Short-Sale Activity factor

Short-sale volume from FINRA's daily Reg SHO files, scaled by average trading volume and compared with its 20-day norm. Uses only files published before the prior close. 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, Dividend Yield, Short Interest, Hedge-Fund Ownership, Medium-Term Momentum, Short-Term Momentum and One-Day Momentum (position 17 of 18 style factors).

Last 12 months

Full 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

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.

A negative return means heavily shorted names kept falling the next day, i.e. short sellers were right, which is the factor's usual direction.

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, prior-day shorts outperform next day — wrong-way move for short sellers (squeeze signal); when it is negative, prior-day shorts underperform next day — short sellers generating alpha (favorable for active hedge funds).

What it moves with

← All FPUS1 factors