart 4 shows the means.
Source: YX Insights price data
After a window that fell, SPY returned a mean of 6.89% for the rest of the year. The median was 6.63%. It rose in 7 of 9 years.
After a window that rose, the mean was 13.54% and the median 18.17%. It rose in 19 of 23 years.
One year drives the gap. The window labelled 2007 ended on 3 January 2008 and fell. SPY then fell 36.2% from that close to the last close of 2008.
Without that window, the mean after a falling window is 12.28%, against 13.54% after a rising window. The data does not show that a falling window predicts a weak year. Nine years is a small sample.
What does the test leave out?
The test covers one fund over 33 windows. We left out trading costs and taxes. A window of 7 trading days carries wide swings: the 33 returns ran from a fall of 4.60% to a rise of 7.76%.
Our guide to how to read a backtest covers the problem of judging a pattern found in past prices. For how a few days can drive a long-run return, see time in the market.
In SPY since 1993, the Santa Claus rally window returned more than other 7-day stretches on average, but chance can explain the gap. The edge sat in 1993 to 2009 and was absent from 2010 to 2025.
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Common questions about the Santa Claus rally
How is the Santa Claus rally defined?
We define the Santa Claus rally as the stock market's return over the last 5 trading days of December and the first 2 trading days of January. In SPY from 1993 to 2026, that window returned a mean of 0.81%, with dividends counted. It rose in 23 of 33 years.
Does the Santa Claus rally happen every year?
No. SPY's Santa Claus rally window rose in 23 of 33 years from 1993 to 2026, so it fell in the other 10. The worst window fell 4.60%, ending on 4 January 2000. The best rose 7.76%, ending on 5 January 2009.
Is the Santa Claus rally real?
Not clearly. The Santa Claus rally appears in SPY's data, but chance can explain it. SPY's window returned a mean of 0.81% against 0.31% for other 7-day stretches. In 200,000 random draws of one stretch per year, the mean reached 0.81% or more 14.0% of the time. After 2009 the gap was gone.
When does the Santa Claus rally start?
The window starts with the fifth-last trading day of December and ends on the second trading day of January. In our SPY test the return runs from the close the day before that fifth-last day. In 2025 that was 23 December. The window ended on 5 January 2026.
DISCLAIMER: This article is intended for educational purposes only. Any information or analysis in this note does not constitute an offer to sell or a solicitation of an offer to buy any securities. Nothing in this note is intended to be investment advice, nor should it be relied upon to make investment decisions. Any opinions, analyses, or probabilities expressed in this note are those of the author as of the note's date of publication and are subject to change without notice.
