borrow rate level short
What it checks
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.
Mechanism
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.
Signal rule
borrow_rate_pct >= 10%/25%/50% APR (T+1) -> SHORT for 20/40/60 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
stock_borrow_ratesDaily borrow-fee curve from prime-broker feeds.
Expected edge
- Paper alpha
- -3.7%/month
- Paper window
- 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
borrow rate spikeMicrostructureWhen the cost to borrow a stock spikes, it signals either (a) shorts have HIGH conviction despite paying premium — bearish continuation — or (b) utilization is hitting recall risk — bullish squeeze setup. Two readings: Z-SCORE BREAKOUT (borrow fee z > +2 vs 60d baseline → short the stock) and SQUEEZE TRIGGER (borrow fee at extreme AND price reverses up → long the squeeze). Sourced from `stock_borrow_rates` (iborrowdesk daily, ~1y depth).
borrow rate spike shortMicrostructureA sharp INCREASE in borrow fee, independent of absolute level, means short demand is overwhelming supply — informed shorts are willing to pay up to get in. The 30-day delta of borrow rate, ranked top decile against trailing-year own distribution, captures the demand-acceleration signal.
short squeeze metaMetaCombines existing borrow_ftd_squeeze, borrow_rate_spike, ftd_threshold_list into a short-squeeze readiness index that also requires positive attention shock (Wikipedia or social).
Explore borrow rate level short on alphactor.ai
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