Security Sector Analysis

This research report examines securities lending volatility on a per security basis, based upon the sector which the security is classified within. Similar to our other research report titled, “Securities Lending Volatility: Research and Results” dated January 2022, we construct our securities lending volatility indicator based upon the variation of rates charged to borrow securities; average weighted by the outstanding shares being transacted. After this raw value is computed, we apply a proprietary formula to normalize the data, and then group the securities based on the sector they exist within.

The underlying securities lending transactional dataset provided to Tidal Markets contains over 16 billion shares of outstanding securities loans daily, spanning over 5,000 securities.

Within this report we examine the securities lending volatility of US equities on a per sector basis. We back test securities lending volatility to 8 years and 2 months of historical stock price data, from January 2014 to February 2022.

We compare securities lending volatility to stock price performance within their respective sectors. We juxtapose higher thresholds of securities lending volatility against time and assess the impact it has to the performance of securities within their sectors. We conclude by analyzing charts to objectively view the impact securities lending volatility has at the individual sector level.