Category

Quantitative Analysis

May 06
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (May 5th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (May 5th): Aia, China Mengniu Dairy, ESR
  • Upside Versus Downside Stocks

Hong Kong Buybacks Weekly (May 5th): Aia, China Mengniu Dairy, ESR

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 5th 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), China Mengniu Dairy (2319 HK), Esr (1821 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).

Upside Versus Downside Stocks

By Nicolas Rabener

  • There is more upside in downside and more downside in upside stocks than expected.
  • Stocks can be ranked by their upside and downside betas to the S&P 500
  • Excess returns from upside stocks were negative, zero for downside stocks

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May 05
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Apr 28th): BHP and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Apr 28th): BHP, Pilbara, Newcrest Mining, Macquarie, Rio Tinto, Igo

ASX Short Interest Weekly (Apr 28th): BHP, Pilbara, Newcrest Mining, Macquarie, Rio Tinto, Igo

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Apr 28th (reported today) which has an aggregated short interest worth USD16.5bn.
  • 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, Pilbara Minerals, Newcrest Mining, Macquarie, Rio Tinto, Igo, Northern Star Re.

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May 03
0

Daily Brief Quantitative Analysis: HK Connect: Mar ’22 Inclusion Post-Event Analysis and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Connect: Mar ’22 Inclusion Post-Event Analysis
  • Northbound Flows Monthly (April): Inflows into Industrials Offset by Outflows from Financials
  • Hong Kong Connect Flows Monthly: China Mobile, SMIC, PetroChina, Sensetime, CNOOC, CCB, Tencent
  • Screening for GEMs: May 2023

HK Connect: Mar ’22 Inclusion Post-Event Analysis

By Ke Yan, CFA, FRM

  • After one month from the March batch of Hong Kong Connect inclusion, we provide an analysis on the stock inclusion for 24 stocks. 
  • We analysed the inclusion by performance post announcement, performance post inclusion, inflows and analyst coverage.
  • This time we observe outperformance when inclusion took place but not between announcement and inclusion. Southbound trade account for a significant portion of the trading volumes, still.

Northbound Flows Monthly (April): Inflows into Industrials Offset by Outflows from Financials

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Inflows into industrials, energy, and utilities were offset by outflows from financials, and information technology.
  • We highlight flows for COSCO Shipping, Shenzhen Inovance, Zhejiang Jingsheng, Ningbo Tuopu, Wuliangye, Ping An Insurance, Moutai, East Money, CMB, Midea.

Hong Kong Connect Flows Monthly: China Mobile, SMIC, PetroChina, Sensetime, CNOOC, CCB, Tencent

By Ke Yan, CFA, FRM

  • We analyze the monthly Hong Kong Connect flows with our data engine.
  • We tabulate the top stocks by inflows, outlfows, and holding by mainland investors.
  • We analyzed the Hong Kong Connect Scheme for April and highlight flows for China Mobile, SMIC, PetroChina, Sensetime, CNOOC, CCB, Tencent, HKEx.

Screening for GEMs: May 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.

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May 02
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Apr 28th): Meituan and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Apr 28th): Meituan, China Construction Bank
  • TWSE Short Interest Weekly (Apr 28th): Unimicron Tech, Evergreen, Taiwan Cement, Polaris, Largan
  • A-H Premium Weekly (Apr 28th): Sinopec, China Shenhua, CRRC, Tigermed, GWM
  • Downside Betas Vs Downside Correlations
  • Northbound Flows (Apr 28th): Kweichow Moutai, East Money, CATL, Gree Electric Appliances, CMB

Hong Kong Connect Flows (Apr 28th): Meituan, China Construction Bank

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of April 28th.
  • 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 201m and highlight flows for Meituan, China Construction Bank.

TWSE Short Interest Weekly (Apr 28th): Unimicron Tech, Evergreen, Taiwan Cement, Polaris, Largan

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Apr 28th which has an aggregated short interest worth USD12.6bn.
  • 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 Unimicron Tech, Evergreen Marine, Taiwan Cement, Polaris, Largan Precision, Micro-Star Intl, King Yuan Elec, Powertech, Hiwin Tech.

A-H Premium Weekly (Apr 28th): Sinopec, China Shenhua, CRRC, Tigermed, GWM

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 111.3% as of Apr 28th.
  • The average A-H premium changed by 0.8ppt week on week, led by consumer staples, consumer discretionary, health care and offset by information technology, energy, real estate.
  • We highlight weekly changes in A-H premium for Postal Savings, BankComm, CCB, Sinopec, China Shenhua, CRRC, Tigermed, GWM.

Downside Betas Vs Downside Correlations

By Nicolas Rabener

  • Investors typically use correlation to identify diversifying strategies, but the metric can be misleading
  • Upside and downside betas and correlations provide a better perspective
  • Common hedge fund strategies failed to provide attractive diversification benefits

Northbound Flows (Apr 28th): Kweichow Moutai, East Money, CATL, Gree Electric Appliances, CMB

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of April 28th.
  • We estimate the weekly outflows to be US$844.5 million, led by financials, consumer staples, and offset by industrials, information technology.
  • We highlight flows for Kweichow Moutai, East Money Information, Contemporary Amperex Technology, Gree Electric Appliances, China Merchants Bank.

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Apr 29
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Apr 28th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Apr 28th): Aia, Swire Pacific, Ck Asset

Hong Kong Buybacks Weekly (Apr 28th): Aia, Swire Pacific, 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 Apr 28th 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), Swire Pacific (19 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), Swire Pacific (19 HK).

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Apr 24
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Apr 21st): Postal Savings Bank and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Apr 21st): Postal Savings Bank, China Rail, CRRC, China Coal, GWM
  • Hong Kong Connect Flows (Apr 21st): China Mobile, Anta, SMIC, Tencent, CCB, Sensetime
  • Northbound Flows (Apr 21st): Cosco Shipping, CATL, Shenzhen Inovance, Shandong Gold, East Money
  • TWSE Short Interest Weekly (Apr 21st): Mediatek, Unimicron Tech, Walsin Lihwa, Alchip Tech, Largan

A-H Premium Weekly (Apr 21st): Postal Savings Bank, China Rail, CRRC, China Coal, GWM

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 110.7% as of Apr 21st.
  • The average A-H premium changed by -1.8ppt week on week, led by communication services, real estate, information technology.
  • We highlight weekly changes in A-H premium for Postal Savings Bank, China Rail, CRRC, China Coal, GWM, Everbright Sec, CSC Financial.

Hong Kong Connect Flows (Apr 21st): China Mobile, Anta, SMIC, Tencent, CCB, Sensetime

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of April 21st.
  • 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, Anta Sports Products, Semiconductor Manufacturing International, Meituan, Wuxi Biologics, Petrochina, Tencent, China Construction Bank, Sensetime.

Northbound Flows (Apr 21st): Cosco Shipping, CATL, Shenzhen Inovance, Shandong Gold, East Money

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of April 21st.
  • We estimate the weekly inflows to be US$221.4 million, led by industrials, energy, health care sectors, and offset by information technology, consumer staples.
  • We highlight flows for Cosco Shipping, Contemporary Amperex Technology, Shenzhen Inovance Technology, Shandong Gold Mining, East Money Information, Longi Green Energy Technology, Tongwei, Zhejiang Huayou Cobalt, Ping An Insurance.

TWSE Short Interest Weekly (Apr 21st): Mediatek, Unimicron Tech, Walsin Lihwa, Alchip Tech, Largan

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Apr 21st which has an aggregated short interest worth USD12.3bn.
  • 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 Mediatek, Unimicron Tech, Walsin Lihwa, Alchip Tech, Largan Precision, Quanta Computer, Wiwynn.

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Apr 22
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Apr 21st): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Apr 21st): Aia, Swire Pacific, Shoucheng
  • ASX Short Interest Weekly (Apr 14th): Aurizon, Medibank Private, Coles, Yancoal Australi, Qbe

Hong Kong Buybacks Weekly (Apr 21st): Aia, Swire Pacific, Shoucheng

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Apr 21st 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), Swire Pacific (19 HK), Shoucheng (697 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), Swire Pacific (19 HK).

ASX Short Interest Weekly (Apr 14th): Aurizon, Medibank Private, Coles, Yancoal Australi, Qbe

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Apr 14th (reported today) which has an aggregated short interest worth USD48.6bn.
  • 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 Aurizon, Medibank Private, Coles, Yancoal Australi, Qbe Insurance, Newcrest Mining.

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Apr 21
0

Daily Brief Quantitative Analysis: Portfolio Allocations Vs Risk Contributions and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Portfolio Allocations Vs Risk Contributions

Portfolio Allocations Vs Risk Contributions

By Nicolas Rabener

  • Still most investors analyze investment products based on their holdings
  • However, holdings often misportray of what is determining the risk profile
  • A factor exposure analysis can identify the performance & risk contributors

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Apr 17
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Apr 14th): Remegen and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Apr 14th): Remegen, CREC, Yankuang Energy, CRRC, GWM, CICC
  • Northbound Flows (Apr 14th): Kweichow Moutai, Ping An Insurance, Wuxi Apptec
  • ASX Short Interest Weekly (Apr 7th): Qube Holdings, Woodside Energy, Aurizon
  • Hong Kong Connect Flows (Apr 14th): Sensetime, SMIC, Cnooc, China Mobile, Tencent, Meituan, Kuaishou

A-H Premium Weekly (Apr 14th): Remegen, CREC, Yankuang Energy, CRRC, GWM, CICC

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 112.5% as of Apr 14th.
  • The average A-H premium changed by -4.9ppt week on week, led by consumer discretionary, health care, financials.
  • We highlight weekly changes in A-H premium for Remegen, CREC, Yankuang Energy, CRRC, GWM, CICC.

Northbound Flows (Apr 14th): Kweichow Moutai, Ping An Insurance, Wuxi Apptec

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of April 14th.
  • We estimate the weekly inflows to be US$770.1 million, led by materials, industrials, utilities sectors, and offset by financials, consumer staples.
  • We highlight flows for Kweichow Moutai, Ping An Insurance, Wuxi Apptec.

ASX Short Interest Weekly (Apr 7th): Qube Holdings, Woodside Energy, Aurizon

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Apr 7th (reported today) which has an aggregated short interest worth USD46.5bn.
  • 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 Qube Holdings, Woodside Energy, Aurizon, Gold Road Resour, Brambles.

Hong Kong Connect Flows (Apr 14th): Sensetime, SMIC, Cnooc, China Mobile, Tencent, Meituan, Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of April 14th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Sensetime, Semiconductor Manufacturing International, Cnooc, China Mobile, Tencent, Meituan, Kuaishou Technology.

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Apr 16
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Apr 14th): Yageo and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Apr 14th): Yageo, Taiwan Cement, Mediatek, Wiwynn

TWSE Short Interest Weekly (Apr 14th): Yageo, Taiwan Cement, Mediatek, Wiwynn

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Apr 14th which has an aggregated short interest worth USD12.5bn.
  • 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 Yageo, Taiwan Cement, Mediatek, Wiwynn, Realtek Semi, Compal Elec, Cathay Financial, Chailease.

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