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UK Shorts Tracker

Participants in the UK financial market are required to disclose their positions when above a certain threshold (0.2% of shares outstanding as of writing) - these are published here daily. Below is a monitor based on these disclosures.

Most Shorted Companies​

Largest Shorts by Fund​

Code​

The code to generate this report is on my GitHub page here, along with a README to explain how it works.

Metrics​

  • Return: the (adjusted) return of the security
  • PnL: the disclosed PnL from the short position
    • Note: this figure will not be entirely inaccurate since
      1. It doesn't account for intraday PnL
      2. The short positions are only reported to 1dp
  • Days to Cover: The number of days it will take to fully liquidate the position at 100% trading volume (22 day average)

Context​

Here's some background behind the metrics calculations:

  • Lookback of 5 days:
    • Typically the funds disclosing shorts won't be actively trading in and out positions due to slippage concerns
    • I'd expect any trading that happens will take place over a few days
      • justified by the DTC column - most are >1 day
    • Hence, a lookback period of >1 day makes sense
  • Days to cover:
    • A useful metric since if this is large and shorts perform badly, it's difficult to exit the position
  • PnL:
    • A lot of these funds are long-short meaning they will have a long position in a security for these short positions
    • Hence PnL relative to a benchmark might be more useful than raw PnL
    • In the original code I included PnL relative to VUKE (a FTSE100 ETF), however the results table didn't render properly so I have excluded it for now

Disclaimer​

The information on this page is provided for information only and should not be constituted as investment advice. I don't provide any warranty as to the accuracy of the information on this site and it should not be relied upon in any way.

Sources​

I'm using data from Yahoo Finance, OpenFIGI and FCA to produce this report.