This note was originally published December 10, 2013 at 12:41 in Macro
POSITION: 5 LONGS, 5 SHORTS @Hedgeye
During the 5-day correction in the SP500 (which ended Thursday) I went to 11 LONGS, 3 SHORTS. So all I am doing here is aggressively managing the immediate-term risk of this market’s range. #GetActive remains one of our Top 3 Global Macro Themes for Q413.
Unconventional markets call for unconventionally active risk management.
Across our core risk management durations, here are the levels that matter to me most:
- Immediate-term TRADE overbought = 1815
- Immediate-term TRADE support = 1785
- Intermediate-term TREND support = 1734
In other words, the immediate-term risk range = 1785-1815 and, from an intermediate-term TREND perspective, there’s mean reversion risk down to 1734 TREND (-4.1% downside) versus +0.4% upside from the all-time closing high of 1808.
The less I try to over-think this, the better. The math works more than it doesn’t.
Chief Executive Officer