Goldman Sachs data shows nearly half of S&P 500 stocks moving against the index

The Goldman figure is higher than a similar CNBC calculation. CNBC found that nearly 40% of S&P 500 stocks had a negative three-month beta against the index, based on weekly returns, while 17% had a negative one-year beta. Beta measures how a stock moves relative to the rest of the market; a negative reading means the stock's returns moved opposite the S&P 500 over the period measured.

The split coincides with other unusual signals. The S&P 500 rallied 1.5% last Monday, but 30 stocks touched a 52-week low that day while just seven reached a new high. Jason Goepfert, founder of SentimenTrader, said the last time the index gained at least 1% while sitting within 1% of a new 52-week high and new lows outnumbered new highs was in December 1999, just before the peak of the dot-com boom. Together, the two sets of data show an index can sit at or near a record while its individual components move in opposite directions.

Adam Turnquist, chief technical strategist at LPL Financial, said the gap reflects how concentrated the S&P 500 has become. Mega-cap technology companies carry outsized weights in the benchmark, so strong performance from a small number of stocks can lift the index even when many others fall. "It only takes a few of those mega caps names to work, and a lot of the smaller weighted stocks don't need to work," Turnquist told CNBC, pointing to unusually low correlations among S&P 500 stocks.

The same dynamic explains why the index can look calm while individual shares make large moves, said Bradley Krom, director of investing strategy at WisdomTree. "Beta is a function of correlation and volatility," Krom said. When stocks move sharply at different times and for different reasons, those moves can largely offset one another at the index level.

In July, Alliance Bernstein, using one-year trailing returns, found an unprecedented share of U.S. stocks displaying negative beta as AI winners drove market gains. Semiconductor makers, hardware companies and other AI infrastructure beneficiaries have benefited from enormous capital spending, while companies outside the AI trade have struggled to keep pace. "But a narrow market can also distort the signal investors receive from index returns. When a handful of companies dominate performance, many financially sound businesses may lag or even decline, simply because they aren't tied directly to the most powerful market narrative," wrote Kurt Feuerman, chief investment officer of Select U.S. Equity Portfolios at AllianceBernstein.

Energy stocks with negative beta are being driven by different forces. "Another part of the other story is energy. That's been pronounced this year: higher oil prices, higher energy stocks and then the rest of the market trades lower," Turnquist said, placing energy alongside more defensive sectors as a major part of the negative-beta picture. Earlier this month, Evercore ISI used a six-month measure to identify 115 S&P 500 stocks with negative beta, a list skewed toward energy, utilities and consumer staples. The investment bank called the energy sector a "synthetic S&P 500 put option" because of how it has reacted to geopolitical pressure.

Turnquist said the number of negative-beta stocks could decline if market leadership broadens, but he expects dispersion to remain elevated as investors stay selective toward beneficiaries of AI spending and seek returns there. Krom expects the recent extreme readings to revert to the mean, noting that similar spikes appeared around the 1999-2000 dot-com bubble, when market concentration and large moves in a narrow group of stocks also produced unusual divergences.

Turnquist disputed comparisons with the dot-com era, saying leading technology companies today are more mature businesses with established revenue and products. Krom agreed. "It is not the same market environment now versus 2000," Krom said. The negative betas seen today boil "down to the amount of market concentration."