- In its November Hedge Fund Trend Monitor report, Goldman Sachs released a list of the top stocks shorted by hedge funds.
- Goldman uses the total dollar value of short interest outstanding to estimate hedge fund short portfolio holdings, according to the report.
- "Short positions continue to contribute alpha, lifting the average equity hedge fund to a 10% YTD return," Goldman analysts wrote in the report.
- Here are the top 10 stocks that firms are betting against.
- Read more on Business Insider.
In the first weeks of November, hedge funds revealed the stocks they're betting on, and data also showed the ones they're betting against.
Goldman Sachs analyzed 833 hedge funds with $2.1 trillion in gross equity positions — including $700 billion short positions — for its Hedge Fund Trend Monitor report released November 18.
From the analysis, Goldman compiled its "Very Important Short Position List" as a short hedge against the most-loved stocks firms own.
The list contains 50 S&P 500 companies with the highest dollar value of short interest outstanding, excluding companies on the long list and stocks with more than 10% of float-adjusted shares held short. The total dollar value of short interest outstanding is used as an estimate of hedge fund short portfolio holdings, according to the report.
"Short positions continue to contribute alpha, lifting the average equity hedge fund to a 10% YTD return," Goldman analysts wrote in the report. That still lagged the S&P 500 index return of 27% for the same period.
After a few "sluggish" months, hedge fund performance is sharply rebounding in the fourth quarter, according to Goldman. The "Very Important Short" basket has lagged the S&P 500 by 6 percentage points this year, and stocks with the highest short interest as a share of market cap have returned a median of -5% year-to-date, according to the report.
Here are the top 10 stocks that represent the largest short positions, ranked in order of increasing value of short interest.
10. Chevron
Ticker:CVX
Short interest as % of float cap: 1%
Year-to-date return: 15%
Number of hedge funds with stock as a top 10 holding: 2
Value of short interest: $2.4 billion
Source: Goldman Sachs
9. UnitedHealth Group
Ticker:UNH
Short interest as % of float cap: 1%
Year-to-date return: 10%
Number of hedge funds with stock as a top 10 holding: 11
Value of short interest: $2.6 billion
Source: Goldman Sachs
8. BB&T Corp.
Ticker:BBT
Short interest as % of float cap: 6%
Year-to-date return: 30%
Number of hedge funds with stock as a top 10 holding: 1
Value of short interest: $2.6 billion
Source: Goldman Sachs
7. Home Depot
Ticker:HD
Short interest as % of float cap: 1%
Year-to-date return: 41%
Number of hedge funds with stock as a top 10 holding: 10
Value of short interest: $2.6 billion
Source: Goldman Sachs
6. Procter & Gamble
Ticker:PG
Short interest as % of float cap: 1%
Year-to-date return: 35%
Number of hedge funds with stock as a top 10 holding: 3
Value of short interest: $2.8 billion
Source: Goldman Sachs
5. Exxon Mobil
Ticker:XOM
Short interest as % of float cap: 1%
Year-to-date return: 6%
Number of hedge funds with stock as a top 10 holding: 1
Value of short interest: $2.9 billion
Source: Goldman Sachs
4. Intel Corp.
Ticker:INTC
Short interest as % of float cap: 1%
Year-to-date return: 27%
Number of hedge funds with stock as a top 10 holding: 3
Value of short interest: $3.2 billion
Source: Goldman Sachs
3. AT&T Inc.
Ticker:T
Short interest as % of float cap: 1%
Year-to-date return: 47%
Number of hedge funds with stock as a top 10 holding: 3
Value of short interest: $4 billion
Source: Goldman Sachs
2. AbbVie Inc.
Ticker:ABBV
Short interest as % of float cap: 4%
Year-to-date return: 2%
Number of hedge funds with stock as a top 10 holding: 8
Value of short interest: $5.2 billion
Source: Goldman Sachs
1. Bristol-Myers Squibb
Ticker: BMY
Short interest as % of float cap: 9%
Year-to-date return: 17%
Number of hedge funds with stock as a top 10 holding: 11
Value of short interest: $8.5 billion
Source: Goldman Sachs