Category

Quantitative Analysis

Jan 04
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Dec 22nd): BHP and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Dec 22nd): BHP, Wisetech Global, Woodside Energy, Telstra, Fortescue

ASX Short Interest Weekly (Dec 22nd): BHP, Wisetech Global, Woodside Energy, Telstra, Fortescue

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Dec 22nd (reported today) which has an aggregated short interest worth USD19.9bn.
  • 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 BHP, Wisetech Global, Woodside Energy, Telstra, Fortescue, Macquarie, Allkem, Santos.

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Jan 03
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: January 2024

Screening for GEMs: January 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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Jan 02
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Dec 29th): China Tourism and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Dec 29th): China Tourism, ZTE, Datang Intl, First Tractor, Hua Hong Semi
  • Hong Kong Connect Flows (Dec 29th): China Mobile, Tencent
  • Northbound Flows (Dec 29th): Longi Green, Wuliangye, Changan Automobile
  • TWSE Foreign Holding Weekly (Dec 29th): Foreign Insti Increased Holdings
  • TWSE Short Interest Weekly (Dec 29th): Short Covering Towards Year End

A-H Premium Weekly (Dec 29th): China Tourism, ZTE, Datang Intl, First Tractor, Hua Hong Semi

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 123.1% as of Dec 29th.
  • The average A-H premium changed by -4.6ppt week on week, led by communication services, health care, consumer discretionary and offset by consumer staples.
  • We highlight weekly changes in A-H premium for China Tourism, ZTE, Datang Intl, First Tractor, Hua Hong Semi.

Hong Kong Connect Flows (Dec 29th): China Mobile, Tencent

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 29th.
  • 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, and Tencent Holdings Limited.

Northbound Flows (Dec 29th): Longi Green, Wuliangye, Changan Automobile

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 29th.
  • We estimate the weekly inflows to be US$2,840.5 million, led by information technology, materials, industrials sectors, and offset by communication services.
  • We highlight flows for Longi Green, Wuliangye, Chongqing Changan Automobile.

TWSE Foreign Holding Weekly (Dec 29th): Foreign Insti Increased Holdings

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Dec 29th which has an aggregated holding worth USD730.2bn.
  • We estimate that foreign flows to be inflows of USD2,532mln. We tabulate the league table for top changes by value for 1W/4W/1Y.
  • We highlight foreign changes in TSMC, Umc, and Asia Vital.

TWSE Short Interest Weekly (Dec 29th): Short Covering Towards Year End

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Dec 29th which has an aggregated short interest worth USD14.1bn.
  • 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 Acer, China Airlines, Chung-Hsin, Quanta Computer, Yang Ming Marine, Wiwynn, Realtek Semi, Umc.

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Dec 29
0

Daily Brief Quantitative Analysis: “Buy the Worst” HSI Strategy: A Tragic 2023 and What About 2024? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • “Buy the Worst” HSI Strategy: A Tragic 2023 and What About 2024?
  • Hong Kong Buybacks Weekly (Dec 22nd): Tencent, AIA, Li Ning

“Buy the Worst” HSI Strategy: A Tragic 2023 and What About 2024?

By Osbert Tang, CFA

Hong Kong Buybacks Weekly (Dec 22nd): Tencent, AIA, Li Ning

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Dec 22nd 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), Li Ning (2331 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), Wuxi Biologics (2269 HK).

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Dec 28
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Dec 22nd): Hanwha Solutions and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Dec 22nd): Hanwha Solutions, Samsung Electron, Hyundai Motor

KRX Short Interest Weekly (Dec 22nd): Hanwha Solutions, Samsung Electron, Hyundai Motor

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Dec 22nd which has an aggregated short interest worth USD9.9bn.
  • 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 Hanwha Solutions, Samsung Electron, Hyundai Motor.

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Dec 25
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Techtronic Ind and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Techtronic Ind, Link Reit, Jd, HSBC, Wuxi Bio, East Buy
  • Hong Kong Connect Flows (Dec 22nd): CNOOC, Tencent
  • A-H Premium Weekly (Dec 22nd): China Tourism, Ping An Insurance, China Southern, BYD
  • Northbound Flows (Dec 22nd): CATL, Chongqing Changan Automobile, CMB, Zhongji Innolight
  • TWSE Foreign Holding Weekly (Dec 22nd): TSMC, Yang Ming Marine, Quanta Computer, Bora Pharma, Wiwynn

HK Short Interest Weekly: Techtronic Ind, Link Reit, Jd, HSBC, Wuxi Bio, East Buy

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Dec 15th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Techtronic Ind, Link Reit, Jd, HSBC, Wuxi Bio, East Buy.

Hong Kong Connect Flows (Dec 22nd): CNOOC, Tencent

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 22nd.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We have highlighted Hong Kong Conncect flows for CNOOC and Tencent.

A-H Premium Weekly (Dec 22nd): China Tourism, Ping An Insurance, China Southern, BYD

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 Dec 22nd.
  • The average A-H premium changed by -0.9ppt week on week, led by communication services, real estate, utilities and offset by health care, consumer discretionary.
  • We highlight weekly changes in A-H premium for China Tourism, Ping An Insurance, China Southern, BYD, Fuyao Glass Industry.

Northbound Flows (Dec 22nd): CATL, Chongqing Changan Automobile, CMB, Zhongji Innolight

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 22nd.
  • We estimate the weekly outflows to be US$281.8 million, led by information technology, financials, and offset by industrials, materials, consumer discretionary.
  • We highlight flows for CATL, Chongqing Changan Automobile, CMB, Zhongji Innolight.

TWSE Foreign Holding Weekly (Dec 22nd): TSMC, Yang Ming Marine, Quanta Computer, Bora Pharma, Wiwynn

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Dec 22nd which has an aggregated holding worth USD701.2bn.
  • We tabulate league table for top changes by value for 1 week, one 4 weeks, 1 year and top stocks held by foreign instutions by dollar value.
  • We estimate that foreign flows to be inflows of USD679mln and highlight foreign changes in TSMC, Yang Ming Marine, Quanta Computer, Bora Pharma, Wiwynn, Cheng Shin, Novatek, Walsin Lihwa, Umc.

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Dec 24
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Dec 22nd): Inventec and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Dec 22nd): Inventec, Walsin Lihwa, Getac Holdings, Hon Hai, Wistron

TWSE Short Interest Weekly (Dec 22nd): Inventec, Walsin Lihwa, Getac Holdings, Hon Hai, Wistron

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Dec 22nd which has an aggregated short interest worth USD14.6bn.
  • 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 Inventec, Walsin Lihwa, Getac Holdings, Hon Hai, Wistron, Quanta Computer, Wiwynn, Acer, TSMC.

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Dec 23
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Dec 22nd): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Dec 22nd): Tencent, Aia, Li Ning

Hong Kong Buybacks Weekly (Dec 22nd): Tencent, Aia, Li Ning

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Dec 22nd 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), Li Ning (2331 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), Wuxi Biologics (2269 HK).

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Dec 22
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Dec 15th): BHP and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Dec 15th): BHP, Rio Tinto, Macquarie, Wisetech Global, Fortescue, Westpac

ASX Short Interest Weekly (Dec 15th): BHP, Rio Tinto, Macquarie, Wisetech Global, Fortescue, Westpac

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Dec 15th (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 BHP, Rio Tinto, Macquarie, Wisetech Global, Fortescue, Westpac, ANZ, Qantas Airways.

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Dec 21
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Dec 15th): HLB and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Dec 15th): HLB, Lg Electronics, Samsung C&T, Samsung Electron

KRX Short Interest Weekly (Dec 15th): HLB, Lg Electronics, Samsung C&T, Samsung Electron

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Dec 15th which has an aggregated short interest worth USD10.4bn.
  • 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 Hlb, Lg Electronics, Samsung C&T, Samsung Electron, Posco Holdings I, Sk Hynix.

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