Short Interest factor

Reported short interest as a share of shares outstanding, compared within US or international listings. Uses only reports already public on each date. Part of FactorPulse's FPUS1 model (Style: dynamics).

The exposure shown is this measure standardized across stocks and taken net of the market and of International, Beta, Size, Long-Term Momentum, Residual Volatility, Liquidity, Growth, Value, Leverage, Profitability and Dividend Yield (position 12 of 18 style factors).

Oct 28, 2026
-0.10%
vs. 1-year daily volatility
z = -0.5
1M
+0.39%
3M
-0.90%
YTD
-0.71%
1Y
-1.38%

Last 12 months

simulated-3.0%-2.0%-1.0%0.0%1.0%Oct 25Dec 25Feb 26Apr 26Jun 26Aug 26Oct 26
Cumulative return (sum of daily returns) of the Short Interest factor portfolio, through Oct 28, 2026.

Full history

simulated history-20%-10%0%10%20%2020202120222023202420252026
Since Jan 02, 2020. The shaded period is simulated history.

History before Jul 15, 2026 is simulated: it was regenerated on that date with the methodology adopted then, not recorded live, and charts shade that period. Later changes apply from their dates forward; see the revision log. Point-in-time risk forecasts begin Jul 30, 2026.

Statistics

PeriodReturnVolatility (ann.)Return / riskMax drawdown
1M+0.39%3.7%+1.25-0.79%
3M-0.90%3.5%-1.04-1.93%
YTD-0.71%3.2%-0.27-2.61%
1Y-1.38%3.1%-0.45-3.27%
Since Jul 2026 (live)-1.07%3.8%-0.94-2.56%
Since 2020 (incl. simulated)-16.23%2.9%-0.83-28.09%

Returns are summed daily long/short factor returns before costs. Volatility and return/risk are annualized from daily data. Each factor is measured net of other factors (see above), so its return can differ from familiar indexes built on the same idea. Section 9 of the methodology (Empirical Factor Behavior) discusses each factor's realized return.

Large companies most and least exposed today

Among the 500 largest US-listed companies (market cap above $26B). Exposure is in standard deviations across about 2,000 stocks, net of the factors ranked ahead of it. When the factor return is positive, highly shorted names outperform; when it is negative, highly shorted names underperform.

Highest exposure

  1. Fox Corporation FOXA +3.97 · $27B
  2. Kimberly-Clark Corp. KMB +3.87 · $36B
  3. Live Nation Entertainment Inc. LYV +3.66 · $40B
  4. Xcel Energy, Inc. XEL +3.21 · $48B
  5. ResMed Inc. RMD +3.19 · $35B
  6. American Water Works Company, Inc AWK +2.14 · $28B
  7. TC Energy Corporation TRP +2.11 · $66B
  8. Ares Management Corporation ARES +2.10 · $28B
  9. HP Inc. HPQ +2.02 · $29B
  10. CenterPoint Energy, Inc. CNP +1.99 · $28B

Lowest exposure

  1. Ubiquiti Inc. UI -2.02 · $36B
  2. Ferrovial N.V. FER -1.60 · $39B
  3. ArcelorMittal MT -1.59 · $45B
  4. Mplx Lp MPLX -1.57 · $60B
  5. AngloGold Ashanti plc AU -1.50 · $44B
  6. Energy Transfer LP Common Units ET -1.44 · $71B
  7. Jbs N.V. JBS -1.44 · $39B
  8. MongoDB, Inc. MDB -1.39 · $32B
  9. Deutsche Bank Aktiengesellschaft DB -1.37 · $62B
  10. Credo Technology Group Holding Ltd CRDO -1.37 · $33B

What it moves with

Most positively correlated factors (1 year)

  1. Hedge-Fund Ownership +0.29
  2. Medium-Term Momentum +0.25
  3. Treasury (Duration) +0.24

Most negatively correlated factors

  1. Semiconductors -0.50
  2. Long-Term Momentum -0.40
  3. Dividend Yield -0.36

Correlation with ETFs

ETF1 year3 months
SPY S&P 500-0.07+0.04
IWM Small caps-0.04+0.27
TLT Long Treasuries+0.18+0.46
USO Oil-0.09-0.15
SMH Semiconductors-0.27-0.27
GLD Gold-0.21-0.08
XLU Utilities-0.19-0.07
BITO Bitcoin futures-0.13+0.00
KWEB China internet+0.07+0.19

← All FPUS1 factors