Category

Quantitative Analysis

Sep 03
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly: Buyback at 1Y High and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly: Buyback at 1Y High
  • Hong Kong Connect Flows Monthly (August): $1bn into Tencent
  • Northbound Flows Monthly (August): CATL, Longi, Yunnan Energy New Material

Hong Kong Buybacks Weekly: Buyback at 1Y High

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 2nd 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), Ck Asset Holdings (1113 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).

Hong Kong Connect Flows Monthly (August): $1bn into Tencent

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, Tianqi, Li Auto, Country Garden Services, Li Ning and outflows from Meituan, Kuaishou, HKEx, GWM, Anta. 

Northbound Flows Monthly (August): CATL, Longi, Yunnan Energy New Material

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • We estimate that the inflows were USD 2,169.3 million last month, led by consumer staples and industrials.
  • We highlight flows for CATL, Longi Green, Yunnan Energy New Material, Yili, Moutai, Sanhua, Sungrow, Tbea, CMB, Beijing Oriental Yuhong. 

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Sep 02
0

Daily Brief Quantitative Analysis: Screening for GEMs: September 2022 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: September 2022

Screening for GEMs: September 2022

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 top100 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 over 2 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.

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Aug 31
0

Daily Brief Quantitative Analysis: What Is Wrong with Inverse ETFs? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • What Is Wrong with Inverse ETFs?

What Is Wrong with Inverse ETFs?

By Nicolas Rabener

  • Inverse ETFs come with significant risk disclosure because they are especially risky
  • And analyzing the performance of these products justifies the warnings
  • There is a significant difference between the performance of inverse ETFs & the underlying inverse indices

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Aug 29
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows: Meituan Outflows Before 1H Results and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows: Meituan Outflows Before 1H Results
  • Northbound Flows (Aug 27th): Longi Green, Xinjiang Goldwind
  • TWSE Short Interest Weekly (Aug 26th): EVA Airways, Alchip, Faraday
  • A-H Premium Weekly (Aug 26th): China Telecom, China Life, Huaneng Power, Chongqing Iron, CICC

Hong Kong Connect Flows: Meituan Outflows Before 1H Results

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of August 26th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for CNOOC, Meituan and Hong Kong Exchange.

Northbound Flows (Aug 27th): Longi Green, Xinjiang Goldwind

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of August 26th. We estimate weekly outflows to be USD644m. 
  • Information technology, financial and health care led the outflows while consumer staples, material and utilities led the inflows.
  • We highlight flows for Tongwei, Moutai, Yunan Energy New Material, Ganfeng Lithium, Longi Green and Xinjiang Goldwind.

TWSE Short Interest Weekly (Aug 26th): EVA Airways, Alchip, Faraday

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Aug 26th, which has an aggregated short interest worth USD 12.9bn. 
  • 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 EVA Airways, Alchip, and Faraday. 

A-H Premium Weekly (Aug 26th): China Telecom, China Life, Huaneng Power, Chongqing Iron, CICC

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 112.0% as of Aug 26th.
  • The average A-H premium changed by 0.4ppt, led by Financials, Utilities and offset by Information Technology, Real Estate, Consumer Discretionary. 
  • We highlight weekly changes in A-H premium for China Telecom, China Life, Huaneng Power, Chongqing Iron, CICC.

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Aug 27
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly: Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly: Tencent, Xiaomi, Swire Pacific

Hong Kong Buybacks Weekly: Tencent, Xiaomi, Swire Pacific

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Aug 26th 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), Xiaomi (1810 HK), Swire Pacific (19 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Ck Asset Holdings(1113 HK), Great Wall Motor (2333 HK).

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Aug 26
0

Daily Brief Quantitative Analysis: Hong Kong: Where Have Shorts Been Building Up? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong: Where Have Shorts Been Building Up?

Hong Kong: Where Have Shorts Been Building Up?

By Brian Freitas

  • Short notional in Hong Kong is HK$439bn and has been falling over the last 18 months due to a drop in the market.
  • In terms of short notional to issue market cap, the Information Technology, Materials, Health Care and Consumer Discretionary sectors are up there, with Communication Services, Real Estate the least shorted.
  • Over the year, the largest shorts in terms of notional have been built on Xiaomi Corp, Meituan, JD.com, AIA Group Ltd, Postal Savings Bank of China, Orient Overseas, Techtronic Industries.

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Aug 24
0

Daily Brief Quantitative Analysis: Long Volatility Strategies Versus Tactical Asset Allocation and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Long Volatility Strategies Versus Tactical Asset Allocation

Long Volatility Strategies Versus Tactical Asset Allocation

By Nicolas Rabener

  • Long volatility strategies are attractive diversifiers, but complex and not easily accessible.
  • Tactical asset allocation for equities may be considered as an alternative.
  • And there is no clear winner between these two options.

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Aug 22
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Aug 19th): Zoomlion and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Aug 19th): Zoomlion, Cansino, China Telecom, Tianqi Lithium
  • HK Short Interest: Sunny Optical, Xpeng, and Hua Hong Semiconductor
  • TWSE Short Interest Weekly (Aug 19th): Yang Ming Marine, Silergy, Nan Ya
  • Hong Kong Connect Flows: Meituan, Kuaishou
  • Northbound Flows: CATL, Longi Green

A-H Premium Weekly (Aug 19th): Zoomlion, Cansino, China Telecom, Tianqi Lithium

By Ke Yan, CFA, FRM

  • We analyse the changes of A/H premium on 142 stocks over the last week.
  • A-H premium declined by 0.6ppt wow, led by health care, communication services and real estate sector, and offset by the increase in consumer staple and consumer discretionary. 
  • We highlight A-H premium changes for Zoomlion, Cansino, China Telecom, Tianqi Lithium, YOFC, Flat Glass, CSSC Offshore and Shanghai Fudan Microelectronics.

HK Short Interest: Sunny Optical, Xpeng, and Hua Hong Semiconductor

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Aug 12th. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight changes of short interest for Sunny Optical, Xpeng, and Hua Hong Semiconductor.

TWSE Short Interest Weekly (Aug 19th): Yang Ming Marine, Silergy, Nan Ya

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE stocks last week which has an aggregated short interest worth USD 13.3bn. 
  • We highlight short interest changes in Yang Ming Marine, Silergy, Nan Ya Printed, Powerchip, Unimicron, and Evergreen Marine.
  • Top shorts in the market were UMC, Taiwan Cement, and Yang Ming Marine. 

Hong Kong Connect Flows: Meituan, Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding as of Aug 19th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight weekly outflows from Meituan (3690 HK) and Kuaishou Technology (1024 HK).

Northbound Flows: CATL, Longi Green

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding as of Aug 19th.
  • We estimate the inflows were $940m, led by industrial, financial and material led the inflow, and offset by outflows in from health care stocks.
  • We highlight northbound inflows into CATL and Longi Green from offshore investors. 

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Aug 20
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly: CK Asset and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly: CK Asset, ASMPT

Hong Kong Buybacks Weekly: CK Asset, ASMPT

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Aug 19th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Ck Asset (1113 HK), ASMPT (522 HK), FIH Mobile Limited (2038 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), CK Asset (1113 HK).

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Aug 18
0

Daily Brief Quantitative Analysis: Outperformance Ain’t Alpha and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Outperformance Ain’t Alpha

Outperformance Ain’t Alpha

By Nicolas Rabener

  • Do we know outperformance and alpha are not the same?
  • One is the difference from a benchmark, the other is the unexplained return
  • A contribution analysis helps understand the return drivers, let’s dive in deeper!

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