Citi screens for most crowded short stocks with new model
Maximusnd
With positioning having an increasing influence on stock prices, Citi is adding a new Short Stock Crowding Model to help investors identify opportunities.
"Over the past 20 years there has been a change in the characteristics of the âmarginal investorâ within equity markets," strategist Chris Montagu and team wrote in a note. "The traditional longer-term, long only investor has become less dominant, with the rise of leveraged shorter term long/short investors together with ETF and Index funds."
The new model is designed to complement the existing crowding model focused on long positions.
"A common question is whether our stock crowding model is an alpha or risk model," Montagu said. "Arguments can be made for considering the concept of crowding as being one or the other. From our perspective we come from the risk angle â a high or low score does not signify whether you should buy or sell a given stock, but that high crowding is associated with future risk."
"Defining what crowding actually means is tricky so we look at a range of different factors to help us rank stocks according to their level of crowding."
The factors used for the short model are historical relative valuation (cheap), short interest ratio (high), consensus ratings (Sell), macro exposure (concentrated) and historical price momentum (low).
The screen comprises companies with market cap of more than $15B.
The top and bottom five short crowding stocks by sector are:
Communication Services (XLC)
High

Formula One Group (FWONK)
Alphabet (GOOGL)
Activision Blizzard (ATVI)
Meta Platforms (META)
Spotify (SPOT)

Low

Warner Bros. Discovery (WBD)
Take-Two Interactive (TTWO)
Pinterest (PINS)
Netflix (NFLX)
Verizon (VZ)

Consumer Discretionary (XLY)
High

McDonald's (MCD)
O'Reilly Automotive (ORLY)
TJX (TJX)
Chipotle (CMG)
Genuine Parts (GPC)

Low

Best Buy (BBY)
Ford Motor (F)
Garmin (GRMN)
Nike (NKE)
Airbnb (ABNB)

Consumer Staples (XLP)
High

Mondelez (MDLZ)
Constellation Brands (STZ)
Costco (COST)
Walmart (WMT)
Philip Morris (PM)

Low

Hormel (HRL)
Conagra (CAG)
Kellogg (K)
Kimberly-Clark (KMB)
Walgreens (WBA)

Energy (XLE)
High

Schlumberger (SLB)
Targa Resources (TRGP)
Baker Hughes (BKR)
EOG (EOG)
Enterprise Products Partners (EPD)

Low

Coterra Energy (CTRA)
Kinder Morgan (KMI)
Cheniere Energy (CQP)
Ecopetrol (EC)
Occidental Petroleum (OXY)

Financials (XLF)
High

Arch Capital (ACGL)
Schwab (SCHW)
Marsh & McLennan (MMC)
Mastercard (MA)
Chubb (CB)

Low

Truist Financial (TFC)
PNC Financial (PNC)
U.S. Bancorp (USB)
Capital One Financial (COF)
T. Rowe Price (TROW)

Healthcare (XLV)
High

Boston Scientific (BSX)
McKesson (MCK)
West Pharma (WST)
Elevance (ELV)
Intuitive Surgical (ISRG)

Low

Moderna (MRNA)
Pfizer (PFE)
Waters (WAT)
Align Technology (ALGN)
Illumina (ILMN)

Industrials (XLI)
High

Raytheon Technologies (RTX)
Johnson Controls (JCI)
Howmet Aerospace (HWM)
Copart (CPRT)
TransDigm (TDG)

Low

Rockwell Automation (ROK)
3M (MMM)
UPS (UPS)
Southwest Airlines (LUV)
Expeditors International (EXPD)

Info Tech (XLK)
High

Synopsys (SNPS)
Nvidia (NVDA)
Microsoft (MSFT)
Marvell Tech (MRVL)
Motorola Solutions (MSI)

Low 

Intel (INTC)
Cloudflare (NET)
Autodesk (ADSK)
Skyworks Solutions (SWKS)
Palantir (PLTR)

Materials (XLB)
High 

Linde (LIN)
Corteva (CTVA)
Vulcan Materials (VMC)
Martin Marietta (MLM)
Sherwin-Williams (SHW)

Low

Newmont (NEM)
Dow (DOW)
Steel Dynamics (STLD)
LyondellBasell (LYB)
Ball Corp. (BALL)

Real Estate (XLRE)
High

SBA Communications (SBAC)
VICI Properties (VICI)
American Tower (AMT)
Equinix (EQIX)
Iron Mountain (IRM)

Low

Realty Income (O)
Equity Residential (EQR)
Digital Realty (DLR)
Mid-America Apartment (MAA)
AvalonBay (AVB)

Utilities (XLU)
High

CenterPoint Energy (CNP)
Sempra Energy (SRE)
PPL (PPL)
Entergy (ETR)
DTE Energy (DTE)

Low

Atmos Energy (ATO)
CMS Energy (CMS)
Public Service Enterprise (PEG)
Edison International (EIX)
Consolidated Edison (ED)

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