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New ETF Is A Bet On The Death Of Retail Stores: (EMTY)
Thanks Ted. This new inverse ETF makes me chuckle.
While it's true that XRT is the most shorted ETF, it's also true that high short interest in an ETF is usually a predictor of OUTperformance, not UNDERperformance, at least with ETFs that are decently traded.
Here's a test I ran on the period 1999-2017:
Assumptions:
Universe: All Unleveraged Equity ETFs in the Top 50% of average daily turnover. Rebalance: Weekly on Mondays at the Close Slippage: Assumed at 0.1% per trade Ranking: Buy Top 10 each week with highest Short Interest Ratio
Results: 7.2% annualized return for the period, compared to 5.9% for SPY.
Comments
While it's true that XRT is the most shorted ETF, it's also true that high short interest in an ETF is usually a predictor of OUTperformance, not UNDERperformance, at least with ETFs that are decently traded.
Here's a test I ran on the period 1999-2017:
Assumptions:
Universe: All Unleveraged Equity ETFs in the Top 50% of average daily turnover.
Rebalance: Weekly on Mondays at the Close
Slippage: Assumed at 0.1% per trade
Ranking: Buy Top 10 each week with highest Short Interest Ratio
Results: 7.2% annualized return for the period, compared to 5.9% for SPY.