Borrow FTD Squeeze
In plain terms
When THREE things fire together — expensive borrow, SEC threshold list, heavy FINRA short-volume — the stock sharply mean-reverts UP over 5 days.
How it works
Beschwitz, Honkanen & Schmidt (2024) JFE "Costly Arbitrage and the Short-Squeeze Premium." Novel finding: when all three short-side stress signals fire simultaneously — top-decile borrow-rate Δ, Reg-SHO threshold inclusion, and elevated FINRA short-volume ratio — the next 5 trading days mean-revert sharply higher. The 3-table confluence is what makes this distinguishable from generic short-interest crowding. Reported: 18% annualised, Sharpe 1.6 post-cost, 5-day hold, LONG-only.
Data dependencies
- Stock borrow rates
Daily borrow-fee curve from prime-broker feeds.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- SEC reg sho threshold
A data feed this strategy reads, refreshed on its normal schedule.
- Finra short volume
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- 18% ann. (Beschwitz-Honkanen-Schmidt 2024 JFE)
- Reported Sharpe
- 1.6 post-cost, 5d hold
- Tested over
- 2010-2022
Reported: 18% annualised, Sharpe 1.6 post-cost, 5-day hold.
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