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Throughout this bull market, whenever we've gotten a bounce off of a pullback, the calls that it's "nothing but a short covering rally" always pop up. Usually they have not been, however, which is the case this time around as well.

We broke the S&P 500 into deciles (10 groups of 50 stocks each) based on a stock's short interest as a percentage of float and then calculated the average performance of the stocks in each decile so far this week. The average S&P 500 stock is up 1.95% since the close on Friday. As shown below, the 50 most heavily shorted S&P 500 stocks are up an average of just 1.8%, so they have actually underperformed.

(click to enlarge)

The real story of this bounce has been that the stocks that fell the most during the pullback have rallied the most so far this week. As shown below, the 50 stocks that did the worst during the 9/14-10/12 pullback are up an average of 2.7% over the last two days, while the 50 stocks that held up the best from 9/14-10/12 are only up 1.3%.

(click to enlarge)