Below we chart the performance of a model porfolio, based on the fifty stocks listed in the table below.

How the shorts have performed

The “Top 50 Short” portfolio was constructed of equally weighted long positions in those stocks with:

• The highest Short Interest as a percentage of Shares Outstanding (SISO)
• A market capitalization of at least $250M

This portfolio lost just over 7% during the period June 12th through 24th.

A large part of this may be attributable to the fall in the overall market, coupled with a high-beta for the portfolio. We also plot an “Equivalent Market 50″ which is a proxy for a randomly selected portfolio of fifty stocks with the same overall beta.

The S&P 500 fell 4.8% in the same period.