Moves in heavily shorted stocks are *extreme*. Short interest factor return (in std devs) last Friday was -2.4, Monday -3.9, Tue -5.1 and yesterday **-8.8**. Overall it's a 10 standard deviation move, giving up ~3 years of return in four days
Another note — factor above is not hedged to momentum (generally +ve correlated) or size (-ve correlated as heavily shorted stocks tend to be small or mid caps) so part of the drop is just small caps rallying.
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Update — short interest factor was *up* about 2% yesterday (a 6 stdev move) though looking likely to be down again today.
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Is it adjusted for cost of borrow?
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