We recently hosted Meetups in Boston and New York that featured Jessica Stauth, PhD, Director of Quant Product Strategy for Thomson Reuters. Jess has some pretty impressive credentials – at Thomson Reuters she works to provide data and analytics tools to quantitative investment professionals. She was working at StarMine Corp. as a quant research analyst when it was acquired by Thomson Reuters.
At the meetups, Jess spoke about finding alpha in short interest data. With the commoditization of such basic quant factors as value and momentum, in recent years systematic investors have turned more and more to sentiment based alpha signals. Aggregated open short interest level provides a profitable, low turnover signal rooted in buy-side sentiment, aka "the smart money." During her presentation, Jess discussed the basics of short selling and data availability, the proprietary formulation of the StarMine short interest model, and a range of sample trading strategies. It was packed with a lot of useful informational.
You can also take a look at her signal as implemented on Quantopian. Jess worked with us to implement it. It's not the full signal that Thomson Reuters provides, but the result is nonetheless very interesting. What's particularly neat is that you can use Fetcher to get updated short interest. Check out the algorithm, and click "clone" to make your own copy to test with.
As always, feel free to let us know if you have any questions. We’re here to provide a helpful and positive learning community for all quants.