Short interest in the European market increased by $12.6 billion, or +8.4%, to $163 million in the fourth quarter of 2023. The increase consisted of $19.3 billion in shorted share price increases (the Vanguard FTSE Europe, iShares MSCI Eurozone ETF JPM BetaBuilders Europe ETFs were all up over 11.3%) with an offsetting $3.7 billion of new short covering.
Sector (in $ millions)
9-29-23 Short Interest
12-29-23 Short Interest
4th Qtr. Change Short Interest
4th Qtr. Change Shares Shorted
Communication Services
$7,973
$8,891
$918
$231
Consumer Discretionary
$17,147
$16,824
($323)
($2,223)
Consumer Staples
$10,896
$13,141
$2,245
$1,512
Energy
$14,131
$11,386
($2,745)
($3,083)
Financials
$21,304
$23,525
$2,221
($869)
Health Care
$14,478
$16,263
$1,785
$560
Industrials
$29,107
$31,519
$2,412
($1,814)
Information Technology
$8,199
$10,224
$2,025
$416
Materials
$16,270
$19,359
$3,089
$1,132
Real Estate
$5,623
$5,613
($10)
($1,711)
Utilities
$5,335
$6,310
$975
($817)
Total European Short Interest
$150,462
$163,055
$12,593
($6,667)
Short exposure continues to be concentrated in several sectors: Industrials ($32 billion), Financials ($24 billion) and Materials ($19 billion) sectors (as opposed to Information Technology, Consumer Discretionary and Financials in the U.S.). The sectors with the largest increase in short exposure were the Material (+$3.1 billion) and Industrial (+2.4 billion) sectors, while we only saw a significant decrease in short exposure in the Energy sector (-$2.7 billion).
The $12.6 billion increase in fourth quarter short interest partially offset the $45.4 billion decrease in short interest we saw in the third quarter while the $6.7 billion in short covering was less than one-fifth of the $34.2 billion of short covering we saw in the third quarter.
Consumer Staples had the most short selling in the fourth quarter with $1.5 billion of additional short selling followed by $1.1 billion of new short selling in the Materials sector. Short sellers were trimming exposure in the Energy (-$3.1 billion), Consumer Discretionary (-$2.2 billion) and Industrials (-$1.8 billions) sectors.
European Short Interest as a % of Float increased in the fourth quarter with SI % Float increasing by eighteen basis points to 4.89%. The S3 SI % Float, which includes the synthetic long shares created by every short sale in the denominator, increased by twelve basis points over the quarter, from 4.28% to 4.40%.
Sector
9/29/23 SI % Float
12/29/23 SI % Float
9/29/23 S3 SI % Float
12/29/23 S3 SI % Float
Communication Services
5.74%
6.17%
5.21%
5.57%
Consumer Discretionary
4.54%
4.76%
4.14%
4.33%
Consumer Staples
3.78%
2.83%
3.50%
2.68%
Energy
4.07%
2.94%
3.86%
2.80%
Financials
3.22%
3.24%
3.02%
3.04%
Health Care
5.08%
4.52%
4.60%
4.10%
Industrials
4.57%
4.68%
4.21%
4.30%
Information Technology
5.17%
5.61%
4.60%
5.02%
Materials
6.77%
8.86%
5.78%
7.36%
Real Estate
5.93%
5.37%
5.44%
4.93%
Utilities
4.80%
5.67%
4.36%
5.15%
SI & S3 SI % Float
4.71%
4.89%
4.28%
4.40%
The sectors with the largest increases in SI % Float were Materials up 2.09% and Utilities up +0.87%. The sectors with largest decreases in SI % Float were Energy down -1.13% and Consumer Staples down -0.95%.
European stocks with the largest SI % Float and over $25 million of short interest are:
SI % Float (min $25mm SI)
Ticker
Short Interest
Fee
SI % Float
S3 SI % Float
EMSCHEMIE HLDG AG
EMSN SW
$2,054,892,087
0.40%
37.18%
27.10%
IDORSIA LTD
IDIA SW
$73,739,667
20.50%
26.44%
20.91%
MEYER BURGER TECHNOLOGY AG
MBTN SW
$187,714,169
1.00%
26.06%
20.68%
ATOS SE
ATO FP
$175,316,168
4.50%
24.88%
19.93%
PETROFAC LTD
PFC LN
$50,450,734
12.00%
24.35%
19.58%
ALFEN NV
ALFEN NA
$348,981,700
1.25%
24.22%
19.50%
AUDAX RENOVABLES SA
ADX SM
$39,827,816
15.25%
23.94%
19.31%
SAMHALLSBYGGNADSBOLAGET I NORDEN AB
SBBB SS
$120,304,004
18.50%
23.67%
19.14%
EUTELSAT COMMUNICATIONS
ETL FP
$167,697,918
6.50%
23.17%
18.81%
INTRUM AB
INTRUM SS
$119,232,380
8.00%
22.53%
18.38%
DIC ASSET AG
BRNK GR
$31,992,028
2.50%
22.33%
18.25%
ASOS PLC
ASC LN
$76,640,680
12.50%
22.15%
18.13%
NAGARRO SE
NA9 GR
$173,685,460
18.00%
22.11%
18.10%
EUROGROUP LAMINATIONS SPA
EGLA IM
$25,062,387
0.40%
20.95%
17.32%
BASICFIT NV
BFIT NA
$273,083,868
1.75%
19.34%
16.20%
FNAC DARTY SA
FNAC FP
$66,736,116
0.40%
19.29%
16.17%
GREENVOLTENERGIAS RENOVAVEIS SA
GVOLT PL
$89,387,481
9.00%
18.98%
15.95%
JM AB
JM SS
$195,430,491
0.50%
18.83%
15.85%
CORP ACCIONA ENERGIAS RENOVABLES SA
ANE SM
$322,741,344
0.40%
18.23%
15.42%
CRAYON GROUP HOLDING ASA
CRAYN NO
$102,326,532
0.50%
17.87%
15.16%
European stock borrow fees continued the easing we saw in the third quarter with an eight basis point decrease to an average of 0.66%.
Sector
9/29/23 Stock Borrow Fee
12/29/23 Stock Borrow Fee
Communication Services
0.63%
0.69%
Consumer Discretionary
0.59%
0.63%
Consumer Staples
0.50%
0.48%
Energy
0.54%
0.56%
Financials
0.47%
0.50%
Health Care
0.88%
0.80%
Industrials
0.84%
0.67%
Information Technology
1.28%
1.19%
Materials
0.63%
0.51%
Real Estate
0.99%
0.94%
Utilities
1.71%
0.74%
Stock Borrow Fee
0.74%
0.66%
Overall, European short sellers paid $274 million in stock borrow fees in the fourth quarter of 2023 (calculated daily borrow cost using S3’s daily offer rate and daily shares shorted numbers) versus $420 million in the third quarter of 2023.
The ten stocks that short sellers had the most conviction and paid the most to short made up 21% of the total borrow cost in the quarter. The stocks with the largest quarterly short financing costs were: UN0 GR (-$8.9mm), NA9 GR (-$7.2mm), TTE FP (-$5.9mm), SBBB SS (-$4.8mm), VAR1 GR (-$4.1mm), AMS SW (-$3.7mm), HLAG GR (-$2.9mm), POST AV (-$2.8mm), IDIA SW (-$2.6mm), and BWJ GR (-$2.6mm).
High stock borrow fees can test the conviction level of short sellers as financing costs can take a large bite out of expected Alpha. The highest stock borrow fees, as of December 29th 2023, for stocks with over $25 million of short interest were:
Stock Borrow Fee (min $25mm SI)
Ticker
Short Interest
SI % Float
Fee
VARTA AG
VAR1 GR
$41,141,169
8.04%
29.00%
HAPAG-LLOYD AG
HLAG GR
$50,655,206
5.37%
23.75%
IDORSIA LTD
IDIA SW
$73,739,667
26.44%
20.50%
BOOHOO GROUP PLC
BOO LN
$37,117,938
10.36%
20.50%
SAMHALLSBYGGNADSBOLAGET I NORDEN AB
SBBB SS
$120,304,004
23.67%
18.50%
NAGARRO SE
NA9 GR
$173,685,460
22.11%
18.00%
NORTHERN DATA AG
NB2 GR
$28,348,563
3.08%
16.50%
AAREAL BANK AG
ARLN GR
$67,822,939
7.99%
15.75%
AUDAX RENOVABLES SA
ADX SM
$39,827,816
23.94%
15.25%
ITM POWER PLC
ITM LN
$29,152,924
9.52%
15.25%
AUSTRIA TECHNOLOGIE SYSTEMTECHNIK AG
ATS AV
$70,242,953
9.67%
13.50%
JUVENTUS FOOTBALL CLUB SPA
JUVE IM
$34,229,691
4.77%
13.50%
ASOS PLC
ASC LN
$76,640,680
22.15%
12.50%
FINCANTIERI SPA
FCT IM
$36,698,056
12.33%
12.25%
PETROFAC LTD
PFC LN
$50,450,734
24.35%
12.00%
NATIONAL BANK OF GREECE
ETE GA
$81,849,693
2.16%
12.00%
CALLIDITAS THERAPEUTICS AB B
CALTX SS
$64,647,248
12.14%
11.50%
GREENVOLTENERGIAS RENOVAVEIS SA
GVOLT PL
$89,387,481
18.98%
9.00%
REC SILICON ASA
RECSI NO
$27,058,092
7.07%
8.75%
INTRUM AB
INTRUM SS
$119,232,380
22.53%
8.00%
Stocks with over $25 million of short interest with the largest increase in stock borrow fees were: BOO LN 0.30% to 20.50% fee; JUVE IM 5.25% to 13.50% fee; ASC LN 4.50% to 12.50% fee; IDIA SW 12.75% to 20.25% fee; and GVOLT PL 1.50% to 9.00% fee.
Stocks with over $25 million of short interest with the largest decrease in stock borrow fees were: DOC AV 8.00% to 0.75% fee; ITM LN 21.75% to 15.25% fee; OVH FP 10.50% to 4.50% fee; POST AV 9.25% to 3.25% fee; and ADX SM 23.50% to 18.00% fee.
With markets on an uptrend for two out of three months of the quarter, every sector was un-profitable on the short side.
Sector (in $ millions)
12-29-23 Short Interest
4th Qtr. MTM P\L
P\L %
Communication Services
$8,891
($690)
-8.39%
Consumer Discretionary
$16,824
($2,011)
-12.04%
Consumer Staples
$13,141
($693)
-5.97%
Energy
$11,386
($276)
-2.36%
Financials
$23,525
($3,449)
-15.59%
Health Care
$16,263
($1,365)
-9.08%
Industrials
$31,519
($4,117)
-13.78%
Information Technology
$10,224
($1,776)
-19.48%
Materials
$19,359
($2,245)
-12.80%
Real Estate
$5,613
($1,506)
-27.00%
Utilities
$6,310
($740)
-12.90%
Total European Short Interest
$163,055
($18,867)
-12.26%
Short sellers were down -$18.87 billion in fourth quarter net-of-financing mark-to-market losses, down -12.26%. This is a continuation of the trend we saw in the third quarter of 2023 when European short sellers were down -$16.5 billion, -16.39%. With the VGK and BBEW ETFs up +11.3% and the EZU ETF up +12.3% for the quarter, short sellers performed at market expectations.
85% of every dollar shorted was un-profitable in the fourth quarter. But with 73.7% of all European shorted stocks un-profitable we see there was a dollar concentration in these securities. Only 25.8% of all stocks shorted were profitable and 0.5% were flat for the quarter.
There were 797 shorted equities with positive P\L, producing +$2.98 billion in mark-to-market profits, +13.0%. The most profitable European shorts were:
4th Qtr. European MTM P\L
Ticker
Avg Short Interest
4th Qtr. MTM P\L
P\L %
ALSTOM
ALO FP
$420,719,648
$254,089,208
60.39%
SOLVAY
SOLB BB
$348,207,155
$232,988,604
66.91%
HELLOFRESH AG
HFG GR
$307,000,359
$197,258,315
64.25%
DSV A/S
DSV DC
$968,356,454
$169,217,677
17.47%
BAYER AG-REG
BAYN GR
$277,147,136
$126,787,559
45.75%
MEYER BURGER TECHNOLOGY AG
MBTN SW
$189,741,645
$111,751,126
58.90%
RENTOKIL INITIAL PLC
RTO LN
$212,085,972
$106,701,563
50.31%
SANOFI SA
SAN FP
$437,229,226
$87,096,791
19.92%
AMSOSRAM AG
AMS SW
$145,579,521
$65,475,890
44.98%
VOLVO CAR ABB
VOLCARB SS
$254,645,087
$61,187,022
24.03%
ARGENX SE
ARGX BB
$222,899,187
$51,952,753
23.31%
MEDIOBANCA SPA
MB IM
$569,925,392
$49,712,169
8.72%
EUTELSAT COMMUNIC
ETL FP
$168,415,583
$44,096,774
26.18%
FRESENIUS MEDICAL CARE
FME GR
$391,207,151
$42,364,992
10.83%
HEXATRONIC GROUP AB
HTRO SS
$70,824,017
$39,289,186
55.47%
CLARIANE SE
CLARI FP
$45,236,454
$37,249,517
82.34%
DR ING HC F PORSCHE AG
P911 GR
$503,660,733
$36,414,121
7.23%
SIG GROUP AG
SIGN SW
$487,666,103
$35,142,961
7.21%
UBISOFT ENTERTAINMENT
UBI FP
$94,909,905
$29,409,950
30.99%
NORDIC ENTERTAINMENT GROUP-B
VPLAYB SS
$21,722,297
$29,395,587
135.32%
There were 2,330 shorted equities with negative P\L, producing -$21.85 billion in mark-to-market losses, -16.8%. The least profitable European shorts were:
4th Qtr. European MTM P\L
Ticker
Avg Short Interest
4th Qtr. MTM P\L
P\L %
NOVOZYMES A/S B
NZYMB DC
$1,479,485,365
($444,278,541)
-30.03%
ADYEN NV
ADYEN NA
$585,178,458
($350,502,185)
-59.90%
GIVAUDAN SA
GIVN SW
$1,330,220,520
($346,451,023)
-26.04%
EMSCHEMIE HLDG AG
EMSN SW
$1,700,121,365
($323,476,838)
-19.03%
HM HENNES MAURITZ AB B
HMB SS
$1,282,915,564
($282,590,184)
-22.03%
EQT AB
EQT SS
$700,478,587
($266,542,251)
-38.05%
VONOVIA SE
VNA GR
$969,498,680
($255,703,231)
-26.37%
GEBERIT AG-REG
GEBN SW
$877,540,356
($233,574,847)
-26.62%
KUEHNE NAGEL INTL AG
KNIN SW
$1,121,802,299
($230,447,253)
-20.54%
SAP SE
SAP GR
$951,706,947
($219,843,334)
-23.10%
BE SEMICONDUCTOR INDUSTRIES NV
BESI NA
$560,929,677
($214,965,121)
-38.32%
SVENSKA HANDELSBANKEN AB
SHBA SS
$1,003,451,616
($212,268,765)
-21.15%
ASSA ABLOY AB-B
ASSAB SS
$678,611,826
($196,409,251)
-28.94%
FASTIGHETS AB BALDER B
BALDB SS
$405,085,079
($196,357,168)
-48.47%
ATLAS COPCO AB
ATCOA SS
$774,057,316
($193,723,350)
-25.03%
VESTAS WIND SYSTEMS A/S
VWS DC
$449,478,310
($193,333,820)
-43.01%
SINCH AB
SINCH SS
$238,041,768
($191,015,975)
-80.24%
LONDON STOCK EXCHANGE GRP PLC
LSEG LN
$1,146,599,804
($186,535,150)
-16.27%
SIEMENS ENERGY AG
ENR GR
$726,774,053
($172,816,498)
-23.78%
TOTALENERGIES SE
TTE FP
$5,762,555,255
($172,023,604)
-2.99%
Even though European markets have been trending upwards, with the Europe STOXX 600 up 1% in USD terms, we are seeing a $3.1 billion increase of short selling in January. While the mega cap stocks like Novo Nordisk, SAP and ASML have been rallying the more actively shorted large and mid cap names have not. Short sellers have benefitted from this bifurcation in the market and short side stock pickers in names like Ocado Group, HM Hennes Mauritz and Atos SE have seen mark-to-market profits soar.
So far in 2024, 70% of all shorted stocks are profitable and 77% of every dollar shorted is producing positive returns. European short sellers are up $9.8 billion in 2024 year-to-date mark-to-market profits, up +6.2%.
Short sellers are increasing their short exposure in the Health Care, Financial and Consumer Discretionary sectors while short covering in the Materials, Information Technology and Real Estate sectors.
Our Blacklight SaaS platform and Black App provides an up-to-date view of short selling and short covering on an equity, sector, index, or country-wide basis allowing investors\traders to better manage their existing long and short positions. The Black MaP and Black App products provide a total view of long and short positioning in the market with a breakdown between Active\Passive long investors, 24 Fund type entities, over 50k securities globally across 108 countries and data from 58 regulatory exchanges.