Category

Quantitative Analysis

Aug 15
0

Daily Brief Quantitative Analysis: A-H Premium Weekly: Tianqi Lithium at New Lost Post H-Share IPO and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly: Tianqi Lithium at New Lost Post H-Share IPO
  • Hong Kong Connect Flows: Tencent, China Mobile, Meituan and Kuaishou
  • HK Short Interest: Alibaba, AIA, Country Garden Short Covers
  • Northbound Flows: Longi Green, Yili, BYD, Moutai

A-H Premium Weekly: Tianqi Lithium at New Lost Post H-Share IPO

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 of 142 A/H stocks are 116.5%, increased by 3.0ppt over last week.
  • The average A/H premium changed by 3.0ppt week on week, led by Real Estate, financials, and consumer discretionary sectors.
  • We highlight A/H premium changes of Great Wall Motor, Guangzhou Auto, Hisense Home, Tianqi Lithium, Jiangxi Copper, Angang Steel, Maanshan Iron, BBMG, Alcoa, Zoomlion, Cansino, Holly Futures, and ABC. 

Hong Kong Connect Flows: Tencent, China Mobile, Meituan and Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for connect holding position as of Aug 12th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight weekly inflows into Tencent, China Mobile and outflows from Meituan and Kuaishou.

HK Short Interest: Alibaba, AIA, Country Garden Short Covers

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Aug 5th. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short covers for Alibaba, AIA and Country Garden.

Northbound Flows: Longi Green, Yili, BYD, Moutai

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for connect holding as of Aug 12th.
  • Information, financials, and consumer discretionary sectors led the inflows of USD 1.2bn last week. 
  • We highlight inflows into Longi Green, Yili, BYD, Moutai, and outflows from Tongwei, Sanhua, TBEA, TCL Zhonghuan.

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Aug 13
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks: CK Asset

Hong Kong Buybacks: CK Asset

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 12th 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 Holdings (1113 HK), Yeebo (259 HK), Fih Mobile(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), Tencent (700 HK).

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Aug 10
0

Daily Brief Quantitative Analysis: Revisiting the Performance of TAA ETFs and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Revisiting the Performance of TAA ETFs

Revisiting the Performance of TAA ETFs

By Nicolas Rabener

  • There has been a boom in launching tactical asset allocation ETFs
  • However, the recent track record of these has been poor
  • Declining stock and bond markets have created a challenging environment for these

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Aug 08
0

Daily Brief Quantitative Analysis: A-H Premium Weekly: Joinn Lab and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly: Joinn Lab, Zoomlion, Shandong Xinhua, Zheshang Bank, Sinopec Shanghai Petrochem
  • Northbound Flows: Sanhua, Baoshan Iron, Sungrow, Han’s Laser, Changchun High
  • Hong Kong Connect Flows: Tencent, Ganfeng Lithium, Meituan, Kuaishou, Wuxi Biologics
  • HK Short Interest: Kuaishou, Alibaba, Cifi, Netease

A-H Premium Weekly: Joinn Lab, Zoomlion, Shandong Xinhua, Zheshang Bank, Sinopec Shanghai Petrochem

By Ke Yan, CFA, FRM

  • We analyse the changes of A/H premium on 141 stocks over the last week. The average A/H premium changed by -1.7ppt over the past one week.
  • A-H Premium decline was led by consumer discretionary, consumer staples, and real estates, offset by the A-H premium increase of health care sector.
  • We highlight changes in A-H premium for Angang Steel, Chongqing Ireon, China Merchants Securities, COSCO Ship Eng, Joinn Lab, Zoomlion, Shandong Xinhua, Zheshang Bank, Sinopec Shanghai Petrochem.

Northbound Flows: Sanhua, Baoshan Iron, Sungrow, Han’s Laser, Changchun High

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for record date as of Aug 5th.
  • Outflows from financials, industrials, materials were offset by inflows into information technology, consumer staples and health care.
  • We highlight outflows from Sanhua, Baoshan Iron, Sungrow, Han’s Laser, Changchun High & New Tech.

Hong Kong Connect Flows: Tencent, Ganfeng Lithium, Meituan, Kuaishou, Wuxi Biologics

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for record date as of August 5th.
  • 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, Ganfeng Lithium, Meituan, Kuaishou, Wuxi Biologics.

HK Short Interest: Kuaishou, Alibaba, Cifi, Netease

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 29th. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short interest changes in Kuaishou, Alibaba, Cifi, and Netease.

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Aug 06
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks: Town Health and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks: Town Health, Neuedu, Sirnaomics

Hong Kong Buybacks: Town Health, Neuedu, Sirnaomics

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 5th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Town Health International Medical (3886 HK), Neuedu (9616 HK), Sirnaomics-B (2257 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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Aug 03
0

Daily Brief Quantitative Analysis: Northbound Flows Monthly (July): Financials and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows Monthly (July): Financials, Industrials and Materials Led Outflows
  • Defining Tactical Asset Allocation
  • Screening for GEMs: August 2022

Northbound Flows Monthly (July): Financials, Industrials and Materials Led Outflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine. Northbound investors are selling A-share stocks worth USD 2.9bn in July.
  • The outflows were led by the financials, industrials, and materials sectors.
  • We highlight flows for Shenzhen Mindray, Zhejiang Huayou, Tianqi Lithium, Yunnan Energy New Material, Moutai, Sungrow, Ping An Bank, Wuxi Lead, Zhejiang Sanhua, Industrial Bank.

Defining Tactical Asset Allocation

By Nicolas Rabener

  • Tactical asset allocation ETFs charge high fees (0.92% pa) that need to be justified
  • The active share of TAA strategies can be measured via regression analysis
  • High active share does not automatically create value, but offers value-creation potential

Screening for GEMs: August 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 02
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows Monthly (July): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows Monthly (July): Tencent, Li Auto, GCL

Hong Kong Connect Flows Monthly (July): Tencent, Li Auto, GCL

By Ke Yan, CFA, FRM

  • We analyze the monthly Hong Kong Connect flows with our data engine. We estimated that inflows to HK market were USD 1.7bn in July.
  • We tabulate the top stocks by inflows, outflows, and holding by mainland investors. Inflows were driven by real estate, industrials, and communication services.
  • We highlight monthly flows of Tencent, Li Auto, GCL, Xiaomi, Meituan, GWM, Wuxi Biologics, HKEx.

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Aug 01
0

Daily Brief Quantitative Analysis: HK Short Interest: Wuxi Biologics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest: Wuxi Biologics, Techtronic, Tencent, XPeng
  • Hong Kong Connect Flows: Tencent, Wuxi Biologics, China Mobile
  • A-H Premium Weekly: Chalco, Huaxin Cement, Chongqing Iron, CMS, Cosco Ship Eng, QHD Port
  • Northbound Flows: Huayou Cobalt, CMB, Zhongtian Tech, TCL

HK Short Interest: Wuxi Biologics, Techtronic, Tencent, XPeng

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 22nd. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short interests changes in Wuxi Biologics, Techtronic, Tencent, XPeng.

Hong Kong Connect Flows: Tencent, Wuxi Biologics, China Mobile

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding as of July  29th.
  • 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, Wuxi Biologics, and China Mobile.

A-H Premium Weekly: Chalco, Huaxin Cement, Chongqing Iron, CMS, Cosco Ship Eng, QHD Port

By Ke Yan, CFA, FRM

  • We analyse the changes of A/H premium on 141 stocks over the last week.
  • Average A/H premium changed by 1.3ppt last week, led by consumer staple, consumer discretionary and offset by financials and materials.
  • We highlight stocks reached 52 week high of A-H premium: Chalco, Huaxin Cement, Chongqing Iron, CMS, Cosco Ship Eng, QHD Port.

Northbound Flows: Huayou Cobalt, CMB, Zhongtian Tech, TCL

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding as of July 29th. 
  • Inflows into information technology were offset by outflows from industrials and consumer staple.
  • We highlight weekly flows for Zhejiang Huayou Cobalt, CMB, Zhongtian Tech, TCL, Zhejiang Sanhua, Sungrow Power and SF Holding.

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Jul 30
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks: Great Wall Motor and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks: Great Wall Motor, AIA, Pop Mart

Hong Kong Buybacks: Great Wall Motor, AIA, Pop Mart

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jul 29th 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), Aia (1299 HK), Pop Mart (9992 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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Jul 27
0

Daily Brief Quantitative Analysis: Carbon ETFs: Making Money from Air and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Carbon ETFs: Making Money from Air

Carbon ETFs: Making Money from Air

By Nicolas Rabener

  • The carbon credit market is complicated and carbon credit prices vary significantly across markets.
  • The price increased by more than 100% since 2020, but it has been highly volatile
  • Investors can get carbon exposure via ETFs, but applying trend-following strategies is sounder

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