That is a wide margin - a significant market anomaly. The question is whether it is consistent enough to be exploitable by investors.
There may be a connection to low interest rates during Democrat administrations and stock market returns. The following graph illustrates closing prices for the S&P 500 Index (green line) in each year since 1955 and one year Treasury Bill rate (blue line). The party of the president occupying the White House is depicted with red (Democrat) and blue (Republican) overlays.