Category

Quantitative Analysis

Jul 24
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Jul 19th): Doosan Enerbility and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Jul 19th): Doosan Enerbility

KRX Short Interest Weekly (Jul 19th): Doosan Enerbility

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Jul 19th which has an aggregated short interest worth USD5.8bn.
  • 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 Doosan Enerbility (034020 KS).

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Jul 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, Nongfu Spring, China Shenhua, Petrochina, New Oriental
  • A-H Premium Weekly (Jul 19th):Wuxi Apptec, Air China, China Longyuan, Smic, Yofc, Flat Glass
  • Hong Kong Connect Flows (Jul 19th): ICBC, China Hongqiao
  • Northbound Flows (Jul 19th): Midea, Zhongji Innolight, Mindray
  • TWSE Short Interest Weekly (Jul 19th): Kinpo Elec, L&K Engineering, Asia Cement, Unimicron Tech
  • TWSE Foreign Holding Weekly (Jul 19th): Wiwynn, TSMC, Quanta Computer, Mediatek, Gigabyte Tech
  • KRX Foreign Holding Weekly (Jul 19th): Samsung Heavy In, Samsung Electronics, Doosan Bobcat

HK Short Interest Weekly: Tencent, Nongfu Spring, China Shenhua, Petrochina, New Oriental

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 12th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Tencent, Nongfu Spring, China Shenhua, Petrochina, New Oriental.

A-H Premium Weekly (Jul 19th):Wuxi Apptec, Air China, China Longyuan, Smic, Yofc, Flat Glass

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 107.8% as of Jul 19th.
  • The average A-H premium changed by 2.0ppt week-on-week, led by communication services, energy, utilities and offset by consumer staples, information technology, real estate.
  • We highlight weekly changes in A-H premium for Wuapptec, Air China, China Longyuan, Smic, Yofc, Flat Glass, Ganfeng Lithium.

Hong Kong Connect Flows (Jul 19th): ICBC, China Hongqiao

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of July 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 ICBC (1398 HK), China Hongqiao (1378 HK).

Northbound Flows (Jul 19th): Midea, Zhongji Innolight, Mindray

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 19th.
  • We estimate the weekly outflows to be US$2,388.5 million, led by consumer discretionary, industrials, financials.
  • We highlight flows for Midea (000333 CH), Zhongji Innolight (300308 CH), Mindray (300760 CH).

TWSE Short Interest Weekly (Jul 19th): Kinpo Elec, L&K Engineering, Asia Cement, Unimicron Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jul 19th which has an aggregated short interest worth USD21.0bn.
  • 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 Kinpo Elec, L&K Engineering, Asia Cement, Yageo, Unimicron Tech, Ctbc Financial, Auo.

TWSE Foreign Holding Weekly (Jul 19th): Wiwynn, TSMC, Quanta Computer, Mediatek, Gigabyte Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Jul 19th which has an aggregated holding worth USD965.9bn.
  • We estimate that foreign flows to be outflows of USD3,489mln. 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 Wiwynn, TSMC, Quanta Computer, Mediatek, Gigabyte Tech.

KRX Foreign Holding Weekly (Jul 19th): Samsung Heavy In, Samsung Electronics, Doosan Bobcat

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Jul 19th which has an aggregated holding worth USD563.2bn.
  • We estimate that foreign flows to be outflows of USD350mln. 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 Heavy In, Sk Hynix, Samsung Electronics, Doosan Bobcat.

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Jul 20
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jul 19th): Meituan, Tencent, Hsbc

Hong Kong Buybacks Weekly (Jul 19th): Meituan, Tencent, Hsbc

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 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), HSBC (5 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).

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Jul 19
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jul 12th): Wesfarmers and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jul 12th): Wesfarmers, Mineral Resource, Macquarie, South32, Car

ASX Short Interest Weekly (Jul 12th): Wesfarmers, Mineral Resource, Macquarie, South32, Car

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jul 12th (reported today) which has an aggregated short interest worth USD20.9bn.
  • 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 Wesfarmers, Mineral Resource, Macquarie, South32, Car.

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Jul 17
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Jul 12th): Samsung Electronics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Jul 12th): Samsung Electronics, Posco

KRX Short Interest Weekly (Jul 12th): Samsung Electronics, Posco

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Jul 12th which has an aggregated short interest worth USD6.1bn.
  • 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 Samsung Electronics (005930 KS) , Posco (005490 KS) .

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Jul 15
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Petrochina, Bosideng, Anta Sports
  • KRX Foreign Holding Weekly (Jul 12th): Samsung Electronics
  • A-H Premium Weekly (Jul 12th):Wuapptec, China Telecom, Remegen, Hua Hong Semi, Flat Glass
  • Northbound Flows (Jul 12th): Moutai, Yangtze Power, Ping An Insurance, Cosco Shipping, CNNP
  • TWSE Foreign Holding Weekly (Jul 12th): Umc, Alchip Tech, Quanta Computer, Chung-Hsin, TSMC
  • Hong Kong Connect Flows (Jul 12th): ICBC
  • TWSE Short Interest Weekly (Jul 12th): Acer, Hon Hai, Evergreen Marine, Mediatek, Silicon Integrat

HK Short Interest Weekly: Petrochina, Bosideng, Anta Sports

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 5th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Petrochina (857 HK), Bosideng (3998 HK), Anta Sports (2020 HK).

KRX Foreign Holding Weekly (Jul 12th): Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Jul 12th which has an aggregated holding worth USD572.7bn.
  • We estimate that foreign flows to be inflows of USD2,198mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We estimate the inflows decreased by 1.0% WoW and highlight foreign changes in Samsung Electronics (005930 KS).

A-H Premium Weekly (Jul 12th):Wuapptec, China Telecom, Remegen, Hua Hong Semi, Flat Glass

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 105.7% as of Jul 12th.
  • The average A-H premium changed by -2.5ppt week-on-week, led by consumer staples, energy, consumer discretionary and offset by real estate, utilities, information technology.
  • We highlight weekly changes in A-H premium for Wuapptec, China Telecom, Remegen, Hua Hong Semi, Flat Glass .

Northbound Flows (Jul 12th): Moutai, Yangtze Power, Ping An Insurance, Cosco Shipping, CNNP

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 12th.
  • We estimate the weekly inflows to be US$2,168.8 million, led by financials, information technology, utilities sectors, and offset by health care, communication services, energy.
  • We highlight flows for Moutai, Yangtze Power, Ping An Insurance, Cosco Shipping, CNNP.

TWSE Foreign Holding Weekly (Jul 12th): Umc, Alchip Tech, Quanta Computer, Chung-Hsin, TSMC

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Jul 12th which has an aggregated holding worth USD1,035.6bn.
  • We estimate that foreign flows to be outflows of USD1,431mln. 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 Umc, Alchip Tech, Quanta Computer, Chung-Hsin, Cathay Financial, TSMC, Hon Hai, Ctbc Financial, ASE.

Hong Kong Connect Flows (Jul 12th): ICBC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of July 12th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We estimate the inflows to be USD 580m and highlight flows for ICBC (1398 HK).

TWSE Short Interest Weekly (Jul 12th): Acer, Hon Hai, Evergreen Marine, Mediatek, Silicon Integrat

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jul 12th 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 Acer, Hon Hai, Evergreen Marine, Mediatek, Silicon Integrat, Yang Ming Marine.

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Jul 12
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jul 5th): New Hope and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jul 5th): New Hope, Macquarie, Guzman Y Gomez
  • Hong Kong Buybacks Weekly (Jul 12th): Tencent, Meituan, Aia

ASX Short Interest Weekly (Jul 5th): New Hope, Macquarie, Guzman Y Gomez

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jul 5th (reported today) which has an aggregated short interest worth USD20.1bn.
  • 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 New Hope, Macquarie, Guzman Y Gomez.

Hong Kong Buybacks Weekly (Jul 12th): Tencent, Meituan, Aia

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 12th 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), Meituan (3690 HK), AIA (1299 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).

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Jul 11
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Ping An and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Ping An, Brilliance, Meituan, AIA

HK Short Interest Weekly: Ping An, Brilliance, Meituan, AIA

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jun 28th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Ping An, Brilliance China, Meituan, AIA.

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Jul 10
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Jul 5th): Hlb and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Jul 5th): Hlb, Posco

KRX Short Interest Weekly (Jul 5th): Hlb, Posco

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Jul 5th which has an aggregated short interest worth USD6.1bn.
  • 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 Hlb (028300 KS), Posco (005490 KS).

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Jul 08
0

Daily Brief Quantitative Analysis: A/H Premium Tracker (To 5 Jul 2024):  Spread Curve Torsion Still Strong and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A/H Premium Tracker (To 5 Jul 2024):  Spread Curve Torsion Still Strong
  • A-H Premium Weekly (Jul 5th): China Tourism, Ganfeng Lithium, China East Air, Petrochina
  • Hong Kong Connect Flows (Jul 5th): CCB, China Mobile, ICBC, CMB, Petrochina, Tencent
  • KRX Foreign Holding Weekly (Jul 5th): Samsung Electronics, Sk Hynix
  • Northbound Flows (Jul 5th): 4 Weeks of Outflows
  • TWSE Foreign Holding Weekly (Jul 5th): TSMC, Zhen Ding Tech, Realtek Semi, Cathay Financial
  • TWSE Short Interest Weekly (Jul 5th): Taiwan Mobile, Lite-On Tech, Far Eastone Tele, L&K Engineering

A/H Premium Tracker (To 5 Jul 2024):  Spread Curve Torsion Still Strong

By Travis Lundy

  • The New/Better A-H Premium Tracker has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.
  • SOUTHBOUND inflow continues, albeit smaller. SOE Banks/Energy remain a big net buy. SOUTHBOUND Net buying as a percent of volume on SOE Banks and Energy is HUGE.
  • Wide spreads (high AH premium) saw H outperform, but narrow spreads saw Hs underperform significantly. Again.

A-H Premium Weekly (Jul 5th): China Tourism, Ganfeng Lithium, China East Air, Petrochina

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 104.4% as of Jul 5th.
  • The average A-H premium changed by -1.2ppt week-on-week, led by consumer staples, information technology, health care and offset by communication services, real estate.
  • We highlight weekly changes in A-H premium for China Tourism, Ganfeng Lithium, China East Air, Petrochina.

Hong Kong Connect Flows (Jul 5th): CCB, China Mobile, ICBC, CMB, Petrochina, Tencent

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of July 5th.
  • 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, China Mobile, ICBC, CMB, Petrochina, Tencent.

KRX Foreign Holding Weekly (Jul 5th): Samsung Electronics, Sk Hynix

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of Jul 5th which has an aggregated holding worth USD576.9bn.
  • We estimate that foreign flows to be inflows of USD409mln. 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(005930 KS) , Sk Hynix(000660 KS) .

Northbound Flows (Jul 5th): 4 Weeks of Outflows

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 5th.
  • We estimate the weekly outflows to be US$1,769.7 million, led by information technology, materials, industrials, and offset by communication services, real estate, utilities.
  • We note that outflows have been consecutive for four weeks and highlight outflows for CATL (300750 CH).

TWSE Foreign Holding Weekly (Jul 5th): TSMC, Zhen Ding Tech, Realtek Semi, Cathay Financial

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Jul 5th which has an aggregated holding worth USD1,012.0bn.
  • We estimate that foreign flows to be inflows of USD531mln. 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, Zhen Ding Tech, Realtek Semi, Cathay Financial, Compeq Mfg, Far Eastone Tele, Taiwan Mobile, Lite-On Tech, Asia Vital, Novatek.

TWSE Short Interest Weekly (Jul 5th): Taiwan Mobile, Lite-On Tech, Far Eastone Tele, L&K Engineering

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jul 5th which has an aggregated short interest worth USD22.2bn.
  • 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 Taiwan Mobile, Lite-On Tech, Far Eastone Tele, L&K Engineering, Evergreen Marine, ASE, Hon Hai, Asia Vital.

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