Category

Quantitative Analysis

May 08
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (May 3rd): Samsung Electronics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (May 3rd): Samsung Electronics, Sk Hynix, Hyundai Motor, Kb Financial

KRX Short Interest Weekly (May 3rd): Samsung Electronics, Sk Hynix, Hyundai Motor, Kb Financial

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of May 3rd which has an aggregated short interest worth USD6.4bn.
  • 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 Samsung Electronics, Sk Hynix, Hyundai Motor, Kb Financial.

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May 06
0

Daily Brief Quantitative Analysis: Value or Growth? Here’s an Analytical Framework and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Value or Growth? Here’s an Analytical Framework
  • KRX Foreign Holding Weekly (May 3rd): Celltrion, Sk Hynix
  • TWSE Foreign Holding Weekly (May 3rd): TSMC, Hon Hai, Delta Elec, Yageo, Quanta Computer, Alchip
  • TWSE Short Interest Weekly (May 3rd): Asia Vital, Mediatek, Chung-Hsin

Value or Growth? Here’s an Analytical Framework

By Cam Hui

  • Should you buy value or growth stocks? We present an analytical framework for analyzing growth and value within a capital intensity context.
  • While growth has outperformed value for prolonged periods, we believe cyclically sensitive value stocks present outperformance opportunities over the medium term.
  • We recommend investors maintain an overweight position in value, a marketweight position in growth and an underweight position in defensive sectors.

KRX Foreign Holding Weekly (May 3rd): Celltrion, Sk Hynix

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of May 3rd which has an aggregated holding worth USD529.7bn.
  • We estimate that foreign flows to be inflows of USD1,168mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in Celltrion (068270 KS), Sk Hynix (000660 KS).

TWSE Foreign Holding Weekly (May 3rd): TSMC, Hon Hai, Delta Elec, Yageo, Quanta Computer, Alchip

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of May 3rd which has an aggregated holding worth USD3,897.7bn.
  • We estimate that foreign flows to be inflows of USD3,975mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in TSMC, Hon Hai, Delta Elec, Yageo, Quanta Computer, Alchip Tech, King Yuan Elec, Wt, Accton Tech, Powertech.

TWSE Short Interest Weekly (May 3rd): Asia Vital, Mediatek, Chung-Hsin

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of May 3rd which has an aggregated short interest worth USD86.1bn.
  • 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 Asia Vital, Mediatek, Chung-Hsin.

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May 04
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (May 3rd): Meituan and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (May 3rd): Meituan, Hang Seng Bank, Swire Pacific

Hong Kong Buybacks Weekly (May 3rd): Meituan, Hang Seng Bank, 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 May 3rd based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Meituan (3690 HK), Hang Seng Bank (11 HK), Swire Pacific (19 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Meituan (3690 HK), Hang Seng Bank (11 HK).

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May 03
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (April): 12M High of $10.7bn Inflows and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (April): 12M High of $10.7bn Inflows
  • Screening for GEMs: May 2024
  • ASX Short Interest Weekly (Apr 26th): Paladin Energy, Beach Energy, Computershare, Macquarie
  • Northbound Flows (April): CATL, CMB, BOE, Haier Smart Home, China Tourism, Moutai, Nari Technology

Hong Kong Connect Flows (April): 12M High of $10.7bn Inflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Hong Kong Connect flows with our data engine.
  • We tabulate the top stocks by inflows, outflows, and holding by mainland investors.
  • We highlight flows for BOC, Tencent, China Mobile, ZTO Express, Anta Sports.

Screening for GEMs: May 2024

By Wium Malan, CFA

  • An overview (and output) of our machine learning-driven GEM screening model, which seeks to find the best medium-term long ideas within the top 100 stocks in the MSCI GEM Index.
  • The model is based on 1) a quantitative multifactor screening model, enhanced by two AI Technology-based approaches; 2) a Deep Neural Network model, and 3) a Recurrent Neural Network model.
  • Developed over roughly 4 years and implemented in its current state for over 3 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.

ASX Short Interest Weekly (Apr 26th): Paladin Energy, Beach Energy, Computershare, Macquarie

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Apr 26th (reported today) which has an aggregated short interest worth USD19.1bn.
  • 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 Paladin Energy, Beach Energy, Computershare, Macquarie, Brambles.

Northbound Flows (April): CATL, CMB, BOE, Haier Smart Home, China Tourism, Moutai, Nari Technology

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Financials, Materials, Health Care led the inflows while Consumer Discretionary, Communication Services led the outflows (first chart below).
  • We highlight inflows into CATL, CMB, BOE, Haier Smart Home, and outflows from China Tourism, Moutai, Nari Technology, Focus Media and Seres

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Apr 29
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Apr 26th): Zoomlion and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Apr 26th): Zoomlion, Sinotrans, Remegen
  • TWSE Short Interest Weekly (Apr 26th): Umc, Wistron, Wiwynn, Wt, TSMC, Evergreen Marine, Chung-Hsin
  • Hong Kong Connect Flows (Apr 26th): BOC, Tencent, China Mobile, HKEx, ZTO, Meituan, HSBC
  • Northbound Flows (Apr 26th): CMB, Moutai, Ping An Insurance, Wuliangye, CATL, Mindray, Luxshare
  • TWSE Foreign Holding Weekly (Apr 26th): TSMC, Quanta Computer, Evergreen Marine, Eva Airways
  • KRX Foreign Holding Weekly (Apr 26th): Ecopro, Hyundai Motor, Krafton, Sk Hynix, Samsung Electronics

A-H Premium Weekly (Apr 26th): Zoomlion, Sinotrans, Remegen

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 147 stocks over the last week. The average A-H premium was 123.5% as of Apr 26th.
  • The average A-H premium changed by -8.5ppt week-on-week, led by consumer staples, financials, real estate.
  • We highlight weekly changes in A-H premium for Zoomlion, Sinotrans, Remegen.

TWSE Short Interest Weekly (Apr 26th): Umc, Wistron, Wiwynn, Wt, TSMC, Evergreen Marine, Chung-Hsin

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Apr 26th which has an aggregated short interest worth USD85.3bn
  • 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 Umc, Wistron, Wiwynn, Wt, TSMC, Evergreen Marine, Chung-Hsin, Ap Memory Tech.

Hong Kong Connect Flows (Apr 26th): BOC, Tencent, China Mobile, HKEx, ZTO, Meituan, HSBC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of April 26th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Bank Of China, Tencent, China Mobile, HKEx, Zto Express, Meituan, HSBC.

Northbound Flows (Apr 26th): CMB, Moutai, Ping An Insurance, Wuliangye, CATL, Mindray, Luxshare

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of April 26th.
  • We estimate the weekly inflows to be US$3,861.7 million, led by consumer staples, financials, materials sectors, and offset by communication services.
  • We highlight flows for CMB, Moutai, Ping An Insurance, Wuliangye, CATL, Mindray, Luxshare Precision, Eoptolink Technology Inc.,, Imeik Technology Development, Zijin Mining, Bank Of Jiangsu, Midea.

TWSE Foreign Holding Weekly (Apr 26th): TSMC, Quanta Computer, Evergreen Marine, Eva Airways

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Apr 26th which has an aggregated holding worth USD3,910.9bn.
  • We estimate that foreign flows to be inflows of USD3,975mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in TSMC, Quanta Computer, Evergreen Marine, Eva Airways, Hon Hai, Umc, ASE, Wistron, Asustek Computer, Chunghwa Telecom.

KRX Foreign Holding Weekly (Apr 26th): Ecopro, Hyundai Motor, Krafton, Sk Hynix, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of Apr 26th which has an aggregated holding worth USD522.3bn.
  • We estimate that foreign flows to be inflows of USD843mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in Ecopro, Hyundai Motor, Krafton, Sk Hynix, Samsung Electronics, Hanmi Semicon.

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Apr 27
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Apr 26th): Hang Seng Bank and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Apr 26th): Hang Seng Bank, Xiaomi, Wuxi Biologics
  • ASX Short Interest Weekly (Apr 19th): Woolworths, Ampol, Computershare, Fortescue, BHP, Seven Group

Hong Kong Buybacks Weekly (Apr 26th): Hang Seng Bank, Xiaomi, Wuxi Biologics

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Apr 26th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Hang Seng Bank (11 HK), Xiaomi (1810 HK), Wuxi Biologics (2269 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Meituan (3690 HK), CK Asset (1113 HK).

ASX Short Interest Weekly (Apr 19th): Woolworths, Ampol, Computershare, Fortescue, BHP, Seven Group

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Apr 19th (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 Woolworths, Ampol, Computershare, Fortescue, BHP, Seven Group.

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Apr 25
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Apr 19th): Samsung Electronics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Apr 19th): Samsung Electronics

KRX Short Interest Weekly (Apr 19th): Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Apr 19th which has an aggregated short interest worth USD6.6bn.
  • 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 estimate the short interests to be USD 6.6bn and highlight short interest changes in Samsung Electronics.

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Apr 22
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Tencent, Meituan, Zhaojin Mining
  • A-H Premium Weekly (Apr 19th): Fosun Pharma, China Southern Air, CICC, Ganfeng Lithium, Joinn Lab
  • Northbound Flows (Apr 19th): Zijin Mining, China Tourism, Foxconn Industrial Internet
  • TWSE Foreign Holding Weekly (Apr 19th): Wt, Hon Hai, Wiwynn, Tatung, Lotes, TSMC, Mediatek, Umc
  • KRX Foreign Holding Weekly (Apr 19th): Samsung Electronics, Sk Hynix, Kia
  • Hong Kong Connect Flows (Apr 19th): China Mobile, Bank Of China, Tencent, Petrochina, HSBC
  • TWSE Short Interest Weekly (Apr 19th): TSMC, Wiwynn, Tatung, Umc, Teco Elec & Mach, Quanta Computer

HK Short Interest Weekly: Tencent, Meituan, Zhaojin Mining

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Apr 12th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Tencent (700 HK), Meituan (3690 HK), Zhaojin Mining (1818 HK).

A-H Premium Weekly (Apr 19th): Fosun Pharma, China Southern Air, CICC, Ganfeng Lithium, Joinn Lab

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 147 stocks over the last week. The average A-H premium was 132.0% as of Apr 19th.
  • The average A-H premium changed by 2.7ppt week-on-week, led by consumer staples, financials, materials and offset by communication services, energy.
  • We highlight weekly changes in A-H premium for Fosun Pharma, China Southern Air, CICC, Ganfeng Lithium, Joinn Lab.

Northbound Flows (Apr 19th): Zijin Mining, China Tourism, Foxconn Industrial Internet

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of April 19th.
  • We estimate the weekly outflows to be US$876.3 million, led by information technology, industrials, materials, and offset by financials, health care, real estate.
  • We highlight flows for Zijin Mining, China Tourism, Foxconn Industrial Internet, China Citic Bank, Zhongji Innolight.

TWSE Foreign Holding Weekly (Apr 19th): Wt, Hon Hai, Wiwynn, Tatung, Lotes, TSMC, Mediatek, Umc

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Apr 19th which has an aggregated holding worth USD3,728.3bn.
  • We estimate that foreign flows to be outflows of USD18,944mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign instutions.
  • We highlight foreign changes in Wt, Hon Hai, Wiwynn, Tatung, Lotes, TSMC, Mediatek, Umc, Alchip Tech, Wistron.

KRX Foreign Holding Weekly (Apr 19th): Samsung Electronics, Sk Hynix, Kia

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of Apr 19th which has an aggregated holding worth USD508.9bn.
  • We estimate that foreign flows to be inflows of USD85mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in Samsung Electronics, Sk Hynix, Kia.

Hong Kong Connect Flows (Apr 19th): China Mobile, Bank Of China, Tencent, Petrochina, HSBC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of April 19th.
  • 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, Bank Of China, Tencent, Petrochina, ICBC,  HSBC.

TWSE Short Interest Weekly (Apr 19th): TSMC, Wiwynn, Tatung, Umc, Teco Elec & Mach, Quanta Computer

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Apr 19th which has an aggregated short interest worth USD79.3bn.
  • 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 TSMC, Wiwynn, Tatung, Umc, Teco Elec & Mach, Quanta Computer, Wt, Bora Pharma.

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Apr 20
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Apr 19th): Meituan and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Apr 19th): Meituan, Tencent, CK Asset
  • ASX Short Interest Weekly (Apr 12th): Rio Tinto, Computershare, NAB, Wisetech Global, South32

Hong Kong Buybacks Weekly (Apr 19th): Meituan, Tencent, CK Asset

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Apr 19th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Meituan (3690 HK), Tencent (700 HK), CK Asset (1113 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Meituan (3690 HK), AIA (1299 HK).

ASX Short Interest Weekly (Apr 12th): Rio Tinto, Computershare, NAB, Wisetech Global, South32

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Apr 12th (reported today) which has an aggregated short interest worth USD19.0bn.
  • 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 Rio Tinto, Computershare, NAB, Wisetech Global, South32.

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Apr 18
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Apr 12th): HMM and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Apr 12th): HMM, LG Electronics

KRX Short Interest Weekly (Apr 12th): HMM, LG Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Apr 12th which has an aggregated short interest worth USD6.7bn.
  • 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 HMM, LG Electronics .

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