Dataset Name: alpha_scientist_short_borrow_index
Vendor: Alpha Scientist Inc.
Data Starts at: 2010-06-01 00:00:00
Symbol Set: US Equities
Asset Class: Equity
Data Update Time(s): EOD daily
Data Update Frequency: day
Alpha Scientist's Short Borrow Index
Short Borrow Index provides structured data on the securities lending markets.
The dataset provides daily (7 day/wk) estimates of "fee rate" (annualized %) and number of shares available for each US-listed equity and ETF (currently >15,000 symbols).
The dataset is sourced from a single prime broker but is reflective of the rates and availability across a wide network of securities lending desks.
The dataset supports multiple use cases in both the front- and back-office:
Use Case #1 : Improved Backtest Accuracy
Systematic long-short strategies are exhaustively backtested prior to inclusion in a live portfolio, with care taken over each input to realistic results. However, often the same backtests simply assume a blanket cost to borrow shares, applied to all symbols across all time.
Even more problematic is making the implicit assumption that any stock within the tradeable universe can be borrowed at any time. Even traders in ultra-liquid markets like the S&P 500 typically has a handful of unavailable symbols – and others which are only available at a significant cost. All too often, these are the exact names a backtested strategy is shorting. The Alpha Scientist Short Borrow Index enables your backtesting scripts to avoid shorts which would not have been unavailable, and to calculate borrow fees based on historically accurate rates.
Use Case #2: Alpha Signal Generation
Systematic managers have long used short-selling data to develop alpha signals. Traditionally, this has meant using short interest data to incorporate the behaviors of short sellers into models. However, short interest data is only published twice a month, with a significant reporting lag. Short Borrow Index is based on live securities lending market data so it provides a much more timely measure of short seller activity. Fee rates, number of shares available, and changes therein provide unique insights which can be used as stand-alone signals or incorporated into existing ones.
Use Case #3 : Prime Broker Cost Auditing
Without a centralized short borrow/loan marketplace, funds which engage in short selling are dependent on their prime brokers to determine fee rates (and re-rates) on borrows. However, since prime brokers often depend on short lending fees as a major profit center, their interests are not well aligned with those of the fund manager. Alpha Scientist’s Short Borrow Index provides a simple tool for back- and mid-office teams to benchmark the rates being charged by prime brokers – and to know when to ask for re-rates from their PBs.
The dataset includes all US listed equities (approx 15,000 at current). A universe of select global securities are available upon request.