Category

Quantitative Analysis

Apr 15
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Apr 14th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Apr 14th): Tencent, Aia, Zhongsheng

Hong Kong Buybacks Weekly (Apr 14th): Tencent, Aia, Zhongsheng

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 14th 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), Zhongsheng (881 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), Cspc Pharmaceutical (1093 HK).

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Apr 14
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Jd and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Jd, Petrochina, Kingsoft, Link Reit, Bidu

HK Short Interest Weekly: Jd, Petrochina, Kingsoft, Link Reit, Bidu

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 31st.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Jd, Petrochina, Kingsoft, Link Reit, Bidu.

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Apr 12
0

Daily Brief Quantitative Analysis: The Alpha Games: Technology Funds and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • The Alpha Games: Technology Funds

The Alpha Games: Technology Funds

By Nicolas Rabener

  • US tech funds underperformed their benchmark indices by 4% between 2018 and 2022
  • Searching for alpha is a zero-sum game as for every investor that outperforms the stock market
  • This resulted in a median alpha of -4% over the 5-year period

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Apr 10
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Apr 7th): China Vanke and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Apr 7th): China Vanke, China Rail Group, Huatai Securities, Yankuang Energy
  • Northbound Flows (Apr 6th): East Money, Muyuan Foods, CTG, Ping An Insurance, Hundsun, CMB, Foxconn

A-H Premium Weekly (Apr 7th): China Vanke, China Rail Group, Huatai Securities, Yankuang Energy

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 117.4% as of Apr 7th.
  • The average A-H premium changed by 3.5ppt week on week, led by communication services, health care, real estate and offset by utilities.
  • We highlight weekly changes in A-H premium for China Vanke, China Rail Group, Huatai Securities, Yankuang Energy, CRRC, CICC, GWM.

Northbound Flows (Apr 6th): East Money, Muyuan Foods, CTG, Ping An Insurance, Hundsun, CMB, Foxconn

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of April 6th.
  • We estimate the weekly outflows to be US$412.5 million, led by information technology, materials, and offset by financials, consumer staples, industrials.
  • We highlight flows for East Money Information, Muyuan Foods, China Tourism Group Duty Free, Ping An Insurance, Hundsun Technologies, China Merchants Bank, Foxconn Industrial Internet.

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Apr 09
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Apr 7th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Apr 7th): Tencent, Aia, CSPC
  • TWSE Short Interest Weekly (Apr 7th): Makalot, Getac, Via Tech

Hong Kong Buybacks Weekly (Apr 7th): Tencent, Aia, CSPC

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 7th 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), Cspc Pharmaceutical (1093 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).

TWSE Short Interest Weekly (Apr 7th): Makalot, Getac, Via Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Apr 7th which has an aggregated short interest worth USD12.1bn.
  • 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 Makalot, Getac Holdings, Via Tech.

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Apr 07
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Mar 31st): Woodside Energy and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Mar 31st): Woodside Energy, Brambles, Liontown Resourc, Rio Tinto

ASX Short Interest Weekly (Mar 31st): Woodside Energy, Brambles, Liontown Resourc, Rio Tinto

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 31st (reported today) which has an aggregated short interest worth USD45.3bn.
  • 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 Woodside Energy, Brambles, Liontown Resourc, Rio Tinto, Downer Edi.

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Apr 06
0

Daily Brief Quantitative Analysis: Factor Olympics 2023 Q1 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Factor Olympics 2023 Q1

Factor Olympics 2023 Q1

By Nicolas Rabener

  • After a great 2022 for factor investing, this year has started negatively for all traditional factors
  • Perhaps this can be attributed to a revival of the growth theme as growth ETFs have outperformed again
  • Size performed best, low volatility worst. We present the performance of five well-known factors on an annual basis for the last 10 years.

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Apr 04
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows Monthly: 1Y High Inflows in March and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows Monthly: 1Y High Inflows in March
  • Screening for GEMs: April 2023
  • Northbound Flows Monthly (Mar): BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao

Hong Kong Connect Flows Monthly: 1Y High Inflows in March

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 highlight inflows into Tencent, Meituan, China Mobile, ICBC, Bilibili, and outflows from CCB, Geely, Sunny Optical.

Screening for GEMs: April 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 nearly 3 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.

Northbound Flows Monthly (Mar): BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Industrials (inflows of $3,132 million), Information Technology (inflows of $2,247 million), Health Care (inflows of $1,021 million) led the inflows.
  • We highlight flows for BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao, CMB, Longi Green, Foxconn, Ping An, Hithink.

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Apr 03
0

Daily Brief Quantitative Analysis: Short Interest Movements (Q1 2023): HK and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia
  • A-H Premium Weekly (Mar 31st): Yankuang Energy, CRRC, China Telecom, CCCC
  • HK Short Interest Weekly: Bidu, Baba, Byd Company
  • Hong Kong Connect Flows (Mar 31st): Tencent, Meituan, Bilibili, Lenovo, Kingsoft, CCB
  • Northbound Flows (Mar 31st): Moutai, CATL, Byd, Sinopec, Foxconn, Haier Smart Home

Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia

By Brian Freitas

  • Total short interest in Hong Kong is HK$435.1bn, marginally higher from end-December. Short notional has moved in line with the Hong Kong Hang Seng Index (HSI INDEX). 
  • Total short notional of the KOSPI and KOSDAQ market has moved up since end-December and is in line with the move higher in the KOSPI2 INDEX and KOSDAQ 150 Index.
  • Short notional in Taiwan is lower over the quarter even as the TWSE INDEX has moved higher over the period. There has been big short covering on some stocks.

A-H Premium Weekly (Mar 31st): Yankuang Energy, CRRC, China Telecom, CCCC

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 113.6% as of Mar 31st.
  • The average A-H premium changed by -0.5ppt week on week, led by communication services, energy, utilities and offset by consumer staples, health care.
  • We highlight weekly changes in A-H premium for Yankuang Energy, CRRC, China Telecom, CCCC.

HK Short Interest Weekly: Bidu, Baba, Byd Company

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 24th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We estimate the total short interest to  increase by 1.4% week on week and highlight short changes in Bidu, Baba, Byd Company.

Hong Kong Connect Flows (Mar 31st): Tencent, Meituan, Bilibili, Lenovo, Kingsoft, CCB

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 31st.
  • 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, Bilibili, Lenovo, Kingsoft, China Construction Bank.

Northbound Flows (Mar 31st): Moutai, CATL, Byd, Sinopec, Foxconn, Haier Smart Home

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 31st.
  • We estimate the weekly inflows to be US$1,598.1 million, led by consumer staples, industrials, communication services sectors, and offset by financials, materials.
  • We highlight flows for Kweichow Moutai, Contemporary Amperex Technology, Byd, China Petroleum And Chemical, Foxconn Industrial Internet, Haier Smart Home, Beijing Kingsoft Office Software.Inc, East Money Information, Gree Electric Appliances.

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Apr 02
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Mar 31st): Walsin Lihwa and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Mar 31st): Walsin Lihwa, Evergreen Marine, Yang Ming Marine, Powerchip

TWSE Short Interest Weekly (Mar 31st): Walsin Lihwa, Evergreen Marine, Yang Ming Marine, Powerchip

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 31st which has an aggregated short interest worth USD12.0bn.
  • 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 Walsin Lihwa, Evergreen Marine, Yang Ming Marine, Powerchip Semico, Alchip Tech, Nan Ya Printed, Unimicron Tech.

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