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Posts for alternative data

Is There Alpha in Borrow Fees?

Wed May 15 2024 by Brian Stanley
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Borrow fees reflect how likely short sellers think a stock is to decline. Can this information be incorporated into trading strategies as an alpha factor? This article uses Alphalens to explore the relationship between borrow fees and forward returns and uses Moonshot and Zipline to demonstrate ways to incorporate borrow fees into long or short strategies.