The Data Explorers Securities Lending Index (DESLI) series tracks the change in short interest (as a percentage of securities lending to shares outstanding) across large cap names in the US, UK, Europe (ex UK), Japan, and Asia (ex JP). There is also a global index, the DESLI 50 which tracks the short interest for the fifty largest market capitalized companies in the global securities lending market. An increase in the index, which was benchmarked to 100 on 2nd Jan 2009, represents an increase in shorts. Please note that the DESLI methodology is not impacted by changes in price or by changes in trade volume so securities lending activity is not obscured by cash market movements.
The DESLI 50 shows some interesting trends. It hit a 52 week low of 88.34 on 6th Jan 2009 and since then has increased 42.76% to 126.13. The run up in the index has been particular steep over the past two weeks (+22%) as global equity markets have hit new 52 week lows. As equity markets have recovered we will be watching the DESLI 50 and will report on a regular basis.
For more information please visit www.dataexplorers.com/index