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Quick and dirty implementation of a market- and sector-neutral short interest factor (i.e. short the most shorted stocks, long the least shorted stocks within each sector) .... yeeeouchpic.twitter.com/aFSp6lROE7
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Wow, didn’t realize that strategy was working so well before.
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This is the 'pure' factor return i.e. not accounting for trading costs or, importantly, financing --- in reality your short book would have high borrow fees because they are in-demand shorts, and that wd be a drag on returns
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Is this in the Russell 2000 as we use the short interest factor as a momentum factor or at least a risk factor. It usually works, but not in large caps
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This is all US stocks with some criteria on market cap, traded volume and price (no micro caps, no penny stocks, nothing trading less than $3m/day on avg)
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It's a factor return -- never said otherwisehttps://twitter.com/macrocephalopod/status/1354488632288010240?s=20 …
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you have an update of this graph? maybe zoomed into 2020/2021?
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Will give an update tomo. Didn’t want to become that guy who posts about the same thing every day ...
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