Over the past three weeks, investors have pulled more than $13 billion out of the S&P 500 SPDR ETF (NYSEArca: SPY).

That’s a ton of money. It’s more than the total assets under management of all but the 10 largest ETFs in the world. It’s equivalent to the total assets under management of the 500 smallest ETFs in the U.S.

Such massive outflows during a flat market would be puzzling on their own, but what makes them all the more puzzling is what happened in December. In December, investors plowed more than $11 billion into the SPY.

Can’t they make up their minds?

Looking back over the years, you can see that this is not an isolated event. Each December like clockwork, investors pile into SPY. And each January, they pile right back out. In, out, in, out: These yo-yo flows happened every year this decade except 2002/2003.

What’s driving these massive fluctuations in assets? No one really knows.

There are no similar fluctuations in the ETF industry as a whole, nor in other “broad market” ETFs like the $40 billion iShares MSCI Emerging Markets ETF (NYSEArca: EEM), the $35 billion iShares MSCI EAFE ETF (NYSEArca: EFA) or the $18 billion PowerShares QQQQ ETF (NasdaqGM: QQQQ). Those funds all had modest inflows in December 2009, and have seen negligible activity since then.

The iShares S&P 500 ETF (NYSEArca: IVV) is similarly not affected. Despite tracking the same exact market as SPY, IVV saw just $350 million in net creations in December 2009, and has actually continued to grow in January.

No one has yet come up with a complete explanation for the massive asset fluctuations in SPY. State Street Global Advisors suggests a variety of factors are at work, including year-end cash allocations by investors, true-ups of mutual funds and more.

But none of that would really explain why SPY gets all the inflows, while other ETFs do not. Nor would it explain why investors rush for the exits as soon as the calendar year closes.

The best explanation I can come up with is massive buying by mutual funds that receive large inflows at the end of the year. These funds do not want to be stuck reporting a large cash position to investors in their year-end statements, so they turn to the most liquid tradable security in the world—SPY—to equitize their cash. After the New Year's, they move out of SPY and into other securities.

Can that explain $24 billion in flows over the course of six weeks? I’m not sure. But it’s a start …

[If you have a better explanation, I’d love to hear it: I’m sure there’s more at work. Please post it in the comments section below.]