First, for the uninitiated, the SCR takes place in the final five trading days of the year, beginning on Dec. 23.

The SCR is a seasonally bullish dynamic during which investors can expect an average of 1.33% move in the benchmark S&P 500 (NYSE:SPY) between the last five days of December, and the first two trading days in January.

Historically, according to Detrick, during those final five trading days of the year, the SPY has (79.2% of the time) returned an average of 1.33%. As of right now, the SCR is proving correct, as the index has moved 0.82% higher since the market opened on Dec. 23.

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Detrick observed data stretching back to the 1950s and concluded that "there isn’t a single seven-day combo out of the full year that is more likely to be higher than the 79.2% of the time higher we’ve seen previously during the Santa Claus rally."

These final days are up an average of 1.33%, which is the second-best seven-day combo of the year.

Is there a cause for the rally? 

Generally, there's no clear explanation for the phenomenon, however, the rally is sometimes attributed to the following: 

• Lighter volume due to holiday vacations makes it easier to move the market higher

• Increased Investor purchases in anticipation of the January effect

• A slowdown in tax-loss harvesting that depresses prices at the beginning of December

Now Read: Santa Claus Rally: What It Is And Odds Of Happening During Bear Market

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