Category

Quantitative Analysis

Mar 12
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Mar 10th): Alchip Tech and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Mar 10th): Alchip Tech, Delta Elec, Global Unichip, Unimicron Tech

TWSE Short Interest Weekly (Mar 10th): Alchip Tech, Delta Elec, Global Unichip, Unimicron Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 10th which has an aggregated short interest worth USD11.8bn.
  • 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 Alchip Tech, Delta Elec, Global Unichip, Unimicron Tech, Kinsus.

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Mar 11
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 10th):  A Quiet Week and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 10th):  A Quiet Week

Hong Kong Buybacks Weekly (Mar 10th):  A Quiet Week

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Mar 10th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Hanison (896 HK), Yeebo (259 HK), China Motor Bus (26 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Great Wall Motor (2333 HK), Aia (1299 HK), Mengniu Dairy (2319 HK).

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Mar 10
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Mar 3rd): Woodside Energy and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Mar 3rd): Woodside Energy, Medibank Private, Arafura Rare Ear, New Hope

ASX Short Interest Weekly (Mar 3rd): Woodside Energy, Medibank Private, Arafura Rare Ear, New Hope

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 3rd (reported today) which has an aggregated short interest worth USD41.5bn.
  • 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 Woodside Energy, Medibank Private, Arafura Rare Ear, New Hope, Pilbara Minerals, Northern Star Re, Fortescue Metals.

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Mar 09
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows Monthly: First Monthly Outflows in 12 Months and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows Monthly: First Monthly Outflows in 12 Months
  • Northbound Flows Monthly (Feb): CATL, Hundsun, Ping An Insurance, Inovance, Xinghuacun Fen Wine

Hong Kong Connect Flows Monthly: First Monthly Outflows in 12 Months

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 China Mobile, GWM, Sensetime, and outflows from Tencent, HKEx, CCB, Meituan, BYD.

Northbound Flows Monthly (Feb): CATL, Hundsun, Ping An Insurance, Inovance, Xinghuacun Fen Wine

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • We estimate that the total inflows were USD 1.5bn last Month. Industrials, Information Technology, Consumer Staples led the inflows.
  • We highlight flows for CATL, Hundsun, Ping An Insurance, Inovance, Xinghuacun Fen Wine, Shaanxi Coal, Midea, Tongwei, BYD, Eve Energy, Industrial Bank.

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Mar 08
0

Daily Brief Quantitative Analysis: Shorting Lousy Stocks = Lousy Returns? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Shorting Lousy Stocks = Lousy Returns?

Shorting Lousy Stocks = Lousy Returns?

By Nicolas Rabener

  • Shorting stocks with poor features was unattractive throughout most of the last decade
  • Combining features would not have improved performance.It only started working again in 2022
  • Even the worst stocks have their time in the limelight

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Mar 06
0

Daily Brief Quantitative Analysis: Northbound Flows (Mar 1st): Longi Green Energy Technology and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows (Mar 1st): Longi Green Energy Technology
  • A-H Premium Weekly (Mar 3rd): Xinjiang Goldwind, ZTE, China Southern, CRRC, GWM, China Telecom
  • HK Short Interest Weekly: Greatwall Motor, Yum China, Meitu, Techtronic
  • Hong Kong Connect Flows (Mar 1st): Tencent, Great Wall Motor, CCB, HKEx

Northbound Flows (Mar 1st): Longi Green Energy Technology

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 1st.
  • We estimate the weekly inflows to be US$560.9 million, led by information technology, financials, communication services sectors, and offset by materials, energy.
  • We estimate that the inflows was USD 561m and highlight flows for Longi Green Energy Technology.

A-H Premium Weekly (Mar 3rd): Xinjiang Goldwind, ZTE, China Southern, CRRC, GWM, China Telecom

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 111.9% as of Mar 3rd.
  • The average A-H premium changed by 0.3ppt week on week, led by communication services, consumer discretionary, financials and offset by real estate, information technology, industrials.
  • We highlight weekly changes in A-H premium for Xinjiang Goldwind, ZTE, China Southern, CRRC, GWM, China Telecom, CCCC, China Oilfield.

HK Short Interest Weekly: Greatwall Motor, Yum China, Meitu, Techtronic

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Feb 24th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Greatwall Motor, Yum China, Meitu, Techtronic.

Hong Kong Connect Flows (Mar 1st): Tencent, Great Wall Motor, CCB, HKEx

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 1st.
  • 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, Great Wall Motor, China Construction Bank, Hong Kong Exchanges And Clearing.

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Mar 05
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Mar 3rd): Silergy and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Mar 3rd): Silergy, Via Tech, Evergreen Marine, Wiwynn

TWSE Short Interest Weekly (Mar 3rd): Silergy, Via Tech, Evergreen Marine, Wiwynn

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 3rd which has an aggregated short interest worth USD11.8bn.
  • 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 Silergy, Via Tech, Evergreen Marine, Wiwynn.

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Mar 04
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 3rd): Great Wall Motor and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 3rd): Great Wall Motor, China Mengniu Dairy, Sino Biopharmaceutical
  • ASX Short Interest Weekly (Feb 24th): Pilbara Minerals, Nine Entertainment, ANZ, Reliance

Hong Kong Buybacks Weekly (Mar 3rd): Great Wall Motor, China Mengniu Dairy, Sino Biopharmaceutical

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Mar 3rd based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were GWM (2333 HK), Mengniu Dairy (2319 HK), Sino Biopharmaceutical (1177 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were GWM (2333 HK), Aia (1299 HK), China Mengniu Dairy (2319 HK).

ASX Short Interest Weekly (Feb 24th): Pilbara Minerals, Nine Entertainment, ANZ, Reliance

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Feb 24th (reported today) which has an aggregated short interest worth USD42.5bn.
  • 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 Pilbara Minerals, Nine Entertainment, ANZ, Reliance.

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Mar 03
0

Daily Brief Quantitative Analysis: Screening for GEMs: March 2023 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: March 2023

Screening for GEMs: March 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.

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Feb 27
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Feb 24th): Xinjiang Gold Wind and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Feb 24th): Xinjiang Gold Wind, China Shenhua, CICC, GWM, Shanghai Fudan
  • Hong Kong Connect Flows (Feb 24th): China Mobile, Tencent, Byd, CCB
  • Northbound Flows (Feb 24th): Muyuan Foods, Shaanxi Coal Industry, Byd, Ping An Insurance
  • TWSE Short Interest Weekly (Feb 24th): Novatek, Unimicron, Realtek, Alchip Tech, Evergreen Marine

A-H Premium Weekly (Feb 24th): Xinjiang Gold Wind, China Shenhua, CICC, GWM, Shanghai Fudan

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 111.6% as of Feb 24th.
  • The average A-H premium changed by 2.0ppt week on week, led by utilities, health care, financials and offset by information technology, industrials.
  • We highlight weekly changes in A-H premium for Xinjiang Gold Wind, China Shenhua, CICC, GWM, Shanghai Fudan.

Hong Kong Connect Flows (Feb 24th): China Mobile, Tencent, Byd, CCB

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of February 24th.
  • 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, Tencent, Byd, China Construction Bank.

Northbound Flows (Feb 24th): Muyuan Foods, Shaanxi Coal Industry, Byd, Ping An Insurance

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of February 24th.
  • We estimate the weekly outflows to be US$582.6 million, led by information technology, health care, and offset by industrials, materials, consumer staples.
  • We highlight flows for Muyuan Foods, Shaanxi Coal Industry, Byd, Ping An Insurance.

TWSE Short Interest Weekly (Feb 24th): Novatek, Unimicron, Realtek, Alchip Tech, Evergreen Marine

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Feb 24th which has an aggregated short interest worth USD11.7bn.
  • 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 Novatek, Unimicron Tech, Realtek Semi, Alchip Tech, Evergreen Marine.

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