SunGard Launches Borrow Indices; First Proxy for Measuring Short Interest on a Daily Basis.NEW YORK New York, state, United States
New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- SunGard has launched a series of indices that serve as proxies for changes and trends in short interest levels on a daily basis rather than monthly, which is currently provided in the short interest snapshots issued by the major marketplaces.
In addition to reflecting daily short interest ratios on the New York Stock Exchange New York Stock Exchange (NYSE)
World's largest marketplace for securities. The exchange began as an informal meeting of 24 men in 1792 on what is now Wall Street in New York City. and Nasdaq markets, SunGard's Securities Borrow Indices (SBI SBI Special Background Investigation
SBI Subsidiary Body for Implementation
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SBI Small Business Institute
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SBI Serious Bacterial Infection
SBI Society of Breast Imaging ) 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 ETF
See Exchange Traded Fund.
See exchange-traded fund (ETF). (exchange traded fund Exchange Traded Fund
Similar to an index mutual fund, these tracking stocks trade continuously. Two popular ETFs are the Standard and Poor's depositary receipt (SPDR) launched in 1993 and the NASDAQ-100 Index Tracking Stock (QQQ) which was launched in 1999. ) or HOLDR HOLDR Holding Company Depositary Receipt (holding company depository receipt Depository Receipt
A negotiable financial instrument issued by a bank to represents a foreign company's publicly traded securities. The depository receipt trades on a local stock exchange. ) they are interested in. The report helps clients identify industries with high short interest ratios and highlights significant changes in short selling Short Selling
The selling of a security that the seller does not own, or any sale that is completed by the delivery of a security borrowed by the seller. Short sellers assume that they will be able to buy the stock at a lower amount than the price at which they sold short. .
"SunGard's Securities Borrow Indices are not only extremely reliable but very timely for traders to monitor flow of funds Flow of funds
In the context of municipal bonds, refers to the statement displaying the priorities by which municipal revenue will be applied to the debt.
In the context of mutual funds, refers to the movement of money into or out of a mutual funds or between or among into the various sectors of the market," said Kabir Singh, head trader at hedge fund hedge fund, in finance, a highly speculative, largely unregulated investment device. Originating in the 1950s, the funds "hedge" by offsetting "short" positions (borrowing a security and then selling it at a higher price before repaying the lender) against "long" 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 NYSE
See: New York Stock Exchange 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 (Logical Link Control) See "LANs" under data link protocol.
LLC - Logical Link Control , 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 NASD
See: National Association of Securities Dealers
See National Association of Securities Dealers (NASD). , SIPC (Simply Interactive PC) An earlier umbrella term from Microsoft and Intel for a PC that works like a home appliance. For example, it has a sealed case, uses external connectors for expansion and boots in just a couple of seconds. , 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 Repo
An agreement in which one party sells a security to another party and agrees to repurchase it on a specified date for a specified price. See: Repurchase agreement.
See repurchase agreement (RP). , bonds and equity financing. WorldLend is a system catering principally to U.S. institutional lenders.
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2. (tool) SDS - Schema Definition Set. ) is a member of the S&P 500 and has annual revenues of $3 billion. Visit SunGard at www.sungard.com.
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