The 75th percentile ceiling finally broke.
Three spikes since mid-September — all reversed the next day. This week was different.
Oct 12: 44th percentile
Oct 13: 50th percentile
Oct 14: 93rd percentile
Oct 15: 96th percentile (EXTREME)
Oct 16: 93rd percentile
Three straight sessions above 75th. First time since August.
The pattern inside those three days: equal-weight $SPY (RSP) beat $SPY every session by 0.5 to 1.1 points. On Oct 14 and Oct 16, $SPY fell over 1% while RSP fell about half that.
The mega-caps dragged. $NVDA and $AVGO closed red all three days. $AVGO dropped 4.5% Friday alone.
23 years of forward return data:
HIGH dispersion (75th–95th percentile) · 702 days
$SPY avg 20d: +0.63% · avg 60d: +1.79%
$QQQ avg 60d: +2.57%
NORMAL dispersion (40th–75th percentile) · 1,335 days
$SPY avg 20d: +0.88% · avg 60d: +2.71%
$QQQ avg 60d: +3.62%
HIGH is the weakest forward return bucket. That's where we are now.
Three days isn't a regime yet. Spring's elevated period ran for months. But this is the first time since August the spike didn't fade overnight — and that changes what we watch.
If dispersion falls back below 75th next week, this was just a bigger absorbed spike. If it holds above, the compression that started in August is over.
HIGH dispersion is where the index struggles and selection matters most. Stock picker's regime, not an index regime.
Three spikes since mid-September — all reversed the next day. This week was different.
Oct 12: 44th percentile
Oct 13: 50th percentile
Oct 14: 93rd percentile
Oct 15: 96th percentile (EXTREME)
Oct 16: 93rd percentile
Three straight sessions above 75th. First time since August.
The pattern inside those three days: equal-weight $SPY (RSP) beat $SPY every session by 0.5 to 1.1 points. On Oct 14 and Oct 16, $SPY fell over 1% while RSP fell about half that.
The mega-caps dragged. $NVDA and $AVGO closed red all three days. $AVGO dropped 4.5% Friday alone.
23 years of forward return data:
HIGH dispersion (75th–95th percentile) · 702 days
$SPY avg 20d: +0.63% · avg 60d: +1.79%
$QQQ avg 60d: +2.57%
NORMAL dispersion (40th–75th percentile) · 1,335 days
$SPY avg 20d: +0.88% · avg 60d: +2.71%
$QQQ avg 60d: +3.62%
HIGH is the weakest forward return bucket. That's where we are now.
Three days isn't a regime yet. Spring's elevated period ran for months. But this is the first time since August the spike didn't fade overnight — and that changes what we watch.
If dispersion falls back below 75th next week, this was just a bigger absorbed spike. If it holds above, the compression that started in August is over.
HIGH dispersion is where the index struggles and selection matters most. Stock picker's regime, not an index regime.