Hedge fund managers shorting European stocks bagged a record month of outperformance in September since Novus began tracking data in November of 2012.
Our value-weighted portfolio based on publicly shorted stocks in Europe made 6.67% compared to a 58bps loss for a short position on the S&P 350 Europe including dividends and accounting for currency fluctuations. Year-to-date, this compounds to 18.7% outperformance of manager shorts over the benchmark. The only negative alpha month this year was February. It’s safe to say that, in general, managers are making a killing shorting stocks in Europe this year.