Category

Quantitative Analysis

Jul 16
0

Daily Brief Quantitative Analysis: JPX Margin Trading Weekly (Jul 11th): Fast Retailing and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • JPX Margin Trading Weekly (Jul 11th): Fast Retailing, Disco, Mitsubishi Heavy Industries, Sanrio

JPX Margin Trading Weekly (Jul 11th): Fast Retailing, Disco, Mitsubishi Heavy Industries, Sanrio

By Ke Yan, CFA, FRM

  • We analyzed the changes in margin trading positions of JPX stocks as of Jul 11th. The aggregated net margin trading position is USD17,320m.
  • We tabulate league tables for top/bottom net long/short of margin trading by value, net margin buy as multiple of ADT.
  • We highlight net margin buy/sell changes in Fast Retailing, Disco, Mitsubishi Heavy Industries, Sanrio, Lasertec, Kawasaki Heavy Industries, Ntt Data, Fujikura, Nintendo, Tokyo Electric Power Company.

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Jul 14
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Jul 11th): Central China Securities and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Jul 11th): Central China Securities, China Energy Engineering
  • HK Connect Flows Weekly (Jul 11th): Meituan, CCB, SMIC, Li Auto, Zhongan Online, Alibaba, CMB
  • HK Short Interest Weekly: Ali Health, CCB, Giant Biogene
  • Thailand Short Interest Weekly (Jul 11th): Central Retail
  • Bursa Short Interest Weekly (Jul 11th): Ytl, Nationgate Holdings Berhad, Ytl Power International
  • TWSE Short Interest Weekly (Jul 11th): Unimicron Technology, Zhen Ding Technology, Ase Industrial
  • KRX Foreign Holding Weekly (Jul 11th): Alteogen, Samsung Electronics
  • TWSE Foreign Holding Weekly (Jul 11th): TSMC, Mediatek, Hon Hai Precision, Ctbc Financial

A-H Premium Weekly (Jul 11th): Central China Securities, China Energy Engineering

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 157 stocks over the last week. The average A-H premium was 63.9% as of Jul 11th.
  • The average A-H premium changed by -4.0ppt week-on-week, led by financials, real estate, energy and offset by information technology.
  • We highlight weekly changes in A-H premium for Central China Securities, China Energy Engineering, Guolian Minsheng Securities, CHALIECO, Tigermed, Guotai Haitong Securities.

HK Connect Flows Weekly (Jul 11th): Meituan, CCB, SMIC, Li Auto, Zhongan Online, Alibaba, CMB

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of July 11th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Meituan, CCB, SMIC, Li Auto, Zhongan Online, Alibaba, CMB, Pop Mart Intl, Tencent, China Mobile.

HK Short Interest Weekly: Ali Health, CCB, Giant Biogene

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 4th.
  • Top short increases and decreases were tabulated for one week and four week period.
  • We highlight short changes in Ali Health, CCB, Giant Biogene.

Thailand Short Interest Weekly (Jul 11th): Central Retail

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Stock Exchange of Thailand as of Jul 11th. We estimate that they had an aggregated short interest worth USD1.9bn.
  • We tabulate league tables 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 Central Retail (CRC TB).

Bursa Short Interest Weekly (Jul 11th): Ytl, Nationgate Holdings Berhad, Ytl Power International

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Bursa stocks as of Jul 11th. The aggregated short interest is USD377m.
  • We tabulate league tables 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 Ytl, Nationgate Holdings Berhad, Ytl Power International, Gamuda, Bumi Armada.

TWSE Short Interest Weekly (Jul 11th): Unimicron Technology, Zhen Ding Technology, Ase Industrial

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jul 11th. The aggregated short interest was USD25.6bn.
  • We tabulate league tables 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 Technology, Zhen Ding Technology, Ase Industrial, Mediatek, Asustek Computer.

KRX Foreign Holding Weekly (Jul 11th): Alteogen, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Jul 11th. The aggregated holding was USD638.1bn.
  • We estimate that foreign flows to be inflows of USD373mln. We tabulates the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Alteogen, Samsung Electronics.

TWSE Foreign Holding Weekly (Jul 11th): TSMC, Mediatek, Hon Hai Precision, Ctbc Financial

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Jul 11th. The aggregated holding was USD1,134.8bn.
  • We estimate that foreign flows to be inflows of USD1,141mln. We tabulate the league tables for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in TSMC, Mediatek, Hon Hai Precision, Ctbc Financial.

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Jul 11
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jul 11th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jul 11th): Tencent, AIA, Wuxi Biologics

Hong Kong Buybacks Weekly (Jul 11th): Tencent, AIA, 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 Jul 11th 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), 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), AIA (1299 HK), Chow Tai Fook Jewellery (1929 HK).

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Jul 10
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Jul 4th): Hanwha Ocean and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Jul 4th): Hanwha Ocean, Hyundai Rotem, Kiwoom, Doosan Enerbility, Cosmax

KRX Short Interest Weekly (Jul 4th): Hanwha Ocean, Hyundai Rotem, Kiwoom, Doosan Enerbility, Cosmax

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Jul 4th. The aggregated short interest was USD9.1bn.
  • We tabulate league tables 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 Hanwha Ocean, Hyundai Rotem, Kiwoom, Doosan Enerbility, Cosmax.

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Jul 09
0

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, Li Auto, Beke, BOC
  • JPX Margin Trading Weekly (Jul 4th): Sanrio, Lasertec, Ntt Data, Ihi, Mitsubishi Heavy Industries
  • Northbound Flows (2Q2025): Catl, Moutai, Midea, Jiangsu Hengrui Medicine

HK Short Interest Weekly: Meituan, Li Auto, Beke, BOC

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jun 27th.
  • Top short increases and decreases were tabulated for one week and four week period.
  • We highlight short changes in Meituan, Li Auto, Beke, BOC.

JPX Margin Trading Weekly (Jul 4th): Sanrio, Lasertec, Ntt Data, Ihi, Mitsubishi Heavy Industries

By Ke Yan, CFA, FRM

  • We analyzed the changes in margin trading positions of JPX stocks as of Jul 4th. The aggregated net margin trading position is USD17,017m.
  • We tabulate league tables for top/bottom net long/short of margin trading by value, net margin buy as multiple of ADT.
  • We highlight net margin buy/sell changes in Sanrio, Lasertec, Ntt Data, Ihi, Mitsubishi Heavy Industries, Softbank, Disco, Kawasaki Heavy Industries, Advantest, Mitsubishi Ufj Financial.

Northbound Flows (2Q2025): Catl, Moutai, Midea, Jiangsu Hengrui Medicine

By Ke Yan, CFA, FRM

  • We analyze the 2Q2025 Shanghai/Shenzhen northbound Connect flows with our data engine as the exchange changed the rule to only disclose north bound position once a quarter.
  • We estimate that the inflows in 2Q2025 were US$6,431 million and holdings were US$320 billion.
  • We highlight flows for Catl, Moutai, Midea, Jiangsu Hengrui Medicine, Wuliangye.

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Jul 08
0

Daily Brief Quantitative Analysis: 🧠🎙️ The New Barbarians: AI Agent Edition and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • 🧠🎙️ The New Barbarians: AI Agent Edition

🧠🎙️ The New Barbarians: AI Agent Edition

By William Mann

  • Systematic beats discretionary: Data-driven, rule-based macro strategies are outperforming traditional “gut feeling” approaches by using econometric models (ARIMA, GARCH, VAR) to identify regime-dependent opportunities and reduce behavioral biases in decision-making.
  • Current opportunity: The Q2 2025 environment (twist steepening yield curve + easing US-China trade tensions) systematically favors cyclicals (energy, materials, industrials) over rate-sensitive (utilities, REITs), creating cross-asset relative value trades.
  • AI-Enhanced evolution: Integrating machine learning with traditional models, alternative data sources (satellite imagery, credit card data) and deep reinforcement learning to capture more complex patterns that human discretionary traders miss.

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Jul 07
0

Daily Brief Quantitative Analysis: HK Connect Flows Weekly (Jul 4th): CCB and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Connect Flows Weekly (Jul 4th): CCB, Innovent Biologics, SMIC, CMB, Giant Biogene, Xiaomi
  • A-H Premium Weekly (Jul 4th): ICBC, Angang Steel, Datang Intl Power Gen, CMB, China Zheshang Bank
  • KRX Foreign Holding Weekly (Jul 4th): Samsung Electronics, SK Hynix, Naver, Hyundai Rotem
  • TWSE Short Interest Weekly (Jul 4th): Hon Hai Precision, Fubon Financial, Yuanta Financial
  • Thailand Short Interest Weekly (Jul 4th): Ptt, PTT E&P, Bangkok Dusit
  • TWSE Foreign Holding Weekly (Jul 4th): TSMC, Mediatek, Ase Industrial, Quanta Computer
  • Bursa Short Interest Weekly (Jul 4th): Gamuda, Dialog, Top Glove, Axiata, Ytl Power International

HK Connect Flows Weekly (Jul 4th): CCB, Innovent Biologics, SMIC, CMB, Giant Biogene, Xiaomi

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of July 4th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for CCB, Innovent Biologics, SMIC, CMB, Giant Biogene, Xiaomi, Tencent, Alibaba, BOC.

A-H Premium Weekly (Jul 4th): ICBC, Angang Steel, Datang Intl Power Gen, CMB, China Zheshang Bank

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 156 stocks over the last week. The average A-H premium was 69.4% as of Jul 4th.
  • The average A-H premium changed by -0.5ppt week-on-week, led by consumer staples, real estate, consumer discretionary and offset by utilities, financials.
  • We highlight weekly changes in A-H premium for ICBC, Angang Steel, Datang Intl Power Gen, CMB, China Zheshang Bank, China Everbright Bank.

KRX Foreign Holding Weekly (Jul 4th): Samsung Electronics, SK Hynix, Naver, Hyundai Rotem

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Jul 4th. The aggregated holding was USD622.6bn.
  • We estimate that foreign flows to be outflows of USD704mln. We tabulates the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Samsung Electronics, SK Hynix, Naver, Hyundai Rotem.

TWSE Short Interest Weekly (Jul 4th): Hon Hai Precision, Fubon Financial, Yuanta Financial

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jul 4th. The aggregated short interest was USD26.4bn.
  • We tabulate league tables 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 Hon Hai Precision, Fubon Financial, Yuanta Financial, Chicony Electronics, Wistron, Yang Ming Marine.

Thailand Short Interest Weekly (Jul 4th): Ptt, PTT E&P, Bangkok Dusit

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Stock Exchange of Thailand as of Jul 4th. We estimate that they had an aggregated short interest worth USD2.0bn.
  • We tabulate league tables 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 Ptt, PTT E&P, Bangkok Dusit.

TWSE Foreign Holding Weekly (Jul 4th): TSMC, Mediatek, Ase Industrial, Quanta Computer

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Jul 4th. The aggregated holding was USD1,128.9bn.
  • We estimate that foreign flows to be inflows of USD2,856mln. We tabulate the league tables for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in TSMC, Mediatek, Ase Industrial, Quanta Computer, Delta Electronics, Fubon Financial, Compal Electronics, Yang Ming Marine, Novatek Microelectronics.

Bursa Short Interest Weekly (Jul 4th): Gamuda, Dialog, Top Glove, Axiata, Ytl Power International

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Bursa stocks as of Jul 4th. The aggregated short interest is USD371m.
  • We tabulate league tables 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 Gamuda, Dialog, Top Glove, Axiata, Ytl Power International.

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Jul 05
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jul 4th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jul 4th): Tencent, AIA, Kingsoft
  • CSI 500 Index Earning Revision (Jun): Henan Shenhuo Coal & Power, Guangxi Liugong Machinery

Hong Kong Buybacks Weekly (Jul 4th): Tencent, AIA, Kingsoft

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jul 4th 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), Kingsoft (3888 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), AIA (1299 HK), Chow Tai Fook Jewellery (1929 HK).

CSI 500 Index Earning Revision (Jun): Henan Shenhuo Coal & Power, Guangxi Liugong Machinery

By Ke Yan, CFA, FRM

  • We analysed the earning revision of component stocks of CSI 500 in the past month.
  • We tabulated stocks with the top impact on index’s EPS, stocks’ EPS revision, and revenue revision.
  • We highlighted EPS revision on Henan Shenhuo Coal & Power, Guangxi Liugong Machinery, Inner Mongolia Dian Tou Energy, Suzhou Dongshan Precision Manufacturing, Shenergy, Maanshan Iron & Steel, Yonghui Superstores.

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Jul 04
0

Daily Brief Quantitative Analysis: HS TECH Index Earning Revision (Jun): BYD and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HS TECH Index Earning Revision (Jun): BYD, Ntes, Kuaishou, Lenovo, Li Auto, Horizonrobot, China Lit
  • ASX Short Interest Weekly (Jun 27th): National Australia Bank, Cochlear, Northern Star Resources
  • STAR50 Index Earning Revision (Jun): Bestechnic, Csi Solar, Biwin Storage Technology

HS TECH Index Earning Revision (Jun): BYD, Ntes, Kuaishou, Lenovo, Li Auto, Horizonrobot, China Lit

By Ke Yan, CFA, FRM

  • We analysed the earning revision of component stocks of HS TECH in the past month.
  • We tabulated stocks with the top impact on index’s EPS, stocks’ EPS revision, and revenue revision.
  • We highlighted EPS revision on BYD, Ntes, Kuaishou, Lenovo, Li Auto, Horizonrobot, China Lit, Asmpt.

ASX Short Interest Weekly (Jun 27th): National Australia Bank, Cochlear, Northern Star Resources

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jun 27th (reported today). The aggregated short interest was USD25.9bn.
  • We tabulate league tables 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 National Australia Bank, Cochlear, Northern Star Resources, Brambles, Westpac.

STAR50 Index Earning Revision (Jun): Bestechnic, Csi Solar, Biwin Storage Technology

By Ke Yan, CFA, FRM

  • We analysed the earning revision of component stocks of STAR50 in the past month.
  • We tabulated stocks with the top impact on index’s EPS, stocks’ EPS revision, and revenue revision.
  • We highlighted EPS revision on Bestechnic (Shanghai), Csi Solar, Biwin Storage Technology, Transsion, Xinjiang Daqo.

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Jul 03
0

Daily Brief Quantitative Analysis: HSCEI Index Earning Revision (Jun): Ntes and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HSCEI Index Earning Revision (Jun): Ntes, Meituan, Bidu, CCB, ICBC, Beigene, Shenzhou Intl
  • CSI 100 Index Earning Revision (Jun): Industrial Bank, Satellite Chemical, Zhejiang Nhu

HSCEI Index Earning Revision (Jun): Ntes, Meituan, Bidu, CCB, ICBC, Beigene, Shenzhou Intl

By Ke Yan, CFA, FRM

  • We analysed the earning revision of component stocks of HSCEI in the past month.
  • We tabulated stocks with the top impact on index’s EPS, stocks’ EPS revision, and revenue revision.
  • We highlighted EPS revision on Ntes, Meituan, Bidu, CCB, ICBC, Beigene, Shenzhou Intl, Zijin Mining.

CSI 100 Index Earning Revision (Jun): Industrial Bank, Satellite Chemical, Zhejiang Nhu

By Ke Yan, CFA, FRM

  • We analysed the earning revision of component stocks of CSI 100 in the past month.
  • We tabulated stocks with the top impact on index’s EPS, stocks’ EPS revision, and revenue revision.
  • We highlighted EPS revision on Industrial Bank, Satellite Chemical, Zhejiang Nhu, Zhongjin Gold, Wus Printed Circuit (Kunshan), Longi Green, Tcl Zhonghuan, Cambricon Technologies.

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