For the U.S. indices, there is a strong relationship between the average size of the company and the percentage of float shorted. The graph displays the log10 of the average company size on the x-axis and the percentage of float shorted on the y-axis.

The log10 value represents the number of zeros in the market cap. For example, a market cap of $100 billion corresponds to a log10 value of 11. The log function helps to linearize the relationship.

For Indices

For each zero added the % of float goes down by 4%

There is a weak relationship between the size of the sectors and the percentage of float shorted, and it is in the opposite direction. Larger sectors tend to have a slightly higher percentage of float shorted, but the difference is not significant.

The variation in the percentage of float shorted is not attributable to sector size but rather to the differences in the companies within the sectors.

For Sectors

Additionally, sectors with higher price-to-earnings (P/E) ratios tend to have a higher percentage of float shorted.

The most significant factor, however, is the dividend yield: sectors with lower dividend yields are shorted more, while those with higher dividend yields are shorted less. This trend may be due to shorts wanting to avoid paying dividends, which they view as a cost of the trade.

Graphs APPS Black, Macro, Sector, US, %Float Shorted

Also, the growth stocks may be interesting to short than the value stocks.

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