Category

Quantitative Analysis

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 31st): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 31st): Tencent, AIA, CSPC

Hong Kong Buybacks Weekly (Mar 31st): Tencent, AIA, CSPC

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Mar 31st based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Aia (1299 HK), Cspc Pharmaceutical (1093 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), Tencent (700 HK), Swire Pacific (19 HK).

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Daily Brief Quantitative Analysis: Kelun-Biotech (科伦博泰) Pre-IPO: Candidates Are Differentiated and Promising and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Kelun-Biotech (科伦博泰) Pre-IPO: Candidates Are Differentiated and Promising
  • ASX Short Interest Weekly (Mar 24th): Pilbara Minerals, Aurizon, Arafura Rare Ear, New Hope
  • Global Emerging Markets: Reporting Season Summary, 4Q2022

Kelun-Biotech (科伦博泰) Pre-IPO: Candidates Are Differentiated and Promising

By Ke Yan, CFA, FRM

  • Kelun-Biotech, a China-based integrated innovative biopharmaceutical company, plans to raise up to US$ 300m via a Hong Kong listing.
  • In this note, we examine the company’s two core products, namely SKB264, a TROP2-ADC, and A166, a HER2-ADC. We also look at the company’s management and pre-IPO investors.
  • We think the company is worth investors attention with promising candidates. Its pre-IPO investor line-up is decent.

ASX Short Interest Weekly (Mar 24th): Pilbara Minerals, Aurizon, Arafura Rare Ear, New Hope

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 24th (reported today) which has an aggregated short interest worth USD44.0bn.
  • We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases & decreases in short value, short as multiple of ADT.
  • We highlight short interest changes in Pilbara Minerals, Aurizon, Arafura Rare Ear, New Hope, Medibank Private, De Grey Mining.

Global Emerging Markets: Reporting Season Summary, 4Q2022

By Wium Malan, CFA

  • The 200 largest weighted companies in the GEM index reported average EPS growth of +14.2%y/y for 4Q22-to-date, slightly down from the +15.7% reported for 3Q22.
  • Only 54% of companies delivered positive sales surprises, and only 49% delivered positive EPS surprises, significantly down from the trend seen over the past 2 years.
  • Historically, there has been a significant difference in relative share price performance between the largest positive versus negative surprise generators, for 3 months after the reporting date.

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Daily Brief Quantitative Analysis: Investing & Unintended Consequences and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Investing & Unintended Consequences

Investing & Unintended Consequences

By Nicolas Rabener

  • Simple equity ETFs often have exposures to other asset classes
  • Gold stocks are bond proxies & growth stocks are short commodities
  • So, the investors may have unintended bets in their portfolios

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Daily Brief Quantitative Analysis: HK Short Interest Weekly: Meituan and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Meituan, Gcl Tech, Link Reit, Sensetime, Trip.Com, Hsbc, Baba, Wuxi Apptec
  • A-H Premium Weekly (Mar 24th): Dongfang Electric, CEEC, Great Wall Motor
  • Hong Kong Connect Flows (Mar 24th): Meituan, Tencent, Bilibili
  • Northbound Flows (Mar 24th): Boe, CATL, Moutai, Shenzhen Inovance, Luxshare

HK Short Interest Weekly: Meituan, Gcl Tech, Link Reit, Sensetime, Trip.Com, Hsbc, Baba, Wuxi Apptec

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 17th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Meituan, Gcl Tech, Link Reit, Sensetime, Trip.Com, Hsbc, Baba, Wuxi Apptec.

A-H Premium Weekly (Mar 24th): Dongfang Electric, CEEC, Great Wall Motor

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 114.1% as of Mar 24th.
  • The average A-H premium changed by 0.6ppt week on week, led by information technology, industrials, utilities and offset by communication services, consumer discretionary, energy.
  • We highlight weekly changes in A-H premium for Dongfang Electric, CEEC, Great Wall Motor.

Hong Kong Connect Flows (Mar 24th): Meituan, Tencent, Bilibili

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 24th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We estimate that the total inflows were USD3.3bn last week and highlight flows for Meituan, Tencent, Bilibili.

Northbound Flows (Mar 24th): Boe, CATL, Moutai, Shenzhen Inovance, Luxshare

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 24th.
  • We estimate the weekly inflows to be US$1,685.1 million, led by industrials, information technology, health care sectors, and offset by energy, financials.
  • We highlight flows for Boe Technology, Contemporary Amperex Technology, Kweichow Moutai, Shenzhen Inovance Technology, Luxshare Precision Industry, Hithink Royalflush Information Network, China Shenhua Energy, Foxconn Industrial Internet, Ping An Insurance.

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Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 24th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 24th): Aia, Ck Asset, Swire Pacific

Hong Kong Buybacks Weekly (Mar 24th): Aia, Ck Asset, Swire Pacific

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Mar 24th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), Ck Asset (1113 HK), Swire Pacific (87 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), Great Wall Motor (2333 HK), Swire Pacific (19 HK).

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Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Mar 17th): Pilbara Minerals and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Mar 17th): Pilbara Minerals, Northern Star Re, Arafura Rare Ear, Aurizon

ASX Short Interest Weekly (Mar 17th): Pilbara Minerals, Northern Star Re, Arafura Rare Ear, Aurizon

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 17th (reported today) which has an aggregated short interest worth USD42.6bn.
  • We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases & decreases in short value, short as multiple of ADT.
  • We highlight short interest changes in Pilbara Minerals, Northern Star Re, Arafura Rare Ear, Aurizon, Suncorp, Beach Energy.

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Daily Brief Quantitative Analysis: Myth-Busting: The Economy Drives the Stock Market and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Myth-Busting: The Economy Drives the Stock Market

Myth-Busting: The Economy Drives the Stock Market

By Nicolas Rabener

  • US real GDP growth and US stock market returns were positively correlated since 1900
  • However, the correlation was not consistent and even turned negative
  • The evidence of this relationship from other countries is mixed

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Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 17th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 17th): Aia, Swire Pacific, Swire Pacific
  • A-H Premium Weekly (Mar 17th): China Telecom, China Shenhua, Great Wall Motor, CEEC
  • HK Short Interest Weekly: Xpeng, Byd Company, Icbc, Sinopec, Meituan, Tencent, Bidu, Baba, Hsbc
  • ASX Short Interest Weekly (Mar 10th): BHP
  • TWSE Short Interest Weekly (Mar 17th): Evergreen Marine, Alchip Tech, Global Unichip, Asia Vital
  • Hong Kong Connect Flows (Mar 17th): Tencent, China Mobile, ICBC, Bilibili, Meituan, Xiaomi
  • Northbound Flows (Mar 17th): Yangtze Power, Tcl Zhonghuan, Ping An Insurance, CATL, Moutai, CMB

Hong Kong Buybacks Weekly (Mar 17th): Aia, Swire Pacific, Swire Pacific

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Mar 17th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), Swire Pacific (19 HK), Swire Pacific (87 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Great Wall Motor (2333 HK), Aia (1299 HK), Swire Pacific (19 HK).

A-H Premium Weekly (Mar 17th): China Telecom, China Shenhua, Great Wall Motor, CEEC

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 113.5% as of Mar 17th.
  • The average A-H premium changed by -1.6ppt week on week, led by consumer discretionary, consumer staples, information technology and offset by communication services.
  • We highlight weekly changes in A-H premium for China Telecom, China Shenhua, Great Wall Motor, CEEC.

HK Short Interest Weekly: Xpeng, Byd Company, Icbc, Sinopec, Meituan, Tencent, Bidu, Baba, Hsbc

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 10th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Xpeng, Byd Company, Icbc, Sinopec, Meituan, Tencent, Bidu, Baba, Hsbc.

ASX Short Interest Weekly (Mar 10th): BHP

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 10th which has an aggregated short interest worth USD40.5bn.
  • We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases & decreases in short value, short as multiple of ADT.
  • We estimate the total short interest changes of -1.9% WoW and highlight short interest changes in BHP.

TWSE Short Interest Weekly (Mar 17th): Evergreen Marine, Alchip Tech, Global Unichip, Asia Vital

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 17th which has an aggregated short interest worth USD11.9bn.
  • We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases & decreases in short value, short as multiple of ADT.
  • We highlight short interest changes in Evergreen Marine, Alchip Tech, Global Unichip, Asia Vital, Htc, Chung-Hsin.

Hong Kong Connect Flows (Mar 17th): Tencent, China Mobile, ICBC, Bilibili, Meituan, Xiaomi

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 17th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Tencent, China Mobile, ICBC, Bilibili, Meituan, Xiaomi.

Northbound Flows (Mar 17th): Yangtze Power, Tcl Zhonghuan, Ping An Insurance, CATL, Moutai, CMB

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 17th.
  • We estimate the weekly inflows to be US$2,260.0 million, led by information technology, industrials, materials sectors, and offset by financials, energy.
  • We highlight flows for Yangtze Power, Tcl Zhonghuan, Ping An Insurance, CATL, Moutai, CMB .

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Daily Brief Quantitative Analysis: Multi-Strategy Hedge Funds: Jack of All Trades? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Multi-Strategy Hedge Funds: Jack of All Trades?

Multi-Strategy Hedge Funds: Jack of All Trades?

By Nicolas Rabener

  • A few select multi-strategy hedge funds generated outsized returns in 2022
  • However, the average fund lost money overall in the markets.
  • The average fund can be simply replicated via the S&P 500 & cash

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Daily Brief Quantitative Analysis: A-H Premium Weekly (Mar 10th): China Shenhua and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Mar 10th): China Shenhua, PetroChina, China Southern, ZTE, CRRC, CICC
  • Northbound Flows (Mar 10th): CTG, Moutai, Byd, CMB, Yili, Longi Green Energy, Tongwei, Luxshare
  • Hong Kong Connect Flows (Mar 10th): China Mobile, Tencent, China Vanke, ICBC, CCB

A-H Premium Weekly (Mar 10th): China Shenhua, PetroChina, China Southern, ZTE, CRRC, CICC

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 115.1% as of Mar 10th.
  • The average A-H premium changed by 3.2ppt week on week, led by health care, communication services, information technology.
  • We highlight weekly changes in A-H premium for China Shenhua, PetroChina, China Southern, ZTE, CRRC, CICC.

Northbound Flows (Mar 10th): CTG, Moutai, Byd, CMB, Yili, Longi Green Energy, Tongwei, Luxshare

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 10th.
  • We estimate the weekly outflows to be US$1,487.9 million, led by financials, materials, and offset by industrials, health care, utilities.
  • We highlight flows for China Tourism Group Duty Free, Kweichow Moutai, Byd, China Merchants Bank, Inner Mongolia Yili Industrial, Longi Green Energy Technology, Tongwei, Luxshare Precision Industry.

Hong Kong Connect Flows (Mar 10th): China Mobile, Tencent, China Vanke, ICBC, CCB

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 10th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for China Mobile, Tencent, China Vanke, ICBC, CCB.

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