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How to Manage Risk Without Fighting Momentum

Stock market indexes are once again trading near round numbers as the odds of a Fed rate hike rise

Senior Vice President of Research
Mar 6, 2017 at 8:39 AM
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"... the 'Trump rally' could be back, as market participants focus on the administration's moves in the first 100 days in office. There are certainly risks worth mentioning, but the most important data point to keep in mind is that equity benchmarks are at, or just below, all-time highs. In that respect, you should not disturb bullish positions... Round numbers on three equity benchmarks are now in play: SPX 2,300; S&P MidCap 400 Index (MID - 1,696.67) 1,700; and Dow 20,000."
    -- Monday Morning Outlook, January 30, 2017


The beat goes on for bulls, with the Dow Jones Industrial Average (DJIA - 21,005.71) crossing over the 21,000 millennium mark, only 24 trading days after it surpassed 20,000 for the first time ever. And the Russell 2000 Index (RUT - 1,394.12) finally took out its December 2016 high last month, a few weeks after the Dow and S&P 500 Index (SPX - 2,383.12) carved out their own new all-time highs. While the Nasdaq Composite (COMP - 5,870.75) was 96 points south of the 6,000 millennium level at last week's closing high, I found it of interest that the round 10% year-to-date return at 5,921 came into play, with the Wednesday, March 1 intraday high around 5,912.

The explosive advance last week occurred after a warm reception to President Donald Trump's congressional address. The speech simply reiterated his plans for the direction he would like to push the country, albeit to some in a more "stately" manner in terms of delivery. As such, the Trump administration continues to be a major focal point during these first 100 days in office. Moreover, after watching a CNBC interview with Commerce Secretary Wilbur Ross on Friday morning, more details should emerge on specifics with regards to changes in the regulatory environment. Such headlines could provide catalysts for various sectors in the coming weeks.

The last time multiple benchmarks flirted with round numbers simultaneously was late January, just days after the inauguration and ahead of the Feb. 1 Fed meeting, when Dow 20,000, SPX 2,300, and S&P MidCap 400 Index (MID - 1,739.50) 1,700 were in play. Equities flat-lined for just over two weeks, as their 20-day and 40-day moving averages played catch-up before the mid-February "lift-off."

As I mentioned on Twitter on Friday, one potential scenario ahead of the March 15 Federal Open Market Committee (FOMC) decision on interest rates is a short-term consolidation, much like the late-January/early February action when the February FOMC meeting was in focus.
 
Many Fed officials -- including Chair Janet Yellen -- spoke last week, with strong hints of an impending rate hike at the upcoming meeting. In fact, according to the CME Group website, the probability of a rate hike on March 15 is currently 81%, using 30-day fed funds futures prices. In contrast, the odds of a rate hike ahead of the February meeting were only 4%. These odds could change over the course of this week, with a mountain of economic data due to be released, including payroll numbers on Friday.

The bottom line is that momentum continues to "trump" all indicators, including the risk of a volatility pop that we've been discussing for weeks, as investors view prospects for tax reform and deregulation as potential growth drivers. While I've mentioned risks to the bull case these past few weeks, I have been careful to point out that you cannot "fight the tape" -- and the tape continues to be bullish.

"... the current rally is based on a lot of short covering, with SPX component short interest plunging more than 9% since mid-December. There is more room for covering if component short interest levels take out of the lows of 2014 and 2015 and move down to the low of 2011-2012. But if the current short-covering rally is over, it is up to momentum players to come off the sidelines, as they did in 2013 when the SPX broke out above 1,500 even as short interest increased."
      -- Monday Morning Outlook, January 30, 2017


Several weeks ago, I mentioned that there had been significant short covering that accompanied the rally since the November elections. Short interest data is released on about a two-week delay, and  the mid-February report revealed the first uptick in short interest on S&P components since the rally began in mid-November. To the extent shorts begin to build positions again, this former tailwind becomes a headwind. This does not necessarily mean that the rally ends, as money coming off the sidelines can still overpower the shorts.

In 2015 and 2016, upticks in short interest occurred during periods of market weakness. The good news, from a bull's perspective, is that the recent increase in short interest did not negatively impact stocks -- implying sideline money overpowered the shorts (one report I read recently is that hedge funds have reduced cash positions in recent weeks). Nonetheless, beware that the shorts are getting a little bolder at these levels, and could become very aggressive if any major disappointments or negative surprises emerge out of Washington in the coming weeks.

spx short interest 0303


My message hasn't changed from that of the past few weeks: respect the market's momentum, and stay the course with regard to bullish positions. There are risks worth acknowledging, so consider managing the risk via the "stock replacement" strategy in the options market, and/or consider the use of options in lieu of pure stock plays when getting into a long trade.

Additionally, consider exposure to gold or gold-mining call options. There is seasonal risk, but gold has performed well after large speculators bailed ahead of this year's advance (per Commitments of Traders data). This group has tiptoed back into the yellow metal in recent weeks, but there is plenty of room for further capitulation to the bull camp.

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