ShortRatio
Short Selling Ratio — Dechow et al. 2001
Liquidity
Quick facts
| Factor ID | ShortRatio |
| Display name | Short Selling Ratio |
| Family | Predictor |
| Category | Liquidity |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Dechow et al. 2001 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2023-06-21 – 2026-04-30 · 118,183 rows · 17.3% of panel |
Formula
rqye / (rzye + rqye)
China adaptation
China proxy using margin_detail short balance ratio.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 35 |
| Monthly mean | 1.3947% |
| Monthly std | 3.2592% |
| Annualized Sharpe | 1.48 |
| t-stat (simple) | 2.53 |
| Hit rate (months > 0) | 80.0% |
| Last 12M compounded | 17.96% |
| Cumulative wealth (start = 1) | 1.595 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +4.63% | 1.415 | 3406 |
| 2025-06 | +1.24% | 1.432 | 3412 |
| 2025-07 | -0.99% | 1.418 | 3443 |
| 2025-08 | -2.29% | 1.385 | 3442 |
| 2025-09 | +0.43% | 1.391 | 3447 |
| 2025-10 | +1.73% | 1.415 | 3459 |
| 2025-11 | -0.86% | 1.403 | 3460 |
| 2025-12 | +1.54% | 1.425 | 3476 |
| 2026-01 | +2.87% | 1.466 | 3483 |
| 2026-02 | +0.24% | 1.469 | 3488 |
| 2026-03 | +4.05% | 1.529 | 3491 |
| 2026-04 | +4.32% | 1.595 | 3467 |
Known data issues
None recorded.
Notes
Short selling was introduced in 2010 and remains restricted to eligible stocks.
See also: Liquidity family, Factor library, Factor returns.