NEW YORK (HedgeWorld.com)--Sungard Institutional Brokerage Inc., part of the data processing and software company, is offering daily aggregates and weekly industry-level measures derived from stock borrowing data. In tests, these track the short interest numbers put out by exchanges once a month.
Sungard Securities Borrow Indices cover the NYSE, Nasdaq and the value and growth components of the S&P 500, 400 and 600 daily. A weekly report goes into greater detail, indicating industries with the highest share borrowing and those subject to the largest increases and decreases in borrowed shares over the previous week.
For instance, construction materials, gas utilities and airlines had the highest SBI among Large-Cap 500 companies in the Oct. 11 report. For NYSE and Nasdaq, this newsletter showed a decline in SBI since mid-September. The weekly reports also display borrowing of exchange-traded fund shares.
Raw data for the measures come from brokerages and banks that use Sungard's Loanet system, an accounting service for securities lending. That means SBI misses stock borrowing that happens elsewhere. But the indicators catch well over 50% of activity, according to Jay Indovino, chief executive of Sungard Institutional Brokerage in St. Louis.
Users can spot trends as they unfold and identify short positions being taken almost immediately, said Charles Comer, managing director for Sungard Institutional Brokerage, New York. He emphasized that a lot can go on in a month, and this information gives a significant edge to a trader or hedge fund.
Mr. Indovino said SBI are a daily proxy for the once-a-month short interest figures. In back testing, SBI were better than 85% correlated with NYSE and Nasdaq short position data.
Besides being more timely than monthly exchange data, the new tools show intra-month borrowing that otherwise is not available in a systematic way. Hedge funds often try to get short selling and closing information from their brokers, but the SBI go beyond such anecdotal data in cutting a wide swath.
There are very few firms in some industries, so it may be possible to infer short activity for a firm from the industry SBI. As the next step, Mr. Indovino expects to have individual stock borrowing data available some time in 2005.
In addition to hedge funds and individual traders, some mutual funds also could use the tools, mainly to watch for short selling trends against their positions.
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