Category

Quantitative Analysis

Nov 04
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Nov 3rd): AIA and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Nov 3rd): AIA, China Petroleum & Chemical, Li Ning
  • Naspers & Prosus: Discounts Narrow This Week, the Great Rotation from Prosus to Naspers Playing Out?

Hong Kong Buybacks Weekly (Nov 3rd): AIA, China Petroleum & Chemical, 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 Nov 3rd 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), Sinopec (386 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), HSBC (5 HK).

Naspers & Prosus: Discounts Narrow This Week, the Great Rotation from Prosus to Naspers Playing Out?

By Charlotte van Tiddens, CFA

  • The performance of Naspers (NPN SJ) and Prosus NV (PRX SJ) during this week is worth flagging – both counters have outperformed the underlying portfolio, narrowing both discounts notably.
  • Naspers’ discount to Prosus’ market value continues to push new lows, closing at 9.9% yesterday.
  • For the week up to the close yesterday, Naspers is up 4.1%, Prosus is up 2.3% and Tencent is down 1.4% in HKD (down 3.7% in ZAR). 

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Nov 03
0

Daily Brief Quantitative Analysis: Influence of Monthly Time Patterns on Seasonal Effects in Asian Stock Markets: NKY and HSI and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Influence of Monthly Time Patterns on Seasonal Effects in Asian Stock Markets: NKY and HSI
  • Screening for GEMs: November 2023
  • ASX Short Interest Weekly (Oct 27th): Newcrest Mining, Rio Tinto, Liontown, Bluescope Steel

Influence of Monthly Time Patterns on Seasonal Effects in Asian Stock Markets: NKY and HSI

By Nico Rosti

  • Numerous studies conducted over the past few decades have researched the “month of the year effect” in global stock markets, and tend to agree that some effects do exist.
  • Most studies however concur that seasonality, on its own, is a weak predictor of performance. We call these studies “Naïve Seasonality Analysis”, for reasons that we will explain here.
  • Based on the above premise, in this Smartkarma Original we are going to propose a methodology to improve seasonality research, to identify when specific months can deliver the best returns.

Screening for GEMs: November 2023

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.

ASX Short Interest Weekly (Oct 27th): Newcrest Mining, Rio Tinto, Liontown, Bluescope Steel

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Oct 27th (reported today) which has an aggregated short interest worth USD16.8bn.
  • 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 Newcrest Mining, Rio Tinto, Liontown, Bluescope Steel, Endeavour, Suncorp.

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Nov 02
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (October): Four Months of Inflows and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (October): Four Months of Inflows
  • Northbound Flows Monthly (October): Three Months of Outflows

Hong Kong Connect Flows (October): Four Months of 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 into Meituan, Wuxi Biologics, SMIC, GWM, HKEX.

Northbound Flows Monthly (October): Three Months of Outflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Industrials ($2,588 million worth of outflows), Financials ($1,109 million worth of outflows) led the outflows. 
  • We highlight outflows from Moutai, CATL, Longi, Focus Media, Ping An Insurance.

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Nov 01
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Anta Sports and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Anta Sports, Hkex, Shenzhou Intl, China Mobile
  • KRX Short Interest Weekly (Oct 27th): Samsung Biologic, Skc, Hotel Shilla Co, Ecopro

HK Short Interest Weekly: Anta Sports, Hkex, Shenzhou Intl, China Mobile

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Oct 20th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Anta Sports, Hkex, Shenzhou Intl, China Mobile.

KRX Short Interest Weekly (Oct 27th): Samsung Biologic, Skc, Hotel Shilla Co, Ecopro

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Oct 27th which has an aggregated short interest worth USD11.9bn.
  • 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 Samsung Biologic, Skc, Hotel Shilla Co, Ecopro, Posco Holdings I, Yuhan, Posco Dx.

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Oct 30
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Oct 27th): Beigene and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Oct 27th): Beigene, CMS, Guangzhou Auto, China Longyuan
  • Northbound Flows (Oct 27th): Moutai, CATL, Midea
  • TWSE Foreign Holding Weekly (Oct 27th): Taiwan Cement, TSMC, Hon Hai
  • Hong Kong Connect Flows (Oct 27th): Meituan, Semiconductor Manufacturing International, CNOOC

A-H Premium Weekly (Oct 27th): Beigene, CMS, Guangzhou Auto, China Longyuan

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 119.1% as of Oct 27th.
  • The average A-H premium changed by -1.7ppt week on week, led by utilities, consumer discretionary, industrials and offset by consumer staples.
  • We highlight weekly changes in A-H premium for Beigene, China Merchants Securities, Guangzhou Auto, China Longyuan.

Northbound Flows (Oct 27th): Moutai, CATL, Midea

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of October 27th.
  • We estimate the weekly outflows to be US$50.4 million, led by information technology, financials, and offset by materials, utilities, communication services.
  • We have highlighted northbound flows for Moutai, CATL and Midea.

TWSE Foreign Holding Weekly (Oct 27th): Taiwan Cement, TSMC, Hon Hai

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Oct 27th which has an aggregated holding worth USD603.3bn.
  • 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 outflows of USD1,558mln and highlight foreign changes in Taiwan Cement, TSMC, Hon Hai.

Hong Kong Connect Flows (Oct 27th): Meituan, Semiconductor Manufacturing International, CNOOC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of October 27th.
  • 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, Semiconductor Manufacturing International and CNOOC.

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Oct 29
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Oct 27th): Nan Ya Printed and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Oct 27th): Nan Ya Printed, Asmedia Tech, Global Unichip, TSMC

TWSE Short Interest Weekly (Oct 27th): Nan Ya Printed, Asmedia Tech, Global Unichip, TSMC

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Oct 27th which has an aggregated short interest worth USD13.7bn.
  • 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 Nan Ya Printed, Asmedia Tech, Global Unichip, TSMC.

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Oct 28
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Oct 20th): Westpac and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Oct 20th): Westpac, ANZ, Macquarie, Insurance Austra, Liontown
  • Hong Kong Buybacks Weekly (Oct 27th): AIA, Kuaishou Technology, Dongfeng Motor

ASX Short Interest Weekly (Oct 20th): Westpac, ANZ, Macquarie, Insurance Austra, Liontown

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Oct 20th (reported today) which has an aggregated short interest worth USD16.2bn.
  • 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 Westpac, ANZ, Macquarie, Insurance Austra, Liontown, Bluescope Steel.

Hong Kong Buybacks Weekly (Oct 27th): AIA, Kuaishou Technology, Dongfeng Motor

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Oct 27th 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), Kuaishou Technology (1024 HK), Dongfeng Motor (489 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), HSBC (5 HK).

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Oct 23
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Oct 20th): Meituan and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Oct 20th): Meituan
  • Northbound Flows (Oct 19th): BYD, Changan Auto, Zhongji Innolight, Moutai, Wuliangye
  • TWSE Foreign Holding Weekly (Oct 20th): Wistron, TSMC, Airoha Tech, Delta Elec, Taiwan Cement
  • A-H Premium Weekly (Oct 20th): Postal Savings, Byd, CICC
  • HK Short Interest Weekly: Wuxi Bio, AIA, Bidu

Hong Kong Connect Flows (Oct 20th): Meituan

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of October 20th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We have highlighted the flows for Meituan (3690 HK) .

Northbound Flows (Oct 19th): BYD, Changan Auto, Zhongji Innolight, Moutai, Wuliangye

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of October 19th.
  • We estimate the weekly outflows to be US$3,259.2 million, led by materials, industrials, and offset by consumer discretionary, utilities.
  • We highlight flows for BYD, Chongqing Changan Automobile, Zhongji Innolight, Moutai, Wuliangye, Ping An Insurance, CATL, Haitian Flavouring, Longi Green, CMB.

TWSE Foreign Holding Weekly (Oct 20th): Wistron, TSMC, Airoha Tech, Delta Elec, Taiwan Cement

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Oct 20th which has an aggregated holding worth USD627.4bn.
  • 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 outflows of USD974mln and highlight foreign changes in Wistron, TSMC, Airoha Tech, Delta Elec, Taiwan Cement.

A-H Premium Weekly (Oct 20th): Postal Savings, Byd, CICC

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 120.6% as of Oct 20th.
  • The average A-H premium changed by 2.0ppt week on week, led by consumer staples, financials, industrials and offset by information technology, communication services, consumer discretionary.
  • We highlight weekly changes in A-H premium for Postal Savings, Byd and CICC.

HK Short Interest Weekly: Wuxi Bio, AIA, Bidu

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Oct 13th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Wuxi Bio, AIA and Bidu.

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Oct 22
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Oct 20th): Quanta Computer and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Oct 20th): Quanta Computer, Alchip Tech, ASE, Largan Precision, Novatek

TWSE Short Interest Weekly (Oct 20th): Quanta Computer, Alchip Tech, ASE, Largan Precision, Novatek

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Oct 20th which has an aggregated short interest worth USD14.2bn.
  • 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 Quanta Computer, Alchip Tech, ASE, Largan Precision, Novatek, Lite-On Tech, Accton Tech.

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Oct 21
0

Daily Brief Quantitative Analysis: Naspers & Prosus: Discounts Widen as Market Sells off + WisdomTree Oct Rebalance Price Moves (JSE) and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Naspers & Prosus: Discounts Widen as Market Sells off + WisdomTree Oct Rebalance Price Moves (JSE)
  • Hong Kong Buybacks Weekly (Oct 20th): Aia, Hsbc, Tencent
  • ASX Short Interest Weekly (Oct 13th): Pilbara Minerals, Domino’S Pizza E, Computershare, ANZ, Igo

Naspers & Prosus: Discounts Widen as Market Sells off + WisdomTree Oct Rebalance Price Moves (JSE)

By Charlotte van Tiddens, CFA

  • Since the close on Monday, both discounts have widened by over 2 percentage points Naspers (NPN SJ)Prosus NV (PRX NA).
  • Naspers’ discount to Prosus’ MV is back at 11.8% after reaching 10.4% on Monday. Naspers’ discount is trading at 46% and Prosus’ discount is trading at 40%.
  • The annual WisdomTree rebalance took place in the closing auction on Wednesday. Turnover on the JSE for the day was R20bn ($1.05bn), 1.12 times the 5-day average.

Hong Kong Buybacks Weekly (Oct 20th): Aia, Hsbc, Tencent

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Oct 20th 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), HSBC (5 HK), Tencent (700 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), HSBC (5 HK).

ASX Short Interest Weekly (Oct 13th): Pilbara Minerals, Domino’S Pizza E, Computershare, ANZ, Igo

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Oct 13th (reported today) which has an aggregated short interest worth USD16.3bn.
  • 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 Pilbara Minerals, Domino’S Pizza E, Computershare, ANZ, Igo.

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