Decentralized information production by active managers at the stock level can generate a market-wide public signal, while segmented, slow-moving index capital can delay its incorporation into the market index. We show that daily return spreads between high-and low-active-ownership stocks significantly forecast next-day S&P 500 returns, yielding a market-timing Sharpe ratio near one. Predictability concentrates among hedge funds and highly active mutual funds, exhibits no reversals, strengthens in recessions and high-uncertainty states, persists longer in tight-funding periods, and extends to international markets. A rational-expectation theory of informed managers and slow-moving capital reconciles these findings and delivers new testable predictions. Structural estimation implies that market-wide information accounts for about 20% of the model-implied stock-level signal variation in high-active-ownership stocks.