While the markets are rebounding, a heavily shorted consumer staples sector exchange traded fund may continue to fall behind.

The Consumer Staples Select Sector SPDR (NYSEArca: XLP) was up 1.0% Wednesday. The defensive staples sector was among the worst performing areas of the market this year, falling 2.8% over the past month and dipping 0.8% year-to-date. XLP also closed below its 200-day simple moving average Monday, the first time since February 2014, but has since bounced back.

Investors have exited out of the sector in droves, pulling $2.8 billion from XLP this year, the most among sector funds, reports Michael Regan for Bloomberg.

Meanwhile, the number of shares of XLP that were borrowed by short-sellers has increased to 9.3%, one of the highest levels in four years and overtaking the Industrial Select Sector SPDR (NYSEArca: XLI) as the most shorted main industry group SPDR sector fund. XLI has declined 2.0% over the past month and fell 1.6% year-to-date.

According to Markit and Bloomberg data, the most heavily shorted consumer staple stocks include McCormick & Co (NYSE: MKC), Campbell Soup (NYSE: CPB), Tyson Foods (NYSE: TSN), Clorox (NYSE: CLX), JM Smucker (NYSE: SJM), Reynolds American (NYSE: RAI), Keurig Green Mountain (NYSE: GMCR), General Mills (NYSE: GIS) and Whole Foods Market (NYSE: WFM). All together, the positions make up 8.8% of XLP’s underlying portfolio.

McCormic & Co showed the highest short interest, with 6.3% of shares borrowed by short sellers. This suggests that bearish traders have a more pessimistic outlook on the overall sector, with a heavy bet against XLP, than any individual company.

Andrew Burkly, head of institutional portfolio strategy at Oppenheimer & Co., pointed out that relative valuations “have crept up to levels approaching prior cyclical peaks” for consumer staples, discretionary and healthcare, but “it’s more so a warning sign for secularly more slower growing consumer staples” than other areas with higher growth prospects.

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