SunGard Launches Borrow Indices; First Proxy for Measuring Short Interest on a Daily Basis.
In addition to reflecting daily short interest ratios on the New York Stock Exchange and Nasdaq markets, SunGard's Securities Borrow Indices (SBI) also cover the Standard & Poor's 500, 400 and 600 indices and their value- and growth-style components. SunGard will provide short interest data on these 11 aggregates to the media on a daily basis.
A weekly report published by the research arm of SunGard Institutional Brokerage, Inc. provides subscribers with the ability to track the SBI--a proxy for the short interest ratio--of whatever industry, ETF (exchange traded fund) or HOLDR (holding company depository receipt) they are interested in. The report helps clients identify industries with high short interest ratios and highlights significant changes in short selling.
"SunGard's Securities Borrow Indices are not only extremely reliable but very timely for traders to monitor flow of funds into the various sectors of the market," said Kabir Singh, head trader at hedge fund manager Avesta Capital Advisors. "As a trader, I use the SBI as a benchmark to evaluate short interest levels in the sectors in which our fund is over or under weight."
SunGard's Securities Borrow Indices are derived from a composite measure of securities borrowing and lending data compiled by SunGard Securities Finance and its Loanet business. Loanet is an ASP solution extensively used by the North American broker-dealer community to support inter-firm borrowing and lending of equities and bonds.
"There is no question that the SBI data are a good surrogate for the short interest data," said Mike Epstein, the Visiting Scholar at MIT's Laboratory for Financial Engineering. "The obvious utility is in their timeliness and frequency, as compared to the once a month release by the NYSE and Nasdaq." Mr. Epstein is a member and past director of The Society of Quantitative Analysts and was a securities trader at several NYSE member firms.
Over the last several months, SunGard's Securities Borrow Indices have been used to consistently predict both the direction and degree of change of the Nasdaq and NYSE short interest ratios, in advance of the monthly release of the official figures. In July, the SBI Weekly predicted the NYSE short interest ratio would rise to 5.8; the figure rose to 5.7, as reported by the The Wall Street Journal, based on monthly data provided by the exchange. For August the SBI Weekly projected a decline to 5.4; a drop to 5.5 was reported several days later. In September, the SBI Weekly forecast a jump to 6.4 and the The Wall Street Journal later reported a figure of 6.7.
For the Nasdaq in July, the SBI Weekly projected the short interest ratio would be 3.1; it was 3.2. In August the SBI Weekly forecast a 3.3 figure for Nasdaq, which is the number reported by The Wall Street Journal several days later. In September the SBI Weekly predicted a jump to 4.2; The Wall Street Journal reported a figure of 4.0 one week later.
SunGard Institutional Brokerage's statistical studies demonstrate a strong correlation coefficient between the composite proprietary borrowing data of SunGard Securities Finance and the official short interest figures issued by the NYSE and Nasdaq. "The correlation with the NYSE total short position is .86; the correlation with the Nasdaq total short position is .88," said Jay Indovino, president of SunGard Institutional Brokerage. "This strong correlation allows us to analyze the intra-month short interest movements quite accurately."
In addition to the major market measures, ETFs and HOLDRs, SunGard's Securities Borrow Indices (SBIs) cover more than 150 industries comprising the S&P 500 large-cap, 400 mid-cap and 600 small-cap categories. With this level of detail, traders can, for example, easily determine whether short selling is high and rising in small-capitalization technology stocks or low and quiescent in large-cap health-care issues. This ability to drill down into industry subsets provides traders with must-have information.
Data mining, management and analysis for the indices was developed for SunGard by Data Symmetry, LLC, a business intelligence consulting firm.
About SunGard Brokerage Services
SunGard Brokerage Services, through its broker affiliates, offers brokerage and execution services including: NYSE direct floor access, an institutional agency trading desk, FIX connectivity, proprietary direct connections, research, customized soft dollar programs, self clearing capabilities and trading technology while maintaining a commitment to execution quality. SunGard Brokerage Services is comprised of the following affiliates of SunGard: SunGard Institutional Brokerage Inc., member NASD, SIPC, SunGard Global Execution Services LLC, member NYSE, SIPC, and Assent LLC, member NASD, SIPC.
About SunGard Securities Finance
More than 250 financial institutions rely on SunGard Securities Finance for their international and domestic securities financing solutions. Products include Loanet, Global One, Martini and WorldLend. Loanet is an ASP solution extensively used by the North American broker/dealer community for real-time integrated support for borrowing, lending and conduit business. Global One is the most widely used international and domestic securities lending system for brokers, agents and principal lenders. Martini is a software product that enables banks, brokers and hedge funds to manage a global trading book in repo, bonds and equity financing. WorldLend is a system catering principally to U.S. institutional lenders.
SunGard is a global leader in integrated software and processing solutions, primarily for financial services. SunGard also helps information-dependent enterprises of all types to ensure the continuity of their business. SunGard serves more than 20,000 customers in more than 50 countries, including the world's 50 largest financial services companies. SunGard (NYSE:SDS) is a member of the S&P 500 and has annual revenues of $3 billion. Visit SunGard at www.sungard.com.
Trademark Information: SunGard and the SunGard logo are trademarks or registered trademarks of SunGard Data Systems Inc. or its subsidiaries in the U.S. and other countries. All other trade names are trademarks or registered trademarks of their respective holders.
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|Date:||Oct 13, 2004|
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