Asian Hedge Fund Manager, Long Short Equity, Macro

David Mudd

Equity Bottom-Up

<ul>
<li>The Hong Kong Alpha simulated portfolio returned 0.97% in March outperforming its benchmark by 1.1%.  Since inception the portfolio has outperformed Hong Kong indexes by 8% to 11%.</li>
<li>The portfolio has generated alpha while maintaining a correlation of 0.8 and a beta of 1.05.  The HK Alpha portfolio has a Sharpe ratio of 2.19 YTD.</li>
<li>On 3/31/25 we sold <a href="https://www.smartkarma.com/entities/shanghai-electric-group-company-limited-d542164d-4d5a-4ce0-b33e-5fe6bc34722c" target="_blank" data-smartkarma-citation="entities:8777:1" rel="noopener">Shanghai Electric Group Company (2727 HK)</a> , <a href="https://www.smartkarma.com/entities/citic-securities-h" target="_blank" data-smartkarma-citation="entities:463:1" rel="noopener">Citic Securities (H) (6030 HK)</a> , <a href="https://www.smartkarma.com/entities/sands-china-ltd" target="_blank" data-smartkarma-citation="entities:182:1" rel="noopener">Sands China (1928 HK)</a> , and <a href="https://www.smartkarma.com/entities/sunny-optical-technology-group" target="_blank" data-smartkarma-citation="entities:13363:1" rel="noopener">Sunny Optical Technology Group (2382 HK)</a></li>
</ul>


The Hong Kong Alpha simulated portfolio returned 0.97% in March outperforming its benchmark by 1.1%.  Since inception the portfolio has outperformed Hong Kong indexes by 8% to 11%.
The portfolio has generated alpha while maintaining a correlation of 0.8 and a beta of 1.05.  The HK Alpha portfolio has a Sharpe ratio of 2.19 YTD.
On 3/31/25 we sold Shanghai Electric Group Company (2727 HK) , Citic Securities (H) (6030 HK) , Sands China (1928 HK) , and Sunny Optical Technology Group (2382 HK)


Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

Guangzhou Automobile Group / Event-Driven

<ul>
<li>AH Premia continue to fall. Spread curve torsion was a barbell this week. Narrow and wide spreads see Hs outperform. Middling spreads outperform less.</li>
<li>To me, warning signs are flashing on spreads. They are at their narrowest in 5yrs and they are volatile, though volatility is coming down.</li>
<li>Lots of spreads see the HA premium less than 15%. That is historically tight.</li>
</ul>


AH Premia continue to fall. Spread curve torsion was a barbell this week. Narrow and wide spreads see Hs outperform. Middling spreads outperform less.
To me, warning signs are flashing on spreads. They are at their narrowest in 5yrs and they are volatile, though volatility is coming down.
Lots of spreads see the HA premium less than 15%. That is historically tight.


A/H Premium Tracker (To 21 Mar 2025):  AH Premia Still Falling; Expect Curve Torsion or AH Widening

A/H Premium Tracker (To 14 Mar 2025):  AH Premia Still Falling; Expect Curve Torsion or AH Widening

<ul>
<li>AH Premia continue to fall. Spread curve torsion reverses again with narrow premia trades seeing Hs perform the best. </li>
<li>Warning signs are starting to flash on spreads. This week I have the biggest week of changes recommended that I have ever had. By a long ways.</li>
<li>This week threatens to be a very strange week geopolitically. Being smaller in crowded trades is probably a good thing.</li>
</ul>


AH Premia continue to fall. Spread curve torsion reverses again with narrow premia trades seeing Hs perform the best. 
Warning signs are starting to flash on spreads. This week I have the biggest week of changes recommended that I have ever had. By a long ways.
This week threatens to be a very strange week geopolitically. Being smaller in crowded trades is probably a good thing.


A/H Premium Tracker (To 28 Feb 2025):  AH Premia Continue to Fall; Expect Widening

<ul>
<li>AH Premia continue to fall with the widest spreads narrowing more than the narrowest spreads, and liquid pairs seeing more narrowing than illiquid pairs.</li>
<li>Average AH Premia are at a new 5yr low (longer, actually, but charts below only show 5yrs). The big warning sign? Rolling 52wk performance of A vs H in pairs.</li>
<li>Momentum is going to work until it does not. A new Trump EO this weekend seems to have potential to lead to more restrictions on US ownership of Chinese stocks.</li>
</ul>


AH Premia continue to fall with the widest spreads narrowing more than the narrowest spreads, and liquid pairs seeing more narrowing than illiquid pairs.
Average AH Premia are at a new 5yr low (longer, actually, but charts below only show 5yrs). The big warning sign? Rolling 52wk performance of A vs H in pairs.
Momentum is going to work until it does not. A new Trump EO this weekend seems to have potential to lead to more restrictions on US ownership of Chinese stocks.


A/H Premium Tracker (To 21 Feb 2025):  AH Premia Continue to Fall; Wider Spreads Narrow Most

China

CITIC Securities Co., Ltd. provides securities brokerage, trading, underwriting, investment banking, asset management, and investment consulting services.

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Citic Securities (H) (6030 HK)

HONG KONG ALPHA PORTFOLIO (March 2025)

The Hong Kong Alpha portfolio returned 0.97% in March outperforming its benchmark by 1.1%. Since inception the portfolio has outperformed Hong...

David Mudd

A/H Premium Tracker (To 21 Mar 2025): AH Premia Still Falling; Expect Curve Torsion or AH Widening

AH Premia continue to fall on average, but the outperformance is slowing, and the better buying in some sectors (banks) appears to be technically...

Travis Lundy

A/H Premium Tracker (To 14 Mar 2025): AH Premia Still Falling; Expect Curve Torsion or AH Widening

AH Premia still falling at a slower pace. Hs outperform As despite HK underperforming A-share blue chips. Lots of AH premia <20%. Vol dropping...

Travis Lundy

A/H Premium Tracker (To 28 Feb 2025): AH Premia Continue to Fall; Expect Widening

AH Premia are again at a 5yr low. Liquid Hs outperform illiquids with wider spreads. Trades are getting crowded. Biggest slew of recommendations in...

Travis Lundy

A/H Premium Tracker (To 21 Feb 2025): AH Premia Continue to Fall; Wider Spreads Narrow Most

AH Premia are at a new 5yr low. AH rolling performance is ridiculously bad. A new Trump Executive Order over the weekend suggests VIEs may be in...

Travis Lundy

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