Thomson Reuters has released a short interest model as part of its StarMine Smart Money suite of models that derive signals from the activity of groups of informed investors, to help investment managers generate more profitable decisions and mitigate risks.
The new model generates predicted alpha for stocks, by analyzing short selling activity in those stocks, on the assumption that stocks with high numbers of shares shorted will underperform, and vice-versa, using the level of institutional ownership as a proxy for the amount of shares available to lend to short sellers, and is available as a daily feed and through the vendor's desktop products, including Thomson One for Investment Management and Datastream Professional.
The model employs a short squeeze indicator, which ranks stocks on a scale of between one and 100, based on their likelihood of upward spikes based on medium- and long-term price volatility, combined with the amount of short interest.
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