Category

Quantitative Analysis

Sep 28
0

Daily Brief Quantitative Analysis: How Much Can You Lose with Bonds? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • How Much Can You Lose with Bonds?

How Much Can You Lose with Bonds?

By Nicolas Rabener

  • Bonds are typically considered safe investments. However, there were decades of negative real returns
  • Most investors have portfolios predominantly comprised of bonds and stocks. Drawdowns reached 50% for U.S. Treasuries and Bonds.
  • In this research note, we explore how much money can be lost with bonds. 

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Sep 26
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Sep 23rd): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Sep 23rd): Tencent, CNOOC
  • A-H Premium Weekly (Sep 23rd): China Tourism A-H at All Time Low
  • Northbound Flows (Sep 23rd): Tianqi Lithium, Midea Group, Moutai, Sungrow

Hong Kong Connect Flows (Sep 23rd): Tencent, CNOOC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of September 23rd.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight three weeks of inflows despite weak market sentiment and flows into Tencent and CNOOC.

A-H Premium Weekly (Sep 23rd): China Tourism A-H at All Time Low

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 142 stocks over the last week. The average A-H premium was 119.5% as of Sep 23rd.
  • The average A-H premium changed by 3.8ppt weeok on week, led by energy, financials, materials and offset by consumer staples, information technology.
  • We highlight weekly changes in A-H premium for Angang, Flat Glass, Zoomlion, China Tourism, China Telecom.

Northbound Flows (Sep 23rd): Tianqi Lithium, Midea Group, Moutai, Sungrow

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of September 23rd.
  • We estimate the weekly outflows to be US$854.1 million, led by industrials, consumer staples, and offset by communication services, consumer discretionary, real estate.
  • We highlight flows for Tianqi Lithium, Midea Group, Moutai, Sungrow.

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Sep 18
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Sep 16th): Chinese Buying Wuxi Biologics After Biden’s New Executive Order and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Sep 16th): Chinese Buying Wuxi Biologics After Biden’s New Executive Order
  • A-H Premium Weekly (Sep 16th): Angang, CIMC, Zoomlion, Huatai, Tianqi Lithium
  • Northbound Flows (Sep 16th): Ping An Insurance, Shaanxi Coal, CMB and CATL
  • TWSE Short Interest Weekly (Sep 16th): Short Spikes For Formosa Plastics, Hon Hai

Hong Kong Connect Flows (Sep 16th): Chinese Buying Wuxi Biologics After Biden’s New Executive Order

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of September 16th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight inflows into Wuxi Biologics (Cayman) Inc and CNOOC. 

A-H Premium Weekly (Sep 16th): Angang, CIMC, Zoomlion, Huatai, Tianqi Lithium

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 142 stocks over the last week. The average A-H premium was 113.9% as of Sep 16th.
  • The average A-H premium changed by -4.6ppt weeok on week, led by financials,  communication services, health care, and offset by consumer staples, consumer discretionary, utilities.
  • We highlight weekly changes in A-H premium for Angang, CIMC, Zoomlion, Huatai securities, Tianqi Lithium, China Telecom.

Northbound Flows (Sep 16th): Ping An Insurance, Shaanxi Coal, CMB and CATL

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of September 16th.
  • We estimate the weekly outflows to be US$850.0 million, led by financials, industrials, and offset by information technology, energy.
  • We highlight flows for Ping An Insurance, Shaanxi Coal, CMB and CATL.

TWSE Short Interest Weekly (Sep 16th): Short Spikes For Formosa Plastics, Hon Hai

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 16th which has an aggregated short interest worth USD12.7bn.
  • 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 China Airlines, Powerchip, Formasa Plastics, Hon Hai, Alchip, Asustek, Yageo, Innolux.

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Sep 17
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Sep 16th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Sep 16th): Tencent, AIA, Xiaomi, Swire, Fosun Intl

Hong Kong Buybacks Weekly (Sep 16th): Tencent, AIA, Xiaomi, Swire, Fosun Intl

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Sep 16th 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), Great Wall Motor (2333 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), Xiaomi (1810 HK).

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Sep 15
0

Daily Brief Quantitative Analysis: Tencent/Netease: September Batch of Game Approval & Thoughts on Trading and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Tencent/Netease: September Batch of Game Approval & Thoughts on Trading
  • Sector Vs Factor-Based Benchmark Selection

Tencent/Netease: September Batch of Game Approval & Thoughts on Trading

By Ke Yan, CFA, FRM

  • China just announced game approval for September batch. More games were approved in September compared to July, June and August.
  • Pace of China game approval continued to pick up albeit at a much slower pace than pre-tightening.
  • Tencent continue to score zero and Netease managed to get one game approved in 14 months. 

Sector Vs Factor-Based Benchmark Selection

By Nicolas Rabener

  • Manager-Selected benchmarks are suboptimal as they are not free of conflict of interests
  • Perhaps, investors can use sectors to identify more appropriate benchmarks
  • However, this ignores factors, which are better at explaining investment returns

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Sep 12
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Sep 9th): Huadian and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Sep 9th): Huadian, CGN Power, GWM
  • Hong Kong Connect Flows (Sep 9th): Tencent, BYD, Sensetime, Meituan
  • Northbound Flows (Sep 9th): Longi Green, Zijin, Aier Eye, Moutai, CMB, Tongwei, Luxshare

A-H Premium Weekly (Sep 9th): Huadian, CGN Power, GWM

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 142 stocks over the last week. The average A-H premium was 118.5% as of Sep 9th.
  • The average A-H premium changed by 1.3ppt week-on-week, led by utilities, consumer staples, financials and offset by health Care, consumer discretionary, communication services. 
  • We highlight weekly changes in A-H premium for Huadian, CGN Power, GWM, Tigermed, Angang, CIMC, Zoomlion, Tianqi Lithium, CIMC Vehicles, CNOOC.

Hong Kong Connect Flows (Sep 9th): Tencent, BYD, Sensetime, Meituan

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of September 9th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight inflows into Tencent, BYD, Sensetime and outflows from Meituan.

Northbound Flows (Sep 9th): Longi Green, Zijin, Aier Eye, Moutai, CMB, Tongwei, Luxshare

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of September 9th.
  • We estimate the weekly outflows to be US$32.0 million, led by consumer staples, information technology, and offset by materials, health care, financials.
  • We highlight inflows into Longi Green, Zijin, Aier Eye, and outflows from Moutai, CMB, Tongwei, Luxshare. 

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Sep 11
0

Daily Brief Quantitative Analysis: HK Short Interest: Short Spike for Tech Stocks and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest: Short Spike for Tech Stocks
  • TWSE Short Interest Weekly (Sep 8th): Taiwan Cement, Realtek, Formosa Plastics

HK Short Interest: Short Spike for Tech Stocks

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Sep 2nd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short spike for Tencent, Meituan, Jd.com, Baidu, and Cosco Shipping.

TWSE Short Interest Weekly (Sep 8th): Taiwan Cement, Realtek, Formosa Plastics

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 8th 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 Taiwan Cement, Realtek, Formosa Plastics, China Airlines, Innolux.

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Sep 10
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Sep 9th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Sep 9th): Tencent, AIA, Xiaomi

Hong Kong Buybacks Weekly (Sep 9th): Tencent, AIA, Xiaomi

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Sep 9th 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), Xiaomi (1810 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), Ck Asset (1113 HK).

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Sep 07
0

Daily Brief Quantitative Analysis: Mirror and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Mirror, Mirror on the Wall, Which Is the Fairest Benchmark of Them All?

Mirror, Mirror on the Wall, Which Is the Fairest Benchmark of Them All?

By Nicolas Rabener

  • Evaluating manager performance is difficult as it requires an appropriate benchmark
  • The manager’s benchmark selection is often not objective given conflicts of interests
  • Factor exposure analysis can be used to systematically identify the best benchmark

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Sep 05
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Sep 2nd): Yang Ming and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Sep 2nd): Yang Ming, Evergreen, Largan
  • A-H Premium Weekly (Sep 2nd): Remegen, Huaxin, Huatai, Tianqi Lithium
  • Hong Kong Connect Flows: Tencent, Kuaishou
  • Northbound Flows (Sep 2nd): GREE, CATL, Longi Green, BOE Technology
  • HK Short Interest: BYD, China Power Intl

TWSE Short Interest Weekly (Sep 2nd): Yang Ming, Evergreen, Largan

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 2nd which has an aggregated short interest worth USD12.4bn.
  • 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 Yang Ming, Alchip, Catcher, Faraday, Via Tech, Evergreen Marine, Largan. 

A-H Premium Weekly (Sep 2nd): Remegen, Huaxin, Huatai, Tianqi Lithium

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 116.6% as of Sep 2nd.
  • The average A-H premium changed by 4.9ppt, led by Communication Services, Financials, Health Care and offset by Energy, Consumer Staples.
  • We highlight weekly changes in A-H premium for Remegen, Huaxin, Huatai, Tianqi Lithium, Shandong Gold.

Hong Kong Connect Flows: Tencent, Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of September 2nd.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight inflows for Tencent Holdings and outflows for Kuaishou Technology. 

Northbound Flows (Sep 2nd): GREE, CATL, Longi Green, BOE Technology

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of September 2nd.
  • We estimate inflows to be US D158m, led by information technology, Consumer Discretionary, industrials and offset materials, and consumer staples.
  • We highlight flows for GREE, CATL, Longi Green, BOE Technology, China Tourism, and Xinghuacun.

HK Short Interest: BYD, China Power Intl

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Aug 26th. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short interest changes in BYD and China Power Intl.

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