Category

Quantitative Analysis

Feb 24
0

Daily Brief Quantitative Analysis: The Hard-Knock Life of Short Sellers and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • The Hard-Knock Life of Short Sellers
  • Hong Kong Buybacks Weekly (Feb 24th): Great Wall Motor, China Mengniu Dairy, Esr
  • ASX Short Interest Weekly (Feb 17th): Suncorp, Corporate Travel, Incitec Pivot, BHP, Endeavour

The Hard-Knock Life of Short Sellers

By Nicolas Rabener

  • Short-Biased hedge funds provided negative S&P 500 beta until 2011
  • Thereafter returns became less negatively correlated but then worsened overall
  • The strategy has generated limited diversification benefits for investors.  Low-quality stocks can outperform markets.

Hong Kong Buybacks Weekly (Feb 24th): Great Wall Motor, 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 Feb 24th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Great Wall Motor (2333 HK), China Mengniu (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), Great Wall Motor (2333 HK), Esr (1821 HK).

ASX Short Interest Weekly (Feb 17th): Suncorp, Corporate Travel, Incitec Pivot, BHP, Endeavour

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Feb 17th (reported today) which has an aggregated short interest worth USD14.9bn.
  • 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 Suncorp, Corporate Travel, Incitec Pivot, Bhp, Endeavour.

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Feb 23
0

Daily Brief Quantitative Analysis: What Is the Historical HSI Moves in Next Two Months and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • What Is the Historical HSI Moves in Next Two Months, and Will It Follow This Year?

What Is the Historical HSI Moves in Next Two Months, and Will It Follow This Year?

By Osbert Tang, CFA

  • Our Insight Is There a January Effect in Hang Seng Index? correctly pointed to a strong Jan 2023. Based on historical pattern, Mar will be weak while Apr is positive.
  • Macro factors including Russia-Ukraine war, Sino-US tension, disappointing US CPI and potentially weak 4Q22 corporate earnings are negative to HSI performance in Mar.
  • In Apr, focus may shift to positive factors which include improved clarity on US rate after FOMC meeting, better guidances for 1Q23 result and favourable policies after NPC/CPPCC.

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Feb 20
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Baidu, Country Garden, Zhongsheng, Alibaba, Li Ning
  • Hong Kong Connect Flows (Feb 17th): Meituan, Xiaomi, Tencent
  • A-H Premium Weekly (Feb 17th): China Shenhua, PetroChina, GWM, First Tractor
  • Northbound Flows (Feb 17th): CATL, Sany Heavy, Hundsun, Ping An Insurance, CMB, Eve Energy
  • TWSE Short Interest Weekly (Feb 17th): Yageo, Yulon Motor, Nuvoton Tech, Airtac

HK Short Interest Weekly: Baidu, Country Garden, Zhongsheng, Alibaba, Li Ning

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Feb 10th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Bidu, Country Garden, Zhongsheng, Baba, Li Ning.

Hong Kong Connect Flows (Feb 17th): Meituan, Xiaomi, Tencent

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of February 17th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We estimate the total inflows to be USD 960m and  highlight flows for Meituan, Xiaomi, Tencent.

A-H Premium Weekly (Feb 17th): China Shenhua, PetroChina, GWM, First Tractor

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 109.6% as of Feb 17th.
  • The average A-H premium changed by -2.3ppt week on week, led by consumer discretionary, health care, energy and offset by communication services, consumer staples, materials.
  • We highlight weekly changes in A-H premium for China Shenhua, PetroChina, GWM, First Tractor.

Northbound Flows (Feb 17th): CATL, Sany Heavy, Hundsun, Ping An Insurance, CMB, Eve Energy

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of February 17th.
  • We estimate the weekly inflows to be US$1,241.6 million, led by industrials, consumer discretionary, information technology sectors, and offset by financials, utilities.
  • We highlight flows for Contemporary Amperex Technology, Sany Heavy Industry, Hundsun Technologies, Ping An Insurance, China Merchants Bank, Eve Energy.

TWSE Short Interest Weekly (Feb 17th): Yageo, Yulon Motor, Nuvoton Tech, Airtac

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Feb 17th which has an aggregated short interest worth USD11.5bn.
  • 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, Yulon Motor, Nuvoton Tech, Airtac.

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Feb 18
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Feb 17th): Great Wall Motor and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Feb 17th): Great Wall Motor, Esr, Sunshine Paper

Hong Kong Buybacks Weekly (Feb 17th): Great Wall Motor, Esr, Sunshine Paper

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Feb 17th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Great Wall Motor (2333 HK), Esr (1821 HK), Sunshine Paper (2002 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), Great Wall Motor (2333 HK).

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Feb 17
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Feb 10th): Newcrest and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Feb 10th): Newcrest, Rio Tinto, Suncorp, Insurance Australia,

ASX Short Interest Weekly (Feb 10th): Newcrest, Rio Tinto, Suncorp, Insurance Australia,

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Feb 10th (reported today) 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 Newcrest Mining, Rio Tinto, Suncorp, Insurance Australia, Woodside Energy, Wesfarmer.

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Feb 15
0

Daily Brief Quantitative Analysis: What’s My International Exposure? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • What’s My International Exposure?

What’s My International Exposure?

By Nicolas Rabener

  • The S&P 500 has meaningful exposure to the international markets.
  • And measuring geographical exposure can be done top-down or bottom-up
  • Comparing top-down vs bottom-up approaches. However, both approaches have flaws

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Feb 13
0

Daily Brief Quantitative Analysis: Northbound Flows (Feb 10th): Ping An Insurance and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows (Feb 10th): Ping An Insurance, CATL, Moutai, Luzhou Lao Jiao, Hundsun
  • HK Short Interest Weekly: Short Covers for Tencent, Baba, Anta, Wuxi Biologics
  • Hong Kong Connect Flows (Feb 10th): Meituan, HKEx, ICBC, CCB, Kuaishou, Tencent, Li Ning
  • A-H Premium Weekly (Feb 10th): Premium Compressed for Utilities
  • TWSE Short Interest Weekly (Feb 10th): Evergreen Marine, Unimicron Tech, Novatek

Northbound Flows (Feb 10th): Ping An Insurance, CATL, Moutai, Luzhou Lao Jiao, Hundsun

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of February 10th.
  • We estimate the weekly inflows to be US$456.0 million, led by financials, information technology, utilities sectors, and offset by materials, consumer discretionary.
  • We highlight flows for Ping An Insurance, Contemporary Amperex Technology, Kweichow Moutai, Luzhou Lao Jiao, Hundsun Technologies, Byd, Midea, Tongwei, Trina Solar

HK Short Interest Weekly: Short Covers for Tencent, Baba, Anta, Wuxi Biologics

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Feb 3rd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Bidu, Manulife, Mengniu Dairy, CDF, Tencent, Baba, Anta Sports, Wuxi Bio.

Hong Kong Connect Flows (Feb 10th): Meituan, HKEx, ICBC, CCB, Kuaishou, Tencent, Li Ning

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of February 10th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Meituan, Hong Kong Exchanges And Clearing, Industrial And Commercial Bank Of China, China Construction Bank, Kuaishou Technology, Tencent, Li Ning.

A-H Premium Weekly (Feb 10th): Premium Compressed for Utilities

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 Feb 10th.
  • The average A-H premium changed by 3.6ppt week on week, led by health care, consumer discretionary, information technology and offset by real estate.
  • We highlight weekly changes in A-H premium for Great Wall Motor, Huadian, Huaneng, Datang Intl.

TWSE Short Interest Weekly (Feb 10th): Evergreen Marine, Unimicron Tech, Novatek

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Feb 10th which has an aggregated short interest worth USD11.5bn.
  • 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 Evergreen Marine, Unimicron Tech, Novatek.

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Feb 11
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Feb 10th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Feb 10th): Aia, Esr, Sunshine Paper

Hong Kong Buybacks Weekly (Feb 10th): Aia, Esr, Sunshine Paper

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Feb 10th 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), Esr (1821 HK), Sunshine Paper (2002 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), Esr (1821 HK).

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Feb 10
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Feb 3rd): Coles and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Feb 3rd): Coles, Bhp, Northern Star, Macquarie, Xero

ASX Short Interest Weekly (Feb 3rd): Coles, Bhp, Northern Star, Macquarie, Xero

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Feb 3rd (reported today) which has an aggregated short interest worth USD16.3bn.
  • 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 Coles, Bhp, Northern Star, Macquarie, Xero.

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Feb 09
0

Daily Brief Quantitative Analysis: Growth ETFs: Performance & Factor Exposures and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Growth ETFs: Performance & Factor Exposures

Growth ETFs: Performance & Factor Exposures

By Nicolas Rabener

  • Growth ETFs are not very differentiated, despite growth having various interpretations
  • 34 out of 40 growth ETFs underperformed the stock market over the last 3 years
  • And neither performance nor factor exposures are desirable. Also, long-term performance attractive not attractive.

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