*Skip right to the bottom if you want to avoid the waffle and see the answer* 
If we are talking the santa rally as in last 5 days of December, and first 2 of Jan, well it could be all on. It's it not uncommon to see a dip in early december before things spike leading into the holiday period. Likewise you'll probably see somewhat different things in different indices. I've looked at the DOW enough to last a lifetime this year, so I'll opt for the XAO for a change.
If we are talking December as a whole, it's not uncommon to see it flat or slightly negative, with the rally more often (but not always) coming in the later half of December. But first up, the more specific holiday period. Blue lines = 7 day holiday period, yellow = December period.
2013 as good of an example as any of what typically tends to pop up:
As well as 2015:
Even 07 & 08 amidst carnage had positive returns over that 7 day period.
2010 was the most recent non-rally (down -0.29%).
2000 was the only other negative performer over those 7 days, down 0.31%. I should also note, if I went beyond and back to 1999, it had a fall of 1.83%, demonstrating there is an exception to every rule (99 is very much the outlier though, even as you roll back through the 90's).
Honestly I did not expect it to be this consistent. I am at pains to point out this year is a bit abnormal, and that is only a specific period of 7 days on the XAO all ords, but nonetheless quite interesting. Looking at the data, there can be little doubt the period in the past has typically been a positive one.
If we are talking the whole of December, 2011 the is the most recent negative December (a return of -1.74%). 2008 ever so slightly down (-0.35%), as well as 2007 (-2.61%). Although 2007 below still a good illustration of the rally having a knack of coming in late (obviously in the scheme of things did little to slow down the waterfall). 2002 Saw a drop of 1.75%, 2000 a fall of 1.52%.
Decembers as a whole obviously much less consistent, so you are looking at -2.61% as the worst... shall we call it the Grinch rally this side of the Y2K bug 
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