Fundamental Short Selling Research

Eric Fernandez, CFA

TwoRiversAnalytics

Cross Asset Strategy

<ul>
<li>Over the past 30 days, the best shorts have fallen by 27%, on average, versus Two Rivers' universe return of -5.3%.</li>
<li>They were smaller cap, higher growth and higher beta than our universe. They were the weakest momentum stocks, trading at 11% of their 52 week ranges. </li>
<li>They were less levered (net cash in many cases), more heavily shorted and traded at much higher multiples than the average stocks in our universe.</li>
</ul>


Over the past 30 days, the best shorts have fallen by 27%, on average, versus Two Rivers' universe return of -5.3%.
They were smaller cap, higher growth and higher beta than our universe. They were the weakest momentum stocks, trading at 11% of their 52 week ranges. 
They were less levered (net cash in many cases), more heavily shorted and traded at much higher multiples than the average stocks in our universe.


The Ideal Short Characteristics