Category

Quantitative Analysis

Nov 30
0

Daily Brief Quantitative Analysis: Replicating a CTA Via Factor Exposures and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Replicating a CTA Via Factor Exposures

Replicating a CTA Via Factor Exposures

By Nicolas Rabener

  • Strategies can be copied by recreating them from scratch or using factor exposures
  • CTAs can be replicated via factor exposure analysis by utilizing only 4 asset classes
  • Not a perfect replication, but surprisingly good given the limited input

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Nov 28
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Nov 25th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Nov 25th): Tencent, China Mobile, Kuaishou, Xpeng, Meituan, Li Ning
  • A-H Premium Weekly (Nov 25th): China Longyuan, GF Securities, Cosco Ship, CCCC, Cansino
  • Northbound Flows (Nov 25th): Luzhou Lao Jiao, Yunnan New Energy Material, CATL
  • HK Short Interest Weekly: Tencent, HKEx, Innovent
  • TWSE Short Interest Weekly (Nov 25th): Wiwynn Corp, Largan Precision, Hon Hai, Tong Hsing

Hong Kong Connect Flows (Nov 25th): Tencent, China Mobile, Kuaishou, Xpeng, Meituan, Li Ning

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of November 25th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight inflows into Tencent, China Mobile, Kuaishou, Xpeng, and outflows from Meituan, Li Ning.

A-H Premium Weekly (Nov 25th): China Longyuan, GF Securities, Cosco Ship, CCCC, Cansino

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 142 stocks over the last week. The average A-H premium was 118.2% as of Nov 25th.
  • The average A-H premium changed by -3.2ppt weeok on week, led by real estate, financials, information technology and offset by consumer discretionary.
  • We highlight weekly changes in A-H premium for China Longyuan, GF securities, Cosco Ship, CCCC, Cansino, Great Wall Motor.

Northbound Flows (Nov 25th): Luzhou Lao Jiao, Yunnan New Energy Material, CATL

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of November 25th.
  • We estimate the weekly inflows to be US$1,113.7 million, led by financials, consumer staples, utilities sectors, and offset by health care, industrials.
  • We highlight flows for Luzhou Lao Jiao, Yunnan New Energy Material, CATL.

HK Short Interest Weekly: Tencent, HKEx, Innovent

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Nov 18th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Tencent (700 HK), HKEx (388 HK), Innovent (1801 HK). 

TWSE Short Interest Weekly (Nov 25th): Wiwynn Corp, Largan Precision, Hon Hai, Tong Hsing

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Nov 25th which has an aggregated short interest worth USD14.0bn.
  • 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 Wiwynn Corp, Largan Precision, Hon Hai, Tong Hsing.

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Nov 26
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Nov 25th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Nov 25th): Tencent, AIA, Great Wall Motor

Hong Kong Buybacks Weekly (Nov 25th): Tencent, AIA, Great Wall Motor

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Nov 25th 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), Great Wall Motor (2333 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), China Petroleum & Chemical (386 HK).

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Nov 25
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Nov 18th): Ramsay Health and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Nov 18th): Ramsay Health, Woodside Energy, ANZ, Northern Star, Telstra

ASX Short Interest Weekly (Nov 18th): Ramsay Health, Woodside Energy, ANZ, Northern Star, Telstra

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Nov 18th (reported today) which has an aggregated short interest worth USD18.6bn.
  • 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 Ramsay Health, Woodside Energy, ANZ, Northern Star, Telstra. 

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Nov 23
0

Daily Brief Quantitative Analysis: Creating a CTA from Scratch- II and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Creating a CTA from Scratch- II

Creating a CTA from Scratch- II

By Nicolas Rabener

  • CTAs pursue trends across asset classes, regardless if long or short
  • 2022 is exceptional as CTAs have more short positions than during the GFC
  • No single long bond index position remains, fixed income is one big short

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Nov 21
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Nov 18th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Nov 18th): Tencent, HKEx, Country Garden, Meituan
  • HK Short Interest Weekly: AIA, Li Ning, SHK PPT, CSPC Pharma, Fosun Pharma, Kingsoft
  • Northbound Flows (Nov 18th): Moutai, Midea, China Merchants Bank, Ping An Insurance, Zijin Mining
  • TWSE Short Interest Weekly (Nov 18th): Wiwynn, Yageo, Evergreen Marine, UMC, ASE, Powerchip
  • A-H Premium Weekly (Nov 18th): China Longyuan, GF Securities, Great Wall Motor

Hong Kong Connect Flows (Nov 18th): Tencent, HKEx, Country Garden, Meituan

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of November 18th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight inflows into Tencent, HKEx, Country Garden and outflows from Meituan.

HK Short Interest Weekly: AIA, Li Ning, SHK PPT, CSPC Pharma, Fosun Pharma, Kingsoft

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Nov 11th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in AIA, Li Ning, SHK PPT, CSPC Pharma, Fosun Pharma, Kingsoft.

Northbound Flows (Nov 18th): Moutai, Midea, China Merchants Bank, Ping An Insurance, Zijin Mining

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of November 18th.
  • We estimate the weekly inflows to be US$4,809.9 million, led by financials, consumer staples, consumer discretionary sectors.
  • We highlight flows for Moutai, Midea, China Merchants Bank, Ping An Insurance, Zijin Mining.

TWSE Short Interest Weekly (Nov 18th): Wiwynn, Yageo, Evergreen Marine, UMC, ASE, Powerchip

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Nov 18th which has an aggregated short interest worth USD13.9bn.
  • 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 Wiwynn, Yageo, Evergreen Marine, UMC, ASE, Powerchip.

A-H Premium Weekly (Nov 18th): China Longyuan, GF Securities, Great Wall Motor

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 142 stocks over the last week. The average A-H premium was 121.4% as of Nov 18th.
  • The average A-H premium changed by -7.0ppt weeok on week, led by consumer discretionary, industrials, communication services and offset by consumer staples.
  • We highlight weekly changes in A-H premium for China Longyuan, GF Securities, Great Wall Motor, COSCO Shipping Energy. 

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Nov 19
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Nov 18th): and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Nov 18th):

Hong Kong Buybacks Weekly (Nov 18th):

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Nov 18th 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), PetroChina (386 HK), Swire Pacific (19 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), PetroChina (386 HK), Wuxi Biologics (2269 HK).

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Nov 18
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Nov 11th): Westpac and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Nov 11th): Westpac, Woodside, Norther Star

ASX Short Interest Weekly (Nov 11th): Westpac, Woodside, Norther Star

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Nov 11th (reported today) which has an aggregated short interest worth USD19.6bn.
  • 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 Westpac, Woodside, Norther Star, ANZ, Aristocrat Leisure, New Hope, Rio Tinto.

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Nov 16
0

Daily Brief Quantitative Analysis: Creating a CTA from Scratch and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Creating a CTA from Scratch

Creating a CTA from Scratch

By Nicolas Rabener

  • CTAs have become popular again given their positive returns in 2022
  • However, they are typically difficult to grasp given their ever-changing portfolios
  • Building a CTA from scratch is not complicated and reduces the opaqueness 

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Nov 14
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Nov 4th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Nov 4th): Tencent, Wuxi Biologics, HKEx, Kuaishou
  • A-H Premium Weekly (Nov 11th): BYD, Dongfang Electric, Pharmaron Beijing, CSC Financial
  • Northbound Flows (Nov 11th): Midea, Zijin Mining, Naura Tech
  • HK Short Interest Weekly: Kuaishou, Li Ning, China Shenhua, BYD Electronic
  • TWSE Short Interest Weekly (Nov 11th): Unimicron, Alchip, Lotes, King Yuan Electronics, Wistron, TXC

Hong Kong Connect Flows (Nov 4th): Tencent, Wuxi Biologics, HKEx, Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of November 11th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight inflows into Tencent, Wuxi Biologics, HKEx, Kuaishou Technology.

A-H Premium Weekly (Nov 11th): BYD, Dongfang Electric, Pharmaron Beijing, CSC Financial

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 142 stocks over the last week. The average A-H premium was 128.4% as of Nov 11th.
  • The average A-H premium changed by -4.7ppt weeok on week, led by financials, materials, information technology and offset by real estate, communication services.
  • We highlight weekly changes in A-H premium for BYD, Dongfang Electric, Pharmaron Beijing, CSC Financial.

Northbound Flows (Nov 11th): Midea, Zijin Mining, Naura Tech

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of November 11th.
  • We estimate the weekly inflows to be US$845.8 million, led by materials, financials, consumer discretionary sectors, and offset by information technology, utilities.
  • We highlight flows for Midea, Zijin Mining, Naura Tech, TCL Zhonghuan, Yangtze Power, Goertek.

HK Short Interest Weekly: Kuaishou, Li Ning, China Shenhua, BYD Electronic

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Nov 4th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Kuaishou, Li Ning, China Shenhua, BYD Electronic.

TWSE Short Interest Weekly (Nov 11th): Unimicron, Alchip, Lotes, King Yuan Electronics, Wistron, TXC

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Nov 11th which has an aggregated short interest worth USD13.6bn.
  • 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 Unimicron, Alchip, Lotes, King Yuan Electronics, Wistron, TXC. 

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