A statue of a girl facing the Wall Street Bull in the financial district in New York.

For the true story on the U.S. economy, small-cap stocks' sluggish performance may be a better guide, according to Jefferies.

Stocks with small market capitalizations reported a 0.5 percent drop in earnings per share in the second quarter, versus 9.9 percent growth for large-cap stocks, Steven DeSanctis, equity strategist, and his associate Miles Bredenoord said in a Monday note.

The gap of 10.4 percentage points between small-cap and large-cap earnings growth marks the largest since the financial crisis, the report said. "The earnings difference was massive and keeps us cautious," they wrote.

Earnings have been much better for large-cap stocks lately

Source: Jefferies

The latest government report showed U.S. economic growth of 3 percent in the second quarter, the fastest annualized rate in more than two years. However, other reports, such as retail sales and nonfarm payrolls, have been soft. Billionaire Warren Buffett said in a CNBC interview in late August that the economic growth rate feels more like 2 percent than 3 percent.

If the economy did grow at 3 percent, "we think small-cap earnings would be up double digits," the Jefferies analysts said. "The large difference can't last too long in our opinion, and thus the issue is whether or not large [cap earnings growth] gets worse or small gets better."