Via Goldman Sachs: Last week was the largest active hedge fund deleveraging event since February 2009, with long positions sold and shorts covered in every sector.
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They reduced net exposure as well (at according to data I’ve seen) but the deleveraging was a much bigger effect, and only visible through the lens of equity long/short fund returns, or quant factors like “short interest” that I’ve posted about a bit already.
Short interest factor (short most shorted stocks, long least shorted stocks)https://twitter.com/macrocephalopod/status/1354767156253229059 …
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Great stuff. Can you please point to some doc, formula, algorithm of the short interest Factor ?
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Short interest defined as shares loaned out divided by free float (demeaned within sectors). Exposure given by ranking on this metric from -1 (most short) to +1 (least short) then factor returns estimated in a standard equity factor model along with market and sector
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