Category

Quantitative Analysis

Feb 06
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Li Ning and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Li Ning, Ccb, Beigene, Hworld, Hutchmed
  • A-H Premium Weekly (Feb 3rd): Great Wall Motor, CICC, Shanghai Haohai, Chalieco, Cosco Ship
  • Hong Kong Connect Flows (Feb 3rd): Meituan, Sensetime, Tencent, CCB, HKEx
  • Northbound Flows (Feb 3rd): CATL, CMB, Longi Green, Ping An Insurance, Byd, Kweichow Moutai
  • TWSE Short Interest Weekly (Feb 3rd): Cathay Financial, Novatek, Evergreen Marine, Mediatek

HK Short Interest Weekly: Li Ning, Ccb, Beigene, Hworld, Hutchmed

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jan 27th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Li Ning, Ccb, Beigene, Hworld, Hutchmed.

A-H Premium Weekly (Feb 3rd): Great Wall Motor, CICC, Shanghai Haohai, Chalieco, Cosco Ship

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 109.4% as of Feb 3rd.
  • The average A-H premium changed by 6.3ppt week on week, led by consumer staples, real estate, materials.
  • We highlight weekly changes in A-H premium for Great Wall Motor, CICC, Shanghai Haohai, Chalieco, Cosco Ship.

Hong Kong Connect Flows (Feb 3rd): Meituan, Sensetime, Tencent, CCB, HKEx

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of February 3rd.
  • 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, Sensetime, Tencent, China Construction Bank, Hong Kong Exchanges And Clearing.

Northbound Flows (Feb 3rd): CATL, CMB, Longi Green, Ping An Insurance, Byd, Kweichow Moutai

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of February 3rd.
  • We estimate the weekly inflows to be US$5,078.8 million, led by industrials, financials, information technology sectors, and offset by utilities, real estate.
  • We highlight flows for CATL, CMB, Longi Green, Ping An Insurance, Byd, Kweichow Moutai.

TWSE Short Interest Weekly (Feb 3rd): Cathay Financial, Novatek, Evergreen Marine, Mediatek

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Feb 3rd 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 Cathay Financial, Novatek, Evergreen Marine, Mediatek, China Devt.

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Feb 04
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Feb 3rd): AIA and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Feb 3rd): AIA, ESR, Sunshine Paper

Hong Kong Buybacks Weekly (Feb 3rd): 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 3rd 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 03
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: CMB, Baba, Wuxi Apptec
  • ASX Short Interest Weekly (Jan 27th): Anz, Metcash, Seek, Perpetual
  • Screening for GEMs: February 2023
  • Hong Kong Connect Flows Monthly: Health Care Led Inflows in Jan
  • Northbound Flows Monthly: $21bn Inflows in January

HK Short Interest Weekly: CMB, Baba, Wuxi Apptec

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jan 20th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Cm Bank, Baba, Wuxi Apptec.

ASX Short Interest Weekly (Jan 27th): Anz, Metcash, Seek, Perpetual

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jan 27th (reported today) which has an aggregated short interest worth USD16.9bn.
  • 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 Anz Group Holding, Westpac Banking, Metcash, Seek, Idp Education, Perpetual, Pilbara Minerals, Qbe Insurance, Nickel Industries.

Screening for GEMs: February 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.

Hong Kong Connect Flows Monthly: Health Care Led Inflows in Jan

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 flows of China Mobile, BYD, Simcere, ICBC, CNOOC, Meituan, Geely, CCB, Country Garden Services, Anta. 

Northbound Flows Monthly: $21bn Inflows in January

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine. 
  • Financial, information technology and industrials led the inflow in Jan.
  • We highlight inflows into CATL, Moutai, Ping An Insurance, Longi Green, Wuliangye.

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Feb 01
0

Daily Brief Quantitative Analysis: Equity & Bond Correlations – Higher than Assumed? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Equity & Bond Correlations – Higher than Assumed?

Equity & Bond Correlations – Higher than Assumed?

By Nicolas Rabener

  • Using monthly versus daily returns when calculating correlations can change the perspective
  • Foreign stock markets and US bond markets were highly correlated to US stocks using monthly returns
  • Diversification benefits may have been significantly overstated using daily returns

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Jan 28
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jan 27th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jan 27th): Aia, Esr, China Yongda

Hong Kong Buybacks Weekly (Jan 27th): Aia, Esr, China Yongda

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jan 27th 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), China Yongda Automobiles Services (3669 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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Jan 27
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jan 20th): Pilbara and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jan 20th): Pilbara, Seek, Coles, Northern Star, Mineral Resource

ASX Short Interest Weekly (Jan 20th): Pilbara, Seek, Coles, Northern Star, Mineral Resource

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jan 20th (reported today) which has an aggregated short interest worth USD16.9bn.
  • 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 Pilbara Minerals, Seek, Coles, Northern Star Re, Mineral Resource.

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Jan 26
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Jan 20th): Haier Smart Home and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Jan 20th): Haier Smart Home, Weichai Power, Fuyao Glass, China Shenhua
  • Hong Kong Connect Flows (Jan 20th): China Mobile, Tencent, Meituan, CCB, HKEX
  • Northbound Flows (Jan 20th): $7.1bn Inflows Before CNY

A-H Premium Weekly (Jan 20th): Haier Smart Home, Weichai Power, Fuyao Glass, China 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 106.3% as of Jan 20th.
  • The average A-H premium changed by -2.6ppt week on week, led by financials, consumer staples, energy and offset by health care.
  • We highlight weekly changes in A-H premium for Haier Smart Home, Weichai Power, Fuyao Glass, China Shenhua, CSSC Offshore, Huaxin Cement, China Oilfield, CICC, China Life.

Hong Kong Connect Flows (Jan 20th): China Mobile, Tencent, Meituan, CCB, HKEX

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of January 20th.
  • 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, Meituan, China Construction Bank, Hong Kong Exchanges And Clearing.

Northbound Flows (Jan 20th): $7.1bn Inflows Before CNY

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of January 20th.
  • We estimate the weekly inflows to be US$7,139.5 million, led by information technology, industrials, materials sectors, and offset by real estate.
  • We highlight flows for Kweichow Moutai, CATL, Wuliangye, Ping An Insurance, BOE.

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Jan 25
0

Daily Brief Quantitative Analysis: What Are Growth Stocks? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • What Are Growth Stocks?
  • HK Short Interest Weekly: Ping An, Li Ning, Icbc, Jiumaojiu

What Are Growth Stocks?

By Nicolas Rabener

  • Growth stocks can be defined via valuations, fundamentals, or performance
  • These stocks have generated essentially zero excess returns since 2005
  • Neither has the inverse basket (low valuations, low growth, low momentum

HK Short Interest Weekly: Ping An, Li Ning, Icbc, Jiumaojiu

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jan 13th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Ping An, Li Ning, Icbc, Jiumaojiu.

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Jan 23
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Jan 20th): Alexander Marine and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Jan 20th): Alexander Marine

TWSE Short Interest Weekly (Jan 20th): Alexander Marine

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jan 20th 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.
  • Short interest decreased by 0.4% last week. We highlight short interest changes in Alexander Marine.

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Jan 20
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jan 13th): Anz and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jan 13th): Anz, Woodside, Northern Star, BHP
  • Hong Kong Buybacks Weekly (Jan 20th): Tencent, Aia, China Agri-Industries

ASX Short Interest Weekly (Jan 13th): Anz, Woodside, Northern Star, BHP

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jan 13th (reported today) which has an aggregated short interest worth USD17.4bn.
  • 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 Anz, Woodside Energy, Northern Star, Bhp, Pexa, Lynas Rare Earth, Champion Iron, Macquarie, Qbe Insurance.

Hong Kong Buybacks Weekly (Jan 20th): Tencent, Aia, China Agri-Industries

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jan 20th 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), China Agri-Industries (606 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), Great Wall Motor (2333 HK).

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