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
Despite being constructed to be market-neutral the factor still has a -60% correlation with the market
- hedging this with an in-sample beta makes the 2018 drawdown more obvious (though still nowhere near as bad as 2020-21)pic.twitter.com/Hc8B78tuIP
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Is the universe US or Global?
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