Price & Market BehaviorCore researchexperimental liveNew

FTD Persistence Signal

Updated dailyData needs: lowshort only

2008

Boehmer, Jones & Zhang (2008) "Which Shorts Are Informed?", Journal of Finance 63(2).

In plain terms

When a stock fails to deliver shares for several days in a row, persistent short pressure tends to keep the price drifting down for another 1-3 weeks.

How it works

Short-sellers are informed traders; persistent FTD pressure (consecutive settlement days with positive daily fails) screens out routine market-making and predicts continued underperformance. Streak length proxies depth of short conviction.

Live results

11 times picked on its own · 94 times inside a blend (80 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 94 such blended picks (80 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
SEC fail to deliver daily
SEC fail-to-deliver daily ZIP archives normalized by settlement date and ticker.

Expected edge

Reported return: -1-3% over 20d (informed-short proxy)
Tested over: T+1 to T+20d

Boehmer-Jones-Zhang 2008 reports daily-short informativeness; informed-short persistence proxy targets -1-3% over 20d.

Related families

Fails-to-Deliver PressurePrice & Market Behavior

If a stock has been on the SEC's 'failed-to-deliver' threshold list for many days, brokers are forced to close shorts — sets up a squeeze.

FTD Concentrated Squeeze LongPrice & Market Behavior

When a stock is on the SEC's failure-to-deliver list and the daily fail value spikes, the forced-buy-in mechanism often triggers a short squeeze.

Borrow Rate SpikePrice & Market Behavior

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.

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