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Quantitative Analysis Archives | Page 22 of 74 | Smartkarma

Feb 06
0

Daily Brief Quantitative Analysis: The Evolution of Portfolio Management: Bridging Traditional Models and Machine Learning and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • The Evolution of Portfolio Management: Bridging Traditional Models and Machine Learning

The Evolution of Portfolio Management: Bridging Traditional Models and Machine Learning

By William Mann

  • Portfolio construction evolves from traditional Markowitz models to sophisticated machine learning approaches, integrating academic insights and practical implementation strategies.
  • Two primary methodological frameworks—thematic model grouping and consolidated alpha signal optimization—offer unique advantages in managing complex investment landscapes.
  • Research reveals sector-specific strategies can improve Sharpe ratios by 0.3-0.5, demonstrating the potential of advanced quantitative portfolio management techniques.

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Feb 05
0

Daily Brief Quantitative Analysis: The Long-Overdue NIFTY Index Rally: Let’s Talk About PROFIT TARGETS and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • The Long-Overdue NIFTY Index Rally: Let’s Talk About PROFIT TARGETS
  • EQD Intraday | Tariff Tantrum Impact on Intraday Volatility
  • Hong Kong Connect Flows (January): $18.1bn Inflows
  • S&P/ASX 200 Flashes a Strong Tactical BUY Signal
  • KRX Short Interest Weekly (Jan 31st): SK Hynix, Samsung Electronics, Skc

The Long-Overdue NIFTY Index Rally: Let’s Talk About PROFIT TARGETS

By Nico Rosti

  • The NIFTY Index (NIFTY INDEX) has been pullingback for 5 consecutive months. However the index may be at a juncture where it could start to rally and rise again.
  • This insight discusses the short-term (WEEKLY, for the next few weeks) tactical profit targets for the NIFTY.
  • According to our NIFTY WEEKLY model, the index has a good chance to reverse and go higher, as long as Trump suddenly does not put some tariffs also on India!

EQD Intraday | Tariff Tantrum Impact on Intraday Volatility

By Gaudenz Schneider

  • This Insight presents intraday data to illustrate regional volatility moves over the past one and a half trading days. 
  • Sunday’s US tariff announcement led to a global decline in equities and a spike in volatility on Monday. Asian indices began to recover today with a slight decrease in volatility.
  • Market reaction to Sunday’s announcement was short-lived, so far, and the impact on implied volatility muted. The risk of a renewed volatility spike to or above Monday’s intraday high’s remains.

Hong Kong Connect Flows (January): $18.1bn Inflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Hong Kong Connect flows with our data engine.
  • We tabulate the top stocks by inflows, outflows, and holding by mainland investors.
  • We highlight inflows into Tencent, SMIC, ICBC, China Mobile, Xiaomi and outflows from Meituan.

S&P/ASX 200 Flashes a Strong Tactical BUY Signal

By Nico Rosti

  • The S&P/ASX 200 (AS51 INDEX) last week closed up, reached an 8566.90 all time high peak on Jan 31st, then began a sharp pullback this Monday.
  • The pullback has just begun, but has already reached the WEEKLY OVERSOLD area (50% probability of reversal) according to out PRICE model
  • If the pullback continues this week or the next, we see it as a strong BUY opportunity, the index’s uptrend can continue after the pullback.

KRX Short Interest Weekly (Jan 31st): SK Hynix, Samsung Electronics, Skc

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Jan 31st which has an aggregated short interest worth USD3.8bn.
  • 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 SK Hynix, Samsung Electronics, Skc.

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Feb 03
0

Daily Brief Quantitative Analysis: Pullback In Sight for Weak China Mobile (0941 HK) and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Pullback In Sight for Weak China Mobile (0941 HK)
  • KRX Foreign Holding Weekly (Jan 31st): HD HYUNDAI ELECTRIC, Samsung Electronics, Hyundai Motor
  • Thailand Short Interest Weekly (Jan 31st): Bangkok Bank, Cal-Comp Electronics, Srisawad Power 1979

Pullback In Sight for Weak China Mobile (0941 HK)

By Nico Rosti

  • China Mobile (941 HK) closed up for 3 weeks in a row, but it is going nowhere. Our models indicate it has not even reached the Q1 (25%) resistance level.
  • This behavior is flagged as “short-term weakness” by our models and prelude to a possible pullback, beginning this coming week.
  • The stock should end its pull back between 72.85 and 72.25, it can be bought again from these levels.

KRX Foreign Holding Weekly (Jan 31st): HD HYUNDAI ELECTRIC, Samsung Electronics, Hyundai Motor

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Jan 31st which has an aggregated holding worth USD477.8bn.
  • We estimate that foreign flows to be inflows of USD237mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in HD HYUNDAI ELECTRIC, Samsung Electronics, Hyundai Motor.

Thailand Short Interest Weekly (Jan 31st): Bangkok Bank, Cal-Comp Electronics, Srisawad Power 1979

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Stock Exchange of Thailand as of Jan 31st.We estimate that they had an aggregated short interest worth USD2.0bn.
  • 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 Bangkok Bank, Cal-Comp Electronics, Srisawad Power 1979.

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Jan 28
0

Daily Brief Quantitative Analysis: Crude Oil: A Buying Opportunity Could Be Near and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Crude Oil: A Buying Opportunity Could Be Near

Crude Oil: A Buying Opportunity Could Be Near

By Nico Rosti

  • Crude Oil (CL1 COM COMDTY) has been pulling back last week, and this week started with another drop (in sync with falling US stocks).
  • The commodity may be reaching soon a a support area with a high probability of reversal. There are various conflicting forecasts for Oil, our forecast is only short-term.
  • Our Crude Oil model indicates the 74-70 support area as oversold, a reversal of the trend may begin from there, the trend could continue higher afterwards.

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Jan 27
0

Daily Brief Quantitative Analysis: Thailand Short Interest Weekly (Jan 24th): PTT Global Chemical and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Thailand Short Interest Weekly (Jan 24th): PTT Global Chemical, WHA, CP AXTRA NVDR
  • KRX Foreign Holding Weekly (Jan 24th): SK Hynix, Samsung Electronics, Hyundai Motor
  • TWSE Foreign Holding Weekly (Jan 24th): TSMC, UMC

Thailand Short Interest Weekly (Jan 24th): PTT Global Chemical, WHA, CP AXTRA NVDR

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Stock Exchange of Thailand as of Jan 24th.We estimate that they had an aggregated short interest worth USD2.0bn.
  • 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 PTT Global Chemical, WHA, CP AXTRA NVDR.

KRX Foreign Holding Weekly (Jan 24th): SK Hynix, Samsung Electronics, Hyundai Motor

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Jan 24th which has an aggregated holding worth USD491.9bn.
  • We estimate that foreign flows to be outflows of USD743mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in SK Hynix, Samsung Electronics, Hyundai Motor.

TWSE Foreign Holding Weekly (Jan 24th): TSMC, UMC

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Jan 24th which has an aggregated holding worth USD1,058.3bn.
  • We estimate that foreign flows to be inflows of USD573mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in TSMC (2330 TT), UMC (2303 TT).

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Jan 25
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jan 24th): Cosco Shipping and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jan 24th): Cosco Shipping, AIA, HSBC
  • Samsung Electronics (005930 KS) Primed for a Rally: Key Profit Targets

Hong Kong Buybacks Weekly (Jan 24th): Cosco Shipping, AIA, HSBC

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 24th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Cosco Shipping (1919 HK), AIA (1299 HK), HSBC (5 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), Anta (2020 HK).

Samsung Electronics (005930 KS) Primed for a Rally: Key Profit Targets

By Nico Rosti

  • Samsung Electronics (005930 KS) has been in a downtrend since mid July 2024. A base may be forming and the stock may begin a rally from here.
  • This insight will identify the WEEKLY profit targets for this possible rally: since the stock’s direction is unclear at the moment, strategic predictions risky, better be short-term tactical.
  • The stock currently has corrected for 2 weeks from the last close up, reaching the 50% support area, according to our Samsung Electronics quantitative LONG model.

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Jan 24
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jan 17th): Xero and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jan 17th): Xero, Wisetech Global, Aristocrat Leisure, Macquarie

ASX Short Interest Weekly (Jan 17th): Xero, Wisetech Global, Aristocrat Leisure, Macquarie

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jan 17th (reported today) which has an aggregated short interest worth USD22.4bn.
  • 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 Xero, Wisetech Global, Aristocrat Leisure, Macquarie.

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Jan 22
0

Daily Brief Quantitative Analysis: Toyota (7203 JP) Vs. TESLA (TSLA US) Vs. BYD (1211 HK): What to BUY and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Toyota (7203 JP) Vs. TESLA (TSLA US) Vs. BYD (1211 HK): What to BUY, What to SELL
  • KRX Short Interest Weekly (Jan 17th): Hlb

Toyota (7203 JP) Vs. TESLA (TSLA US) Vs. BYD (1211 HK): What to BUY, What to SELL

By Nico Rosti

  • In this insight we analyze 3 major automotive companies stocks in Japan US and China/Hong Kong: Toyota Motor (7203 JP) , Tesla (TSLA US) and BYD (1211 HK) .
  • All the 3 stocks have been uptrending for the past 3-4 years, with TESLA being the most volatile, followed by BYD, and then Toyota (most stable).
  • This insight is designed to evaluate how these stocks could perform in the next few weeks, to help allocation or covering/selling.

KRX Short Interest Weekly (Jan 17th): Hlb

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Jan 17th which has an aggregated short interest worth USD3.7bn.
  • 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 HLB Pharmaceutical Co. Ltd.

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Jan 21
0

Daily Brief Quantitative Analysis: If the NIFTY Relief Rally Takes Off and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • If the NIFTY Relief Rally Takes Off, Check These Profit Targets

If the NIFTY Relief Rally Takes Off, Check These Profit Targets

By Nico Rosti

  • The NIFTY Index (NIFTY INDEX) may be at the start of a rally that may be a relief rally, or it may turn into something longer-term, later.
  • We focus on the short-term, WEEKLY forecast (1 to 4 weeks usually), the NIFTY is at the end of a correction that we had anticipated in a previous insight.
  • Now we want to see how far this rally can go during the next few weeks, spoiler: NOT FAR! There could be another pullback, after this rally.

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Jan 20
0

Daily Brief Quantitative Analysis: Thailand Short Interest Weekly (Jan 17th): Delta Electronics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Thailand Short Interest Weekly (Jan 17th): Delta Electronics, Intouch, SCC, Central Pattana
  • TWSE Short Interest Weekly (Jan 17th): Hon Hai Precision Industry, Quanta Computer, Wistron
  • KRX Foreign Holding Weekly (Jan 17th): SK Hynix, Samsung Electronics
  • TWSE Foreign Holding Weekly (Jan 17th): Hon Hai Precision Industry, Quanta Computer, Mediatek

Thailand Short Interest Weekly (Jan 17th): Delta Electronics, Intouch, SCC, Central Pattana

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Stock Exchange of Thailand as of Jan 17th.We estimate that they had an aggregated short interest worth USD2.0bn.
  • 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 Delta Electronics, Intouch, SCC, Central Pattana, TMBThanachart Bank.

TWSE Short Interest Weekly (Jan 17th): Hon Hai Precision Industry, Quanta Computer, Wistron

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jan 17th which has an aggregated short interest worth USD21.5bn.
  • 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 Hon Hai Precision Industry, Quanta Computer, Wistron, Evergreen Marine, Wiwynn, Alchip Technologies, Bora Pharmaceuticals, Largan Precision.

KRX Foreign Holding Weekly (Jan 17th): SK Hynix, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Jan 17th which has an aggregated holding worth USD480.8bn.
  • We estimate that foreign flows to be inflows of USD50mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in SK Hynix, Samsung Electronics.

TWSE Foreign Holding Weekly (Jan 17th): Hon Hai Precision Industry, Quanta Computer, Mediatek

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Jan 17th which has an aggregated holding worth USD1,034.8bn.
  • We estimate that foreign flows to be outflows of USD1,557mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Hon Hai Precision Industry, Quanta Computer, Mediatek.

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