A Short Story (Credit Suisse)

June 2014

KEYWORDS: Short Selling, S&P 500, Macro, CTA, commodities, leverage, long/short equity, Asia


Jon Kinderlerer

  • Credit Suisse


The top 50 US longs are performing in-line with the S&P this month. Unfortunately the shorts are not. This month, we are starting to see the largest underperformance on the short side since last fall. While the shorts are underperforming we are still inside of two standard deviations. The story is stock specific, as out of the 50 most popular shorts, 8 names rallied at least 10% with none declining by as much. For the most part we have not seen significant covers with aggregate short exposure to these names increasing this month.

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