I knew I was tempting fate when I celebrated my run of good luck here four weeks ago. And so it has turned out. Not since General Custer told his men “We’ve got the Indians on the run” has a talent for speaking too soon been so openly paraded.

One month on and my portfolio is filled with the walking wounded. Several plus signs in the table have been replaced by minuses. My only consolation is that at least I sold my shares in engineering group IMI a month back — just before they fell by a fifth. The remaining portfolio is down by about 13%.

My friend Arthur, whose father was a stockbroker, has also seen his portfolio shrink alarmingly of late. He told me it was one of those “if only” moments. “If only I had listened to my father,” he said. “Why, what did he say?,” I asked. “I don’t know — I didn’t listen,” said Arthur.

I doubt it would have made much difference given the rapidity of the falls experienced in many sectors over the past month. Retail, financials, construction, engineering, media — all have been sold off indiscriminately. Smaller-company shares have been particularly hard hit.

It hasn’t mattered much whether the news flow has been good or bad. Music and books retailer HMV announced a 25% rise in profits and strong sales growth buoyed by a shift into electronic games and technology — plus new store formats. Most of the company’s borrowings had been repaid. Yet the shares fell 13%.

Now I appreciate that sales of music CDs are falling worldwide as digital downloads become a way of life (though personally I wouldn’t know where to start) but HMV actually lifted its sales of CDs last year. Games and technology — such as MP3 players — made up more than a fifth of sales. Under new boy Simon Fox, the company is not trying to beat the new digital age but join it. What HMV — or any other company — cannot do is control the number of its shares that are being sold short by the hedge funds.

Selling shares you do not own — “going short” — in the hope of being able to buy them back at a much lower price can be profitable work in a bear market. This is typically what hedge funds do. However, they must first borrow shares from an existing holder in order to have some shares to deliver to a buyer on settlement date.

The proportion of a company’s shares that has been loaned out is therefore a good indicator of the “short” interest in that stock. At the last count, nearly 40% of HMV’s share capital had been loaned out. That makes it the most shorted stock in the FTSE 250 index. When such a weight of selling bears down on a share it is bound to have an effect.

I know there are academic studies that show short-selling does not affect a stock’s performance, but I do not believe them. Nor, obviously, does City watchdog the Financial Services Authority, which has recently introduced new rules requiring short-sellers to reveal their positions in any company involved in a rights issue.

Prices are made at the margin between demand and supply. Right now, the HMV share price reflects an extra 40% of supply — over and above its paid-up share capital. It’s no wonder the share price is labouring, despite the good figures.

Now I could be accused of pointing the finger at others when I’ve simply made the mistake of buying the wrong share (a mistake I make only too often).

There is a wonderful moment near the start of Samuel Beckett’s Waiting for Godot where Estragon, one of the two tramps who dominate the play, takes off his boot to hunt for a stone that has been troubling him. He finds nothing. That prompts the other tramp, Vladimir, to observe: “There’s man all over for you, blaming on his boots the faults of his feet.” Perhaps I am guilty of doing the same.

What I cannot understand, though, is the willingness of existing holders of HMV to lend their shares in such volume to borrowers whose only motive is to drive down the share price. The lenders get a fee for their lending, but it is tiny — typically a fraction of a percent. It cannot compensate them for the damage done to their portfolios as the value of their shareholding falls.

Stock lending in a bear market can make no sense. It is like lending your enemy a knife with which to cut your throat. If all the holders of music group EMI who have loaned their stock asked for it back tomorrow, the price would soar. The short-sellers would have no option but to close out their positions by buying back what they have sold. Sadly, it won’t happen.

Times Recommends

• How to sell your home in a downturn
• How to boost your spending power
• Unemployment benefits explained