Quick Thoughts Into NFP and Nasty S&P Backtest

Nomura's Charlie McElligott warns that while the S&P 500 remains flat, single-stock dispersion has reached 99th percentile levels, a condition that historically leads to negative equity returns 2–12 months later. This internal market turbulence is driven by a massive rotation from growth to value and amplified by multi-manager 'pod shop' de-risking and short-dated options usage.

Key Takeaways

• 1.The US equity market is experiencing extreme dispersion, with the S&P 500 index flat while average single-stock moves are in the 99th percentile (+/- 10.8%).
• 2.Historical backtests of this specific high-dispersion environment suggest a significantly 'nasty' outlook for S&P 500 returns 2 to 12 months out.
• 3.A massive thematic rebalancing is occurring, shifting away from Mag7/Growth toward Value, Cyclicals, and Defensives, which is crushing realized correlation.

Table of Contents

• Large Cap Movers
• Levered ETF AUM Growth
• Levered ETF AUM Growth Decomposition
• Top50 Dispersion Profitability
• S&P 500 Single Name vs. Index 3M Realized Vol
• SPX Forward Returns | S&P Absolute Dispersion This High 99%ile

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