Short Sentiment Factors

The Short Sentiment Factors dataset provides a suite of quantitative global factors built from proprietary Securities Finance dataset. This rich dataset is collected directly from market participants and provides insights based on $36 Trillion inventory, with coverage across global markets and contributions from 98% of prime brokers.

The dataset provides global signals that allow better detection of negative driven sentiment around a company’s prospects via the securities lending market. Short Sentiment Factors illuminate an opaque market segment, providing daily data ranging from supply and demand to borrow rates and market shares. The dataset is a better indicator compared to delayed exchange data since the factors are updated more frequently with most relevant information

This dataset includes:

- Utilization metrics: A measure of percentage of stocks lent by custodians relative to realistic amount of stock in their inventory pool
- Demand supply measures to get a pulse on market sentiment
- Implied loan rate: A relative measure of how expensive the stock is to borrow
- Concentration metrics in inventory concentration from brokers