Borrow Rate Level Short
In plain terms
When the cost to short a stock annualizes above 10% (hard-to-borrow), the stock tends to underperform by roughly 3-4% per month. Short these expensive-to-borrow names for the next 4-12 weeks.
How it works
Stocks that are expensive-to-borrow earn -3.7%/month abnormal return — the shorting premium of Drechsler-Drechsler 2014. The expensive borrow signals binding short-sale constraints; the costlier the borrow, the more the bearish belief is kept out of price, leaving the optimist tail to dominate.
Live results
4 times picked on its own · 18 times inside a blend (16 beat the stock) · updated 2026-06-06Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Stock borrow rates
Daily borrow-fee curve from prime-broker feeds.
Expected edge
- Reported return
- -3.7%/month
- Tested over
- T+1 to T+60d
-3.7%/month abnormal on top-tier hard-to-borrow names (Drechsler-Drechsler 2014).
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
When the cost to borrow a stock spikes, shorts are paying premium to bet against it — usually a bearish signal, except at extremes where they get squeezed.
When the cost to short a stock jumps sharply over a month (top 10% of normal moves), informed shorts are paying a premium to get in. Short the stock for 4-8 weeks.
Combines three squeeze precursors (borrow rate + SEC threshold list + Wikipedia attention) into one composite — when all three fire, squeeze is loaded.
Explore Borrow Rate Level Short on alphactor.ai
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