Brokerage house MF Global saw a 98% price drop since seeing a fresh annual high on Aug. 8 2011 on its way to filing bankruptcy in November, according to data collected by Data Explorers. Revealing its top shorts for 2011, Data Explorers said leading short seller profits were disappointing with these firms having seen the biggest price drop since reaching a fresh annual high. Amr Corp was also targeted by short sellers on its way to filing for bankruptcy.
Data Explorers screened a universe of the 4000 largest cap global equities to identify the shares which have seen a fresh 52 week high in short interest. Shares close to dividend are screened out. The company also set a minimum threshold for short interest, 5% of shares outstanding for North America, 3% for Europe and 2.5% for Asia.
MF Global led the price drops with the highest fall since seeing peripheral European banks were also featured on the list with three of the five top European shorts coming from Portugal, Italy or Spain, according to the data. Banca Popolare Di Milano was the biggest faller in that category, falling 89% from its new short interest high in April till the start of the December.
Scandal struck Sino Forest Olympus also made the list, falling 78 and 57 % respectively since being targeted by short sellers.
“It is worth noting that most of the underperformance comes in the months following a share hitting a fresh high in short interest, and that shorts first targeted many of top shorts of last year months before the companies ran into headwinds,” said Data Explorers. “This is best demonstrated in the fact that MF Global short sellers first became active in August, two months prior to the company experiencing the worst of its trouble. The same applies for the European banks, which were identified by short sellers at least as early as 2008, several months prior to the worst of the European financial crisis this past autumn.”
(JDC)