Category

Quantitative Analysis

Jun 30
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jun 23rd): Mineral Resource and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jun 23rd): Mineral Resource, Macquarie, Aurizon, Endeavour

ASX Short Interest Weekly (Jun 23rd): Mineral Resource, Macquarie, Aurizon, Endeavour

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jun 23rd (reported today) which has an aggregated short interest worth USD15.8bn.
  • 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 Mineral Resource, Macquarie, Aurizon, Endeavour, Flight Centre Tr, Rio Tinto.

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Jun 29
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, Tencent, Meituan, CMB, Yankuang Energy

HK Short Interest Weekly: Baba, Tencent, Meituan, CMB, Yankuang Energy

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jun 16th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Baba, Tencent, Meituan, Cm Bank, Yankuang Energy.

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Jun 26
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Jun 23rd): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Jun 23rd): Tencent, Meituan, ICBC
  • A-H Premium Weekly (Jun 23rd): BYD, CMOC, China Southern, Cansino Biologics, Xinjiang Gold
  • Northbound Flows (Jun 23rd): China Cssc, Dahua

Hong Kong Connect Flows (Jun 23rd): Tencent, Meituan, ICBC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of June 23rd.
  • 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, Meituan, Industrial And Commercial Bank Of China.

A-H Premium Weekly (Jun 23rd): BYD, CMOC, China Southern, Cansino Biologics, Xinjiang Gold

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 119.0% as of Jun 23rd.
  • The average A-H premium changed by 4.9ppt week on week, led by information technology, health care, industrials and offset by communication services, financials.
  • We highlight weekly changes in A-H premium for BYD, CMOC, China Southern, Cansino Biologics, Xinjiang Gold.

Northbound Flows (Jun 23rd): China Cssc, Dahua

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of June 23rd.
  • We estimate the weekly inflows to be US$43.7 million, led by industrials, information technology, communication services sectors, and offset by materials, financials.
  • We estimate the inflows to be USD 43 mil last week and highlight flows for China Cssc, Dahua.

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Jun 25
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Jun 23rd): Mediatek and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Jun 23rd): Mediatek, Walsin Lihwa, Acer, YCY, Quanta Computer

TWSE Short Interest Weekly (Jun 23rd): Mediatek, Walsin Lihwa, Acer, YCY, Quanta Computer

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jun 23rd which has an aggregated short interest worth USD15.2bn.
  • 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 Mediatek, Walsin Lihwa, Acer, Ycy, Quanta Computer, China Airlines.

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Jun 24
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jun 23rd): Tencent’s HKD1.6bn Buybacks and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jun 23rd): Tencent’s HKD1.6bn Buybacks

Hong Kong Buybacks Weekly (Jun 23rd): Tencent’s HKD1.6bn Buybacks

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jun 23rd 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), AIA (1299 HK), CK Asset (1113 HK).

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Jun 23
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jun 16th): Pilbara Minerals and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jun 16th): Pilbara Minerals, Cochlear, Worley, Computershare, Suncorp

ASX Short Interest Weekly (Jun 16th): Pilbara Minerals, Cochlear, Worley, Computershare, Suncorp

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jun 16th (reported today) which has an aggregated short interest worth USD16.6bn.
  • 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 Agl Energy, BHP, IDP Education, Pilbara Minerals, Cochlear, Worley, Computershare, Suncorp.

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Jun 21
0

Daily Brief Quantitative Analysis: Global Emerging Markets: Reporting Season Summary and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Global Emerging Markets: Reporting Season Summary, 1Q2023
  • Preferential Times for Preferred Income Strategies?

Global Emerging Markets: Reporting Season Summary, 1Q2023

By Wium Malan, CFA

  • The 200 largest weighted companies in the GEM index reported average EPS growth of +6.3%y/y for 1Q23-to-date, slightly down from the +7.5% reported for 4Q22.
  • Only 51% of companies delivered positive sales surprises, whilst 60% delivered positive EPS surprises, an increase from the trend seen over the past year.
  • Historically, there has been a significant difference in relative share price performance between the largest positive versus negative surprise generators, for 3 months after the reporting date.

Preferential Times for Preferred Income Strategies?

By Nicolas Rabener

  • Preferred income funds are renowned for their ability to provide investors with exceptionally high yields.
  • However, the higher the yield, the lower the total return
  • The extent of diversification benefits offered by these funds was relatively restricted in nature.

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Jun 19
0

Daily Brief Quantitative Analysis: Northbound Flows (Jun 16th): CATL and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows (Jun 16th): CATL, Wuliangye, Moutai, Foxconn Industrial Internet, Midea, Gree
  • A-H Premium Weekly (Jun 9th): BYD, CCB
  • Hong Kong Connect Flows (Jun 16th): CCB
  • HK Short Interest Weekly: Longfor, Yuexiu Property, Pop Mart
  • ASX Short Interest Weekly (Jun 9th): IDP Education, Rio Tinto, Igo, Sayona Mining, BHP, Suncorp
  • TWSE Short Interest Weekly (Jun 16th): Inventec, Quanta Computer, Walsin Lihwa, Asia Vital

Northbound Flows (Jun 16th): CATL, Wuliangye, Moutai, Foxconn Industrial Internet, Midea, Gree

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of June 16th.
  • We estimate the weekly inflows to be US$2,312.7 million, led by industrials, information technology, consumer discretionary sectors, and offset by financials, materials.
  • We highlight flows for CATL, Wuliangye, Moutai, Foxconn Industrial Internet, Midea, BYD, Sany Heavy, Luxshare Precision, Wuxi Apptec, Gree Electric Appliances, Longi Green, Ping An Insurance, Dahua.

A-H Premium Weekly (Jun 9th): BYD, CCB

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 113.9% as of Jun 9th.
  • The average A-H premium changed by -1.9ppt week on week, led by consumer discretionary, materials, industrials and offset by consumer staples, information technology, communication services.
  • We highlight weekly changes in A-H premium for BYD Co Ltd and China Construction Bank.

Hong Kong Connect Flows (Jun 16th): CCB

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of June 16th.
  • 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 1.5bn and highlight flows for CCB.

HK Short Interest Weekly: Longfor, Yuexiu Property, Pop Mart

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jun 9th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Longfor, Yuexiu Property, Pop Mart.

ASX Short Interest Weekly (Jun 9th): IDP Education, Rio Tinto, Igo, Sayona Mining, BHP, Suncorp

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jun 9th (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 IDP Education, Rio Tinto, Igo, Sayona Mining, BHP, Suncorp.

TWSE Short Interest Weekly (Jun 16th): Inventec, Quanta Computer, Walsin Lihwa, Asia Vital

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jun 16th which has an aggregated short interest worth USD15.6bn.
  • 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, Quanta Computer, Walsin Lihwa, Asia Vital, Sanyang Motor, Winbond Elec, Synnex Tech Intl.

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Jun 18
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jun 16th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jun 16th): Tencent, Aia, Ck Asset

Hong Kong Buybacks Weekly (Jun 16th): 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 Jun 16th 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), AIA (1299 HK), CK Asset (1113 HK).

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Jun 17
0

Daily Brief Quantitative Analysis: China A-Shares: Stock Positioning Chart Pack and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • China A-Shares: Stock Positioning Chart Pack
  • Diversification Versus Hedging II

China A-Shares: Stock Positioning Chart Pack

By Steven Holden

Diversification Versus Hedging II

By Nicolas Rabener

  • In most cases Ideally diversifying funds are uncorrelated and generate positive returns
  • However, identifying such funds is way more challenging than expected
  • Creating a diversified portfolio requires thoughtful fund and asset class selection

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