Using mutual funds’ securities lending patterns, we propose a data-driven method using association rules to differentiate shorting demand for general hedging and for exploiting firm-specific negative information, which enables us to quantify whether a fund engages in value lending (low quantity and high fee) or volume lending (high quantity and low fee). Contrary to the common prior that securities lending is conducted at the fund family or lending agent level, we find rich heterogeneity in funds’ lending strategies within family and lending agent. Despite a lower lending revenue split with lending agents, volume lenders generate higher lending revenue and can better offset fund expense ratio than value lenders. Volume lenders also enhance their yield on cash collateral by lending cash through repurchase agreements to borrowing agents with securities lending relations.