Calendar · daily rule · Indexes & ETFs
Santa Claus Rally on S&P 500 ETF
What the play says
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of $10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SPY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.2% | +11.0% | +3.8% | +13.9% |
| Total return | +59% | +861% | +21% | +91% |
| Worst drawdown | −6.7% | −55.2% | −2.8% | −24.5% |
| Volatility | 2.4% | 18.9% | 1.8% | 17.1% |
| Sharpe ratio | 0.17 | 0.55 | 0.00 | 0.62 |
| Time invested | 3% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 18 of 44 closed calls (41%). In calls averaged +0.5%; out calls saw SPY move +11.2% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Jan 5, 2026 | OUT | $682.39 | now | +14.0% | open |
| Dec 23, 2025 | IN | $682.63 | Jan 5, 2026 | 0.0% | ✕ wrong |
| Jan 3, 2025 | OUT | $580.54 | Dec 23, 2025 | +17.6% | ✕ wrong |
| Dec 23, 2024 | IN | $583.23 | Jan 3, 2025 | −0.5% | ✕ wrong |
| Jan 3, 2024 | OUT | $453.94 | Dec 23, 2024 | +28.5% | ✕ wrong |
| Dec 21, 2023 | IN | $457.72 | Jan 3, 2024 | −0.8% | ✕ wrong |
| Jan 4, 2023 | OUT | $366.04 | Dec 21, 2023 | +25.0% | ✕ wrong |
| Dec 22, 2022 | IN | $363.14 | Jan 4, 2023 | +0.8% | ✓ right |
| Jan 4, 2022 | OUT | $448.22 | Dec 22, 2022 | −19.0% | ✓ right |
| Dec 23, 2021 | IN | $441.70 | Jan 4, 2022 | +1.5% | ✓ right |
| Jan 5, 2021 | OUT | $343.94 | Dec 23, 2021 | +28.4% | ✕ wrong |
| Dec 23, 2020 | IN | $340.46 | Jan 5, 2021 | +1.0% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 45 calls shown.
How the play works
- In at the close six trading days before year-end.
- Out at the close on the second trading day of January.
Hirsch described a market tendency, not a stand-alone system for single stocks.
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.