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This is incredible: The 3-month risk-adjusted momentum factor between the S&P 500 cap-weighted and equal-weighted is down to -0.60, the lowest since the 2000 Dot-Com Bubble burst. In simple terms, this means large-caps delivered the weakest volatility-adjusted performance compared to the average stock in 25 years. This marks a sharp reversal from the +0.60 reading in November, when large-caps were leading the market. As a result, the S&P 500 equal-weighted index is outperforming the S&P 500 by 5 percentage points, the widest margin in at least 36 years. The last time such a reversal in performance occurred was in 2000, when the equal-weighted S&P 500 surged 18 percentage points against the cap-weighted index over the following year. Mega-cap tech stocks have gone from market leaders to market laggards.
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