Category

Quantitative Analysis

Apr 05
0

Daily Brief Quantitative Analysis: Northbound Flows (Mar): $3.7bn of Inflows and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows (Mar): $3.7bn of Inflows
  • Hong Kong Connect Flows (Mar): 12 Month High of $9.8bn Inflows
  • ASX Short Interest Weekly (Mar 29th): Brambles, Bellevue Gold, Domino’s Pizza

Northbound Flows (Mar): $3.7bn of Inflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Industrials, Consumer Staples, Financials led the inflows while Health Care led the outflows.
  • We highlight flows for CATL, Wuliangye, Midea, Zijin Mining, Will Semi, Wuxi Apptec, Foxconn, Mindray.

Hong Kong Connect Flows (Mar): 12 Month High of $9.8bn 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 inflows for Bank of China, Tencent, China Mobile, CNOOC, ZTO, Anta.

ASX Short Interest Weekly (Mar 29th): Brambles, Bellevue Gold, Domino’s Pizza

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 29th (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 Brambles, Bellevue Gold, Domino’s Pizza.

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Apr 04
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Mar 29th): Posco and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Mar 29th): Posco

KRX Short Interest Weekly (Mar 29th): Posco

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Mar 29th which has an aggregated short interest worth USD7.4bn.
  • 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 estimate short interest decreased by 2.5% WoW and highlight short interest changes in Posco.

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Apr 03
0

Daily Brief Quantitative Analysis: Screening for GEMs: April 2024 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: April 2024

Screening for GEMs: April 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.

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Apr 01
0

Daily Brief Quantitative Analysis: Australia Short Interest (Q1 2024): A Recap and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Australia Short Interest (Q1 2024): A Recap
  • TWSE Short Interest Weekly (Mar 29th): Evergreen Marine, United Integrate, Chicony Elec, Unimicron
  • KRX Foreign Holding Weekly (Mar 29th): Samsung Electronics, Sk Hynix, Lg Display, Ecopro, Hanmi
  • Hong Kong Connect Flows (Mar 28th): Tencent, Bank Of China, China Mobile, Xiaomi, CNOOC
  • A-H Premium Weekly (Mar 29th): Baiyunshan, Jiangxi Copper, ZTE, Tigermed, Cansino Biologics
  • Northbound Flows (Mar 28th): Wuliangye, CMB
  • TWSE Foreign Holding Weekly (Mar 29th): Hon Hai, Wistron, Wiwynn, Alchip Tech, Realtek Semi, Lite-On

Australia Short Interest (Q1 2024): A Recap

By Brian Freitas

TWSE Short Interest Weekly (Mar 29th): Evergreen Marine, United Integrate, Chicony Elec, Unimicron

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 29th which has an aggregated short interest worth USD76.9bn.
  • 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, United Integrate, Chicony Elec, Unimicron Tech, Hon Hai, Global Unichip, Asia Vital.

KRX Foreign Holding Weekly (Mar 29th): Samsung Electronics, Sk Hynix, Lg Display, Ecopro, Hanmi

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of Mar 29th which has an aggregated holding worth USD550.4bn.
  • We estimate that foreign flows to be inflows of USD2,332mln. 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, Lg Display, Ecopro, Hanmi Semicon.

Hong Kong Connect Flows (Mar 28th): Tencent, Bank Of China, China Mobile, Xiaomi, CNOOC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 28th.
  • 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, Bank Of China, China Mobile, Xiaomi, CNOOC.

A-H Premium Weekly (Mar 29th): Baiyunshan, Jiangxi Copper, ZTE, Tigermed, Cansino Biologics

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 127.6% as of Mar 29th.
  • The average A-H premium changed by 3.0ppt week-on-week, led by consumer staples, energy, materials and offset by real estate, information technology, health care.
  • We highlight weekly changes in A-H premium for Baiyunshan, Jiangxi Copper, ZTE, Tigermed, Cansino Biologics.

Northbound Flows (Mar 28th): Wuliangye, 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 28th.
  • We estimate the weekly inflows to be US$835.0 million, led by financials, consumer staples, information technology sectors, and offset by health care, communication services, materials.
  • We highlight flows for stocks including Wuliangye, China Merchants Bank.

TWSE Foreign Holding Weekly (Mar 29th): Hon Hai, Wistron, Wiwynn, Alchip Tech, Realtek Semi, Lite-On

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Mar 29th which has an aggregated holding worth USD3,994.1bn.
  • We estimate that foreign flows to be outflows of USD5,801mln. 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 Hon Hai, Wistron, Wiwynn, Alchip Tech, Realtek Semi, Lite-On Tech, Mediatek, Umc, Chicony Elec, Inventec.

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Mar 30
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 29th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 29th): Tencent, Aia, CK Asset
  • ASX Short Interest Weekly (Mar 22nd): Rio Tinto, Webjet, Xero, CSL, Westpac, Macquarie

Hong Kong Buybacks Weekly (Mar 29th): Tencent, Aia, 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 Mar 29th 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), 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), Dongyue (189 HK), AIA (1299 HK).

ASX Short Interest Weekly (Mar 22nd): Rio Tinto, Webjet, Xero, CSL, Westpac, Macquarie

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 22nd (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 Rio Tinto, Webjet, Xero, CSL, Westpac, Macquarie, Flight Centre.

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Mar 28
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Mar 22nd): Samsung SDI and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Mar 22nd): Samsung SDI, Rainbow Robotics, Jyp Entertainment

KRX Short Interest Weekly (Mar 22nd): Samsung SDI, Rainbow Robotics, Jyp Entertainment

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Mar 22nd which has an aggregated short interest worth USD7.6bn.
  • 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 Samsung SDI, Rainbow Robotics, Jyp Entertainment.

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Mar 25
0

Daily Brief Quantitative Analysis: KRX Foreign Holding Weekly (Mar 22nd): Samsung Electronics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Foreign Holding Weekly (Mar 22nd): Samsung Electronics, Hyundai Motor, Sk Hynix, Kia, Posco
  • TWSE Foreign Holding Weekly (Mar 22nd): TSMC, Unimicron Tech, Delta Elec, Quanta Computer, Hon Hai

KRX Foreign Holding Weekly (Mar 22nd): Samsung Electronics, Hyundai Motor, Sk Hynix, Kia, Posco

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of Mar 22nd which has an aggregated holding worth USD546.4bn.
  • We estimate that foreign flows to be inflows of USD1,746mln. 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, Hyundai Motor, Sk Hynix, Kia, Posco, Naver.

TWSE Foreign Holding Weekly (Mar 22nd): TSMC, Unimicron Tech, Delta Elec, Quanta Computer, Hon Hai

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Mar 22nd which has an aggregated holding worth USD4,011.4bn.
  • We estimate that foreign flows to be outflows of USD4,790mln. 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 TSMC, Unimicron Tech, Delta Elec, Quanta Computer, Hon Hai, Evergreen Marine, Mediatek, Gigabyte Tech, Pegatron, Getac Holdings.

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Mar 24
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Mar 22nd): ZTE and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Mar 22nd): ZTE, CRCC Times Electric, Air China, Longyuan, Shanghai Fudan
  • HK Short Interest Weekly: Techtronic Ind, Zijin Mining, Innovent Bio, Kuaishou, Pacific Basin
  • Hong Kong Connect Flows (Mar 22nd): Bank Of China, China Mobile, Xiaomi, Zto Express, Tencent
  • Northbound Flows (Mar 22nd): CATL, Wuliangye, Midea, Wuxi Apptec, Moutai, Thunder Software
  • TWSE Short Interest Weekly (Mar 22nd): Evergreen Marine, Getac Holdings, Lite-On Tech, Nanya Tech

A-H Premium Weekly (Mar 22nd): ZTE, CRCC Times Electric, Air China, Longyuan, Shanghai Fudan

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 124.6% as of Mar 22nd.
  • The average A-H premium changed by 1.4ppt week-on-week, led by consumer staples, information technology, utilities and offset by financials, health care.
  • We highlight weekly changes in A-H premium for ZTE, CRCC Times Electric, Air China, Longyuan, Shanghai Fudan, Hua Hong Semi.

HK Short Interest Weekly: Techtronic Ind, Zijin Mining, Innovent Bio, Kuaishou, Pacific Basin

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 15th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Techtronic Ind, Zijin Mining, Innovent Bio, Kuaishou, Pacific Basin, Citic Sec, Link Reit, CKI.

Hong Kong Connect Flows (Mar 22nd): Bank Of China, China Mobile, Xiaomi, Zto Express, Tencent

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 22nd.
  • 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, China Mobile, Xiaomi, Zto Express, Tencent, Meituan.

Northbound Flows (Mar 22nd): CATL, Wuliangye, Midea, Wuxi Apptec, Moutai, Thunder Software

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 22nd.
  • We estimate the weekly outflows to be US$934.0 million, led by health care, materials, information technology, and offset by communication services, industrials, consumer staples.
  • We highlight flows for CATL, Wuliangye, Midea, Wuxi Apptec, Moutai, Thunder Software Technology.

TWSE Short Interest Weekly (Mar 22nd): Evergreen Marine, Getac Holdings, Lite-On Tech, Nanya Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 22nd which has an aggregated short interest worth USD73.8bn.
  • 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, Getac Holdings, Lite-On Tech, Nanya Tech, Alchip Tech, TSMC, Chung-Hsin.

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Mar 23
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 22nd): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 22nd): Aia, Swire Pacific, Kuaishou Technology
  • ASX Short Interest Weekly (Mar 15th): CSL, Paladin Energy, Macquarie, Emerald Resource

Hong Kong Buybacks Weekly (Mar 22nd): Aia, Swire Pacific, Kuaishou Technology

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 22nd 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), Kuaishou Technology (1024 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Dongyue (189 HK), AIA (1299 HK), Kuaishou Technology (1024 HK).

ASX Short Interest Weekly (Mar 15th): CSL, Paladin Energy, Macquarie, Emerald Resource

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 15th (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 CSL, Paladin Energy, Macquarie, Emerald Resource, IDP Education, BHP, ANZ, Wisetech Global.

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Mar 21
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Mar 15th): Sk Hynix and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Mar 15th): Sk Hynix, Posco Dx, Kum Yang, Samsung Biologic, Samsung SDI

KRX Short Interest Weekly (Mar 15th): Sk Hynix, Posco Dx, Kum Yang, Samsung Biologic, Samsung SDI

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Mar 15th which has an aggregated short interest worth USD7.5bn.
  • 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 highlight short interest changes in Sk Hynix, Posco Dx, Kum Yang, Samsung Biologic, Samsung SDI, Kia, Hyundai Motor.

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