Category

Quantitative Analysis

May 22
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (May 19th): China Zheshang and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (May 19th): China Zheshang, Shandong Gold, China Longyuan, BYD, Shenhua
  • Hong Kong Connect Flows (May 19th): Tencent, China Construction Bank, China Mobile, Li Auto
  • Northbound Flows (May 19th): CATL, Advanced Micro, Kunlun Tech, Tianqi Lithium, Sungrow
  • HK Short Interest Weekly: Longfor, Cosco Ship Holding, CCB

A-H Premium Weekly (May 19th): China Zheshang, Shandong Gold, China Longyuan, BYD, Shenhua

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 111.4% as of May 19th.
  • The average A-H premium changed by -0.0ppt week on week, led by communication services, utilities, financials and offset by health care, information technology, energy.
  • We highlight weekly changes in A-H premium for China Zheshang, Shandong Gold, China Longyuan, BYD, Shenhua, China Life, Citic Bank, CEEC, China Telecom.

Hong Kong Connect Flows (May 19th): Tencent, China Construction Bank, China Mobile, Li Auto

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of May 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 Tencent, China Construction Bank, China Mobile, Li Auto.

Northbound Flows (May 19th): CATL, Advanced Micro, Kunlun Tech, Tianqi Lithium, Sungrow

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of May 19th.
  • We estimate the weekly outflows to be US$152.9 million, led by financials, consumer staples, and offset by industrials, information technology, health care.
  • We highlight flows for CATL, Advanced Micro, Kunlun Tech, Tianqi Lithium, Sungrow Power Supply, Moutai, Longi Green, Ping An Insurance, Haitian Flavouring.

HK Short Interest Weekly: Longfor, Cosco Ship Holding, CCB

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of May 12th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Longfor, Cosco Ship Holding, CCB.

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May 21
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (May 19th): Wistron and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (May 19th): Wistron, Lotus, Yageo, Mediatek, Tatung, Cathay Financial

TWSE Short Interest Weekly (May 19th): Wistron, Lotus, Yageo, Mediatek, Tatung, Cathay Financial

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of May 19th which has an aggregated short interest worth USD13.8bn.
  • 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 Wistron, Lotus, Yageo, Mediatek, Tatung, Cathay Financial, Giant Manufacture.

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May 20
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (May 19th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (May 19th): Aia, Man Wah, Yihai International

Hong Kong Buybacks Weekly (May 19th): Aia, Man Wah, Yihai International

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on May 19th 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), Man Wah (1999 HK), Yihai International (1579 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), Esr (1821 HK), China Mengniu Dairy (2319 HK).

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May 19
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (May 12th): ANZ and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (May 12th): ANZ, Worley, Lynas, Macquarie, BHP, NAB, Medibank, South32
  • Emerging Market Funds: Same, Same, but Different?

ASX Short Interest Weekly (May 12th): ANZ, Worley, Lynas, Macquarie, BHP, NAB, Medibank, South32

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of May 12th (reported today) which has an aggregated short interest worth USD17.0bn.
  • 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 Anz Group Holdin, Worley, Lynas Rare Earth, Macquarie, Bhp, Natl Aust Bank, Medibank Private, South32, Woolworths.

Emerging Market Funds: Same, Same, but Different?

By Nicolas Rabener

  • Emerging markets offer divergent factor exposures across and within regions
  • And Smart beta ETFs do not necessarily offer high-factor exposures. 
  • It is all about fund selection. This research article was originally published at ETF Stream.

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May 14
0

Daily Brief Quantitative Analysis: Finding Funds with Diversification Potential and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Finding Funds with Diversification Potential
  • TWSE Short Interest Weekly (May 12th): Wistron, Novatek, Nan Ya Printed

Finding Funds with Diversification Potential

By Nicolas Rabener

  • Downside betas do not help to identify diversifying strategies. These need to be combined with upside betas
  • Betas to the S&P 500 were more useful than betas to the VIX
  • We contrasted the downside and upside betas of eight hedge fund types that are marketed as diversifying strategies. 

TWSE Short Interest Weekly (May 12th): Wistron, Novatek, Nan Ya Printed

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of May 12th which has an aggregated short interest worth USD13.4bn.
  • 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 Wistron, Novatek, Nan Ya Printed.

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May 13
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (May 12th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (May 12th): Aia, China Mengniu Dairy, Haier Smart Home

Hong Kong Buybacks Weekly (May 12th): Aia, China Mengniu Dairy, Haier Smart Home

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on May 12th 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), Mengniu Dairy (2319 HK), Haier Smart Home (6690 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), Tencent (700 HK), Swire Pacific (19 HK).

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May 12
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (May 5th): NAB and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (May 5th): NAB, Pilbara Minerals, Igo, Santos, Qantas

ASX Short Interest Weekly (May 5th): NAB, Pilbara Minerals, Igo, Santos, Qantas

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of May 5th (reported today) which has an aggregated short interest worth USD17.2bn.
  • 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 Natl Aust Bank, Pilbara Minerals, Igo, Santos, Qantas Airways, Mineral Resource.

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May 09
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Genscript Bio and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Genscript Bio, CMB, Alibaba

HK Short Interest Weekly: Genscript Bio, CMB, Alibaba

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Apr 28th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Genscript Bio, China Merchants Bank, Baba.

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May 08
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (May 5th): CCB and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (May 5th): CCB, BOC, Sinopec, China Shenhua, CMOC, CRRC, China Southern Airlines
  • Northbound Flows (May 5th): Kweichow Moutai, Foxconn Industrial Internet, Gree Electric Appliances

A-H Premium Weekly (May 5th): CCB, BOC, Sinopec, China Shenhua, CMOC, CRRC, China Southern Airlines

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 111.2% as of May 5th.
  • The average A-H premium changed by -0.3ppt week on week, led by consumer staples, communication services, health care and offset by real estate, energy, information technology.
  • We highlight weekly changes in A-H premium for CCB, BOC, Sinopec, China Shenhua, CMOC, CRRC, China Southern Airlines, CSC Financials.

Northbound Flows (May 5th): Kweichow Moutai, Foxconn Industrial Internet, Gree Electric Appliances

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of May 5th.
  • We estimate the weekly outflows to be US$75.1 million, led by information technology, materials, and offset by financials, consumer staples, health care.
  • We highlight flows for Kweichow Moutai, Foxconn Industrial Internet, Gree Electric Appliances.

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May 07
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (May 5th): Evergreen Marine and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (May 5th): Evergreen Marine, Mediatek, Wistron, Yang Ming Marine

TWSE Short Interest Weekly (May 5th): Evergreen Marine, Mediatek, Wistron, Yang Ming Marine

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of May 5th which has an aggregated short interest worth USD13.0bn.
  • 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 Evergreen Marine, Mediatek, Wistron, Yang Ming Marine, Unimicron Tech, Largan Precision, Powerchip Semico, Taiwan Mobile.

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