We cover 971 Canadian ETFs and Funds with active shares shorted with $3.44 billion of short interest. Average Short Interest % of Float is 15.72% and S3 SI % Float (which includes synthetic longs created by every short sale in the Float number) is 12.46%, while the average stock borrow fee is 1.78%. As a comparison, Canadian equities have an average SI % Float of 2.69%, S3 SI % Float of 2.59% and average stock borrow fee of 0.55%.

Canadian ETF Short Interest (as of 11.21.22)

Canadian ETF\Fund

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

ISHS S&P/TSX 60 ETF

XIU CN

22.36%

18.28%

0.82%

$1,932,109,377

ISHS CORE SP/TSX CAPPED ETF

XIC CN

6.59%

6.19%

0.30%

$452,634,345

ISHS S&P/TSX ENERGY ETF

XEG CN

7.70%

7.15%

6.07%

$130,375,418

BMO S&P/TSX EQUAL WEIGHT BANKS ETF

ZEB CN

5.61%

5.31%

0.30%

$127,696,317

HORIZONS SP/TSX 60 ETF

HXT CN

3.40%

3.29%

0.30%

$101,054,045

BMO LADDERED PREFERRED SHARE ETF

ZPR CN

3.31%

3.21%

3.57%

$40,410,053

ISHS CORE CAD UNIVERSE BOND ETF

XBB CN

1.00%

0.99%

0.94%

$35,044,540

PURPOSE BITCOIN ETF

BTCC/B CN

14.83%

12.91%

16.07%

$30,818,081

SPROTT PHYSICAL URANIUM TRUST FUND

U-U CN

1.09%

1.08%

3.07%

$29,485,616

BMO S&P 500 ETF

ZSP CN

0.30%

$21,138,004

BMO SP/TSX CAPPED COMPOSITE ETF

ZCN CN

0.41%

0.30%

$21,089,886

ISHS CORE SP 500 ETF

XSP CN

0.35%

6.32%

$20,762,793

ISHS GOLD BULLION ETF

CGL CN

4.03%

3.88%

2.32%

$20,129,245

ISHS CANADIAN CORPORATE BOND ETF

XCB CN

1.76%

1.73%

5.32%

$20,017,070

ISHS S&P/TSX CAPPED REIT ETF

XRE CN

2.45%

2.39%

7.07%

$18,709,503

BMO EQUAL WEIGHT UTILITIES ETF

ZUT CN

5.50%

5.21%

0.30%

$17,725,341

HORIZONS US DOLLAR CCY ETF

DLR CN

16.79%

14.37%

7.07%

$16,267,063

ISHS S&P/TSX CAPPED FINANCIALS ETF

XFN CN

1.53%

1.50%

9.32%

$15,953,649

CI GALAXY ETHEREUM ETF

ETHX/B CN

9.66%

8.81%

14.32%

$15,349,926

ISHS CORE MSCI EAFE IMI INDEX ETF

XEF CN

0.31%

3.07%

$12,764,252

SPROTT PHYSICAL GOLD TRUST

PHYS CN

0.21%

6.32%

$10,963,389

INVESCO S&P 500 ESG INDEX ETF

ESG/F CN

41.16%

29.16%

4.32%

$10,814,169

BITCOIN ETF

EBIT CN

27.29%

21.44%

18.32%

$8,754,828

VNGRD SP 500 INDEX ETF

VFV CN

0.17%

10.32%

$8,401,005

HORIZONS ACTIVE PREFERRED SHARE ETF

HPR CN

0.78%

4.07%

$6,969,900

Total Canadian ETF Short Interest

15.72%

12.46%

1.78%

$3,439,598,594

Overall ETF short exposure increased from $3.22 billion to $3.44 billion, an increase of $221 million, or +6.88%, over the last thirty days. Change in short interest is comprised of mark-to-market price changes of existing shorts coupled with new short selling and covering. We saw a $310 million increase in the market-to-market value of existing short positions which was partially offset by $89 million new net short covering.

As the value of their assets appreciated, ETF short sellers only slightly decreased their exposure into market strength by trimming their outstanding portfolio hedges or decreasing their short-side risk (Alpha generating) positions. This indicates that ETF short sellers were looking let their short-side bet exposure increase, even as prices rose, and mark-to-market losses mounted.

The $221 million of new net ETF short covering over the last thirty days saw a relatively equal number of ETFs with increased short selling versus short covering (499 ETFs with increases short selling, 456 ETFs with increased short covering & 26 with no change) but the short covering was mainly executed in the most widely held ETFs. Increased short selling occurred in ETFs with $1.13 billion of short interest while the increased short covering occurred in ETFs with $2.31 billion of short interest. Short sellers were increasing exposure in the more niche ETFs while trimming exposure in the more broadly held ETFs. It appears that hedges were reduced while the search for Alpha increased.

The Most Shorted Canadian ETFs over the Past 30 Days

Canadian ETF\Fund

Ticker

SI % Float

S3 SI % Float

Short Interest

30D Change Shares Shorted

ISHS CORE CAD UNIVERSE BOND ETF

XBB CN

1.00%

0.99%

$35,044,540

$27,934,910

ISHS CORE SP/TSX CAPPED ETF

XIC CN

6.59%

6.19%

$452,634,345

$25,889,042

ISHS GOLD BULLION ETF

CGL CN

4.03%

3.88%

$20,129,245

$20,059,007

ISHS CANADIAN CORPORATE BOND ETF

XCB CN

1.76%

1.73%

$20,017,070

$17,687,560

BMO S&P/TSX EQUAL WEIGHT BANKS ETF

ZEB CN

5.61%

5.31%

$127,696,317

$14,468,646

SPROTT PHYSICAL GOLD TRUST

PHYS CN

0.21%

$10,963,389

$9,871,301

INVESCO S&P 500 ESG INDEX ETF

ESG/F CN

41.16%

29.16%

$10,814,169

$9,853,911

PURPOSE BITCOIN ETF

BTCC/B CN

14.83%

12.91%

$30,818,081

$6,057,751

BMO EQUAL WEIGHT UTILITIES ETF

ZUT CN

5.50%

5.21%

$17,725,341

$5,626,473

HZONS ACTIVE PREFERRED SHARE ETF

HPR CN

0.78%

$6,969,900

$5,231,089

The Most Short Covered Canadian ETFs over the Past 30 days

Canadian ETF\Fund

Ticker

SI % Float

S3 SI % Float

Short Interest

30D Change Shares Shorted

ISHS S&P/TSX 60 ETF

XIU CN

22.36%

18.28%

$1,932,109,377

-$172,853,077

BMO MONEY MARKET FUND ETF

ZMMK CN

0.17%

$630,424

-$10,116,690

ISHS CORE S&P 500 INDEX ETF

XUS CN

0.07%

$2,266,794

-$10,010,293

ISHS S&P/TSX CAPPED REIT ETF

XRE CN

2.45%

2.39%

$18,709,503

-$9,893,107

VNGRD FTSE GLOBAL ALL CAP EX CANADA ETF

VXC CN

0.08%

$772,374

-$6,880,704

HORIZONS HIGH INTEREST SAVINGS ETF

CASH CN

0.35%

0.34%

$2,379,017

-$6,773,357

ISHS CORE MSCI EAFE IMI INDEX ETF

XEF CN

0.31%

$12,764,252

-$5,886,726

BMO S&P 500 ETF

ZSP CN

0.30%

$21,138,004

-$5,229,397

ISHS S&P/TSX ENERGY ETF

XEG CN

7.70%

7.15%

$130,375,418

-$5,226,942

SPROTT PHYSICAL URANIUM TRUST FUND

U-U CN

1.09%

1.08%

$29,485,616

-$4,718,151

ETF short interest as a % of Float is a much more fluid metric than it is for equities and ADRs as ETFs are constantly created and\or redeemed which changes their shares outstanding\float numbers sometimes daily. The following are ETFs with the highest SI % Float with overall short interest greater than $5 million.

Traditional Short Interest % of Float vs S3 Short Interest % of Float

Canadian ETF\Fund

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

INVESCO S&P 500 ESG INDEX ETF

ESG/F CN

41.16%

29.16%

4.32%

$10,814,169

BITCOIN ETF

EBIT CN

27.29%

21.44%

18.32%

$8,754,828

ISHS S&P/TSX 60 ETF

XIU CN

22.36%

18.28%

0.82%

$1,932,109,377

HORIZONS US DOLLAR CCY ETF

DLR CN

16.79%

14.37%

7.07%

$16,267,063

PURPOSE BITCOIN ETF

BTCC/B CN

14.83%

12.91%

16.07%

$30,818,081

CI GALAXY BITCOIN ETF

BTCX/B CN

11.95%

10.67%

27.32%

$5,492,198

CI GALAXY ETHEREUM ETF

ETHX/B CN

9.66%

8.81%

14.32%

$15,349,926

ISHS S&P/TSX ENERGY ETF

XEG CN

7.70%

7.15%

6.07%

$130,375,418

ISHS CORE SP/TSX CAPPED ETF

XIC CN

6.59%

6.19%

0.30%

$452,634,345

BMO S&P/TSX EQUAL WEIGHT BANKS ETF

ZEB CN

5.61%

5.31%

0.30%

$127,696,317

ETF stock borrow fees rarely get very expensive (over 5% fee) as brokers will usually create ETF shares in order to meet stock borrow demand as rates make the share creation and hedging profitable. Rates in certain ETFs tend to climb for two main reasons, there is very little marginable or rehypothicatable stock in the market which limits the stock lending availability pool or the process of creating and hedging the ETF is difficult or very expensive (active ETFs or ETF with illiquid constituents). The following are ETFs with the highest stock borrow fees with short interest over $5 million.

Canadian ETFs with Highest Borrow Fees

Canadian ETF\Fund

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

CI GALAXY BITCOIN ETF

BTCX/B CN

11.95%

10.67%

27.32%

$5,492,198

BITCOIN ETF

EBIT CN

27.29%

21.44%

18.32%

$8,754,828

PURPOSE BITCOIN ETF

BTCC/B CN

14.83%

12.91%

16.07%

$30,818,081

CI GALAXY ETHEREUM ETF

ETHX/B CN

9.66%

8.81%

14.32%

$15,349,926

VNGRD SP 500 INDEX ETF

VFV CN

0.17%

10.32%

$8,401,005

ISHS S&P/TSX CAPPED FINANCIALS ETF

XFN CN

1.53%

1.50%

9.32%

$15,953,649

HORIZONS US DOLLAR CCY ETF

DLR CN

16.79%

14.37%

7.07%

$16,267,063

ISHS S&P/TSX CAPPED REIT ETF

XRE CN

2.45%

2.39%

7.07%

$18,709,503

ISHS CORE SP 500 ETF

XSP CN

0.35%

6.32%

$20,762,793

SPROTT PHYSICAL GOLD TRUST

PHYS CN

0.21%

6.32%

$10,963,389

SI % Float and stock borrow costs are just two of the variables in our multi-factor Crowded Score metric along with the overall size of the short, stock borrow liquidity and trading liquidity. Crowded Scores over 90.00/100.00 are considered very crowded while scores in the 70-89 range are relatively crowded. The average Crowded score for Canadian ETFs is 16.38. The ETF\Funds with the highest Crowded Scores are below.

Most Crowded Canadian ETF Shorts

Canadian ETF\Fund

Ticker

Short Interest

Fee

S3SI%Flt

S3 Crowded Score

ISHS S&P/TSX 60 ETF

XIU CN

$ 1,932,109,377

0.82%

18.28%

90.00

PURPOSE BITCOIN ETF

BTCC/B CN

$ 30,818,081

16.07%

12.91%

70.00

Institutionally ETFs are primarily used as a portfolio hedging vehicles (XIU CN shorts make up 56% of total ETF short interest) so one can expect that in an upward trending market most of the larger ETF short positions would have large negative returns. ETF shorts were down $149 million in net-of financing mark-to-market losses, -5.588%, in November.

Most of the most profitable ETF shorts in November were crypto or energy ETFs:

Canadian ETF\Fund Nov MTM P\L

Ticker

Avg Fee

Avg Short Interest

Nov MTM P\L

MTM P\L %

PURPOSE BITCOIN ETF

BTCC/B CN

13.27%

$30,166,423

$5,381,182

17.84%

CI GALAXY ETHEREUM ETF

ETHX/B CN

10.81%

$17,207,740

$4,547,663

26.43%

SPROTT PHYSICAL URANIUM TRUST FUND

U-U CN

3.08%

$32,036,268

$3,760,653

11.74%

BITCOIN ETF

EBIT CN

13.80%

$9,983,735

$1,957,852

19.61%

CI GALAXY BITCOIN ETF

BTCX/B CN

18.88%

$5,399,807

$1,180,668

21.87%

ETHER ETF

ETHR CN

13.18%

$4,343,595

$1,056,809

24.33%

THE BITCOIN FUND

QBTC CN

10.18%

$2,885,293

$758,134

26.28%

BETAPRO CRUDE OIL LEVERGED DAILY BULL ETF

HOU CN

9.05%

$2,787,035

$611,972

21.96%

PURPOSE ETHER ETF

ETHH/B CN

10.52%

$2,144,649

$460,994

21.50%

THE ETHER FUND

QETH-U CN

3.18%

$1,114,390

$350,853

31.48%

While most of the most unprofitable ETFs in November were the most shorted, hedge related, ETFs:

Canadian ETF\Fund Nov MTM P\L

Ticker

Avg Fee

Avg Short Interest

Nov MTM P\L

MTM P\L %

ISHS S&P/TSX 60 ETF

XIU CN

1.03%

$1,926,404,783

($107,541,178)

-5.58%

ISHS CORE SP/TSX CAPPED ETF

XIC CN

0.30%

$434,026,680

($22,818,748)

-5.26%

BMO S&P/TSX EQUAL WEIGHT BANKS ETF

ZEB CN

0.30%

$114,264,337

($7,066,905)

-6.18%

HORIZONS SP/TSX 60 ETF

HXT CN

0.30%

$96,371,366

($5,186,200)

-5.38%

ISHS S&P/TSX ENERGY ETF

XEG CN

6.18%

$127,571,585

($3,269,679)

-2.56%

ISHS S&P/TSX CAPPED REIT ETF

XRE CN

5.91%

$21,837,880

($1,969,695)

-9.02%

ISHS CORE MSCI EAFE IMI INDEX ETF

XEF CN

3.10%

$14,217,679

($1,431,900)

-10.07%

ISHS CORE SP 500 ETF

XSP CN

5.52%

$28,352,855

($1,339,720)

-4.73%

BMO SP/TSX CAPPED COMPOSITE ETF

ZCN CN

0.30%

$21,097,462

($1,103,293)

-5.23%

ISHS CHINA INDEX ETF

XCH CN

3.44%

$3,830,040

($1,101,176)

-28.75%

The outright size of some ETF shorts can skew the results when looking at Profit & Loss in dollar terms, looking at Profit & Loss in percentage terms tells us which shorted ETFs had the largest price moves in November. The largest and least profitable shorted ETFs in percentage terms with over $50 million in short interest were:

The most profitable ETF shorts on a percentage basis were:

Canadian ETF Nov MTM P\L

Ticker

Avg Fee

Avg Short Interest

Nov MTM P\L

MTM P\L %

THE ETHER FUND

QETH-U CN

3.18%

$1,114,390

$350,853

31.48%

CI GALAXY ETHEREUM ETF

ETHX/B CN

10.81%

$17,207,740

$4,547,663

26.43%

THE BITCOIN FUND

QBTC CN

10.18%

$2,885,293

$758,134

26.28%

ETHER ETF

ETHR CN

13.18%

$4,343,595

$1,056,809

24.33%

BETAPRO CRUDE OIL LEVERGED DAILY BULL ETF

HOU CN

9.05%

$2,787,035

$611,972

21.96%

CI GALAXY BITCOIN ETF

BTCX/B CN

18.88%

$5,399,807

$1,180,668

21.87%

PURPOSE ETHER ETF

ETHH/B CN

10.52%

$2,144,649

$460,994

21.50%

BITCOIN ETF

EBIT CN

13.80%

$9,983,735

$1,957,852

19.61%

PURPOSE BITCOIN ETF

BTCC/B CN

13.27%

$30,166,423

$5,381,182

17.84%

SPROTT PHYSICAL URANIUM TRUST FUND

U-U CN

3.08%

$32,036,268

$3,760,653

11.74%

The least profitable ETF shorts on a percentage basis were:

Canadian ETF Nov MTM P\L

Ticker

Avg Fee

Avg Short Interest

Nov MTM P\L

MTM P\L %

ISHS CHINA INDEX ETF

XCH CN

3.44%

$3,830,040

($1,101,176)

-28.75%

ISHS S&P/TSX GLOBAL BASE METALS ETF

XBM CN

1.12%

$6,606,039

($874,103)

-13.23%

ISHS SP/TSX GLOBAL GOLD ETF

XGD CN

7.24%

$2,948,885

($314,782)

-10.67%

BROMPTON SPLIT BANC CORP FUND

SBC CN

3.17%

$1,239,516

($131,336)

-10.60%

ISHS CORE MSCI EAFE IMI INDEX ETF

XEF CN

3.10%

$14,217,679

($1,431,900)

-10.07%

WEALTHSIMPLE DEV XNA SOC RE

WSRD CN

9.91%

$1,759,223

($177,030)

-10.06%

GLOBAL DIVIDEND GROWTH SPLIT CORP

GDV CN

4.32%

$1,660,751

($158,929)

-9.57%

ISHS S&P/TSX CAPPED REIT ETF

XRE CN

5.91%

$21,837,880

($1,969,695)

-9.02%

DIVIDEND 15 SPLIT CORP A FUND

DFN CN

3.05%

$2,591,858

($208,297)

-8.04%

BMO EQUAL WEIGHT REITS ETF

ZRE CN

4.43%

$4,978,774

($372,028)

-7.47%

Canadian ETF Short Recap

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