WBD - Citi screens for most crowded short stocks with new model
2023-06-28 06:49:41 ET
With positioning having an increasing influence on stock prices, Citi is adding a new Short Stock Crowding Model to help investors identify opportunities.
"Over the past 20 years there has been a change in the characteristics of the ‘marginal investor’ within equity markets," strategist Chris Montagu and team wrote in a note. "The traditional longer-term, long only investor has become less dominant, with the rise of leveraged shorter term long/short investors together with ETF and Index funds."
The new model is designed to complement the existing crowding model focused on long positions.
"A common question is whether our stock crowding model is an alpha or risk model," Montagu said. "Arguments can be made for considering the concept of crowding as being one or the other. From our perspective we come from the risk angle – a high or low score does not signify whether you should buy or sell a given stock, but that high crowding is associated with future risk."
"Defining what crowding actually means is tricky so we look at a range of different factors to help us rank stocks according to their level of crowding."
The factors used for the short model are historical relative valuation (cheap), short interest ratio (high), consensus ratings (Sell), macro exposure (concentrated) and historical price momentum (low).
The screen comprises companies with market cap of mroe than $15B.
The top and bottom five short crowding stocks by sector are:
Communication Services ( XLC )
High
- Formula One Group ( FWONK )
- Alphabet ( GOOGL )
- Activision Blizzard ( ATVI )
- Meta Platforms ( META )
- Spotify ( SPOT )
Low
- Warner Bros. Discovery ( WBD )
- Take-Two Interactive ( TTWO )
- Pinterest ( PINS )
- Netflix ( NFLX )
- Verizon ( VZ )
Consumer Discretionary ( XLY )
High
For further details see:
Citi screens for most crowded short stocks with new model