Category

Quantitative Analysis

May 16
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (May 9th): Santos and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (May 9th): Santos, Origin Energy, Jb Hi-Fi, Northern Star Resources

ASX Short Interest Weekly (May 9th): Santos, Origin Energy, Jb Hi-Fi, Northern Star Resources

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of May 9th (reported today) which has an aggregated short interest worth USD25.7bn.
  • 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 Santos, Origin Energy, Jb Hi-Fi, Northern Star Resources, Transurban, Asx.

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May 15
0

Daily Brief Quantitative Analysis: Advanced Look: Navigating the New Macro Landscape Through Quantitative Alpha Generation Strategies and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Advanced Look: Navigating the New Macro Landscape Through Quantitative Alpha Generation Strategies

Advanced Look: Navigating the New Macro Landscape Through Quantitative Alpha Generation Strategies

By William Mann

  • Novel Twist Steepening Analysis: Empirically validated sector rotation opportunities in the current yield curve environment with rising long-term rates and falling short-term rates.
  • Integrated Machine Learning Framework: Advanced ML techniques identify non-linear macro-asset relationships traditional models miss, enhancing strategy robustness during regime transitions.
  • Actionable Cross-Asset Implementation: Detailed portfolio methodologies integrating findings across asset classes with specific trade recommendations for Q2 2025.

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May 14
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Baba, CCB, Jd
  • KRX Short Interest Weekly (May 9th): SK Hynix, Kakao, Samsung Electronics, Hybe, Hanwha Ind Sol

HK Short Interest Weekly: Baba, CCB, Jd

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of May 2nd.
  • Top short increases and decreases were tabulated for one week and four week period.
  • We highlight short changes in Baba (9988 HK), CCB (939 HK), Jd (9618 HK).

KRX Short Interest Weekly (May 9th): SK Hynix, Kakao, Samsung Electronics, Hybe, Hanwha Ind Sol

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of May 9th 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 SK Hynix, Kakao, Samsung Electronics, Hybe, Hanwha Ind Sol, Lig Nex1.

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May 12
0

Daily Brief Quantitative Analysis: KRX Foreign Holding Weekly (May 9th): SK Hynix and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Foreign Holding Weekly (May 9th): SK Hynix, Hanwha Aerospace, Samsung Electronics
  • Thailand Short Interest Weekly (May 9th): Airports Of Thailand, Advanced Info Service
  • TWSE Short Interest Weekly (May 9th): TSMC, Mediatek, Hon Hai Precision, Asia Vital Components
  • A-H Premium Weekly (May 9th): Datang Intl Power Gen, Beigene, CSSC O&M Engineering
  • Bursa Short Interest Weekly (May 9th): Tenaga Nasional, JYC Intl, Axiata, Sunway, Rhb Bank
  • TWSE Foreign Holding Weekly (May 9th): Reversal to Inflows, Led by TSMC

KRX Foreign Holding Weekly (May 9th): SK Hynix, Hanwha Aerospace, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of May 9th which has an aggregated holding worth USD502.5bn.
  • We estimate that foreign flows to be inflows of USD502mln. We tabulate 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 SK Hynix, Hanwha Aerospace, Samsung Electronics.

Thailand Short Interest Weekly (May 9th): Airports Of Thailand, Advanced Info Service

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Stock Exchange of Thailand as of May 9th. We estimate that they had an aggregated short interest worth USD2.1bn.
  • 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 Airports Of Thailand, Advanced Info Service, Gulf Energy Development, Central Retail, Srisawad, Tmbthanachart Bank.

TWSE Short Interest Weekly (May 9th): TSMC, Mediatek, Hon Hai Precision, Asia Vital Components

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of May 9th which has an aggregated short interest worth USD22.0bn.
  • 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 TSMC, Mediatek, Hon Hai Precision, Asia Vital Components, Chailease, Compal Electronics.

A-H Premium Weekly (May 9th): Datang Intl Power Gen, Beigene, CSSC O&M Engineering

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 149 stocks over the last week. The average A-H premium was 84.2% as of May 9th.
  • The average A-H premium changed by -2.3ppt week-on-week, led by consumer staples, energy, consumer discretionary and offset by health care.
  • We highlight weekly changes in A-H premium for Datang Intl Power Gen, Beigene, CSSC O&M Engineering, Xinhua Winshare Publishing And Media.

Bursa Short Interest Weekly (May 9th): Tenaga Nasional, JYC Intl, Axiata, Sunway, Rhb Bank

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Bursa stocks as of May 9th which has an aggregated short interest worth USD330m.
  • 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 Tenaga Nasional, JYC Intl, Axiata, Sunway, Rhb Bank.

TWSE Foreign Holding Weekly (May 9th): Reversal to Inflows, Led by TSMC

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of May 9th which has an aggregated holding worth USD969.9bn.
  • We estimate that foreign flows to be inflows of USD4,132mln. We tabulate 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 TSMC, SCSB, Asustek Computer, Ctbc Financial, Quanta Computer, Fubon Financial.

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May 11
0

Daily Brief Quantitative Analysis: HK Connect Flows Weekly (May 9th): Meituan and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Connect Flows Weekly (May 9th): Meituan, CCB, Alibaba, Beigene, Tencent, Xiaomi, SMIC

HK Connect Flows Weekly (May 9th): Meituan, CCB, Alibaba, Beigene, Tencent, Xiaomi, SMIC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of May 9th.
  • 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, Alibaba, Beigene, Tencent, Xiaomi, SMIC, CSPC Pharma.

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May 10
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (May 9th): AIA and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (May 9th): AIA, China Hongqiao, Cosco Shipping

Hong Kong Buybacks Weekly (May 9th): AIA, China Hongqiao, Cosco Shipping

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 9th 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), China Hongqiao (1378 HK), Cosco Shipping (1919 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 Hongqiao (1378 HK).

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May 09
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: BYD, Meituan, Jd, Kingsoft, China Mobile, CNOOC
  • ASX Short Interest Weekly (May 2nd): Westpac, Nextdc, Goodman, Asx, South32

HK Short Interest Weekly: BYD, Meituan, Jd, Kingsoft, China Mobile, CNOOC

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Apr 25th.
  • Top short increases and decreases were tabulated for one week and four week period.
  • We highlight short changes in BYD, Meituan, Jd, Kingsoft, China Mobile, CNOOC.

ASX Short Interest Weekly (May 2nd): Westpac, Nextdc, Goodman, Asx, South32

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of May 2nd (reported today) which has an aggregated short interest worth USD26.3bn.
  • 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 Westpac, Nextdc, Goodman, Asx, South32.

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May 07
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (May 2nd): Daewoo Shipbuilding and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (May 2nd): Daewoo Shipbuilding, Hyundai Heavy Industries, Isupetasys

KRX Short Interest Weekly (May 2nd): Daewoo Shipbuilding, Hyundai Heavy Industries, Isupetasys

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of May 2nd which has an aggregated short interest worth USD5.9bn.
  • 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 Daewoo Shipbuilding, Hyundai Heavy Industries, Isupetasys.

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May 05
0

Daily Brief Quantitative Analysis: TWSE Foreign Holding Weekly (May 2nd): TSMC and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Foreign Holding Weekly (May 2nd): TSMC, Quanta Computer, Hon Hai Precision, Ctbc Financial
  • TWSE Short Interest Weekly (May 2nd): Winbond Electronics, China Motor, Ap Memory Technology
  • Bursa Short Interest Weekly (May 2nd): Ctos Digital, Eco World Develop, Berjaya, Drb – Hicom, Ytl
  • KRX Foreign Holding Weekly (May 2nd): Daewoo Shipbuilding, Kakao, Samsung Electronics
  • Thailand Short Interest Weekly (May 2nd): Delta Electronics, Scc, Krung Thai Bank

TWSE Foreign Holding Weekly (May 2nd): TSMC, Quanta Computer, Hon Hai Precision, Ctbc Financial

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of May 2nd which has an aggregated holding worth USD944.4bn.
  • We estimate that foreign flows to be inflows of USD1,396mln. We tabulate 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 TSMC, Quanta Computer, Hon Hai Precision, Ctbc Financial, Mediatek.

TWSE Short Interest Weekly (May 2nd): Winbond Electronics, China Motor, Ap Memory Technology

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of May 2nd which has an aggregated short interest worth USD21.3bn.
  • 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 Winbond Electronics, China Motor, Ap Memory Technology.

Bursa Short Interest Weekly (May 2nd): Ctos Digital, Eco World Develop, Berjaya, Drb – Hicom, Ytl

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Bursa stocks as of May 2nd which has an aggregated short interest worth USD0.3bn.
  • 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 Ctos Digital, Eco World Develop, Berjaya, Drb – Hicom, Ytl.

KRX Foreign Holding Weekly (May 2nd): Daewoo Shipbuilding, Kakao, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of May 2nd which has an aggregated holding worth USD497.4bn.
  • We estimate that foreign flows to be inflows of USD580mln. We tabulate 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 Daewoo Shipbuilding, Kakao, Samsung Electronics, Hanwha Aerospace.

Thailand Short Interest Weekly (May 2nd): Delta Electronics, Scc, Krung Thai Bank

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Stock Exchange of Thailand as of May 2nd. We estimate that they had an aggregated short interest worth USD1.9bn.
  • 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 Delta Electronics, Scc, Krung Thai Bank, Gulf Energy Development, Tisco Financial, True, Cp Foods, Central Retail.

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May 04
0

Daily Brief Quantitative Analysis: HK Connect Flows Weekly (May 2nd): Meituan and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Connect Flows Weekly (May 2nd): Meituan, Tencent, Ping An Insurance, BYD, SMIC, China Mobile

HK Connect Flows Weekly (May 2nd): Meituan, Tencent, Ping An Insurance, BYD, SMIC, China Mobile

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of May 2nd.
  • 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, Tencent, Ping An Insurance, BYD, SMIC, China Mobile.

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