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Quantitative Analysis Archives | Page 40 of 64 | Smartkarma

Daily Brief Quantitative Analysis: US Factor Strategies: Value and Dividend Yield Outperform in September and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • US Factor Strategies: Value and Dividend Yield Outperform in September, Higher for Longer Narrative


US Factor Strategies: Value and Dividend Yield Outperform in September, Higher for Longer Narrative

By Charlotte van Tiddens, CFA

  • Short duration US factor strategies outperformed in September as markets came under pressure (value and dividend yield).
  • Despite keeping rates unchanged on the 20th of September at 5.5% (upper bound), Fed Chair Powell indicated that rates would be kept higher for longer than initially anticipated.
  • In this note we explore the relative performance of US factor strategies through different interest rate cycles, to inform timing around factor/style rotation.

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Daily Brief Quantitative Analysis: Hong Kong Connect Flows: $7.3bn of Inflows in September and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows: $7.3bn of Inflows in September
  • Northbound Flows Monthly (September): $5.3bn of Outflows


Hong Kong Connect Flows: $7.3bn of Inflows in September

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 ICBC,  CCB, Meituan, Innovent Biologics, Xpeng and outflows from Petrochina.

Northbound Flows Monthly (September): $5.3bn of Outflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • We estimate the outflows to be $5.3bn in September and consumer discretionary, and health care sectors led the inflows.
  • We highlight inflows into BYD, Bank Of Jiangsu, Wuxi Apptec and outflows from CATL, Moutai, Wuliangye.

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Tencent, Baba, CCB, China Mobile, AIA, Innovent Bio, Beigene
  • Screening for GEMs: October 2023
  • A-H Premium Weekly (Sep 29th): Beigene, China Vanke, Guangzhou Automobile, Wuapptec, Byd
  • Northbound Flows (Sep 29th): Wuxi Apptec, Longi Green, Moutai, BYD, Ping An Insurance
  • Hong Kong Connect Flows (Sep 29th): Meituan, Tencent, ICBC, Xpeng
  • TWSE Foreign Holding Weekly (Sep 29th): Gigabyte, Hon Hai, Novatek, Quanta, Asia Vital


HK Short Interest Weekly: Tencent, Baba, CCB, China Mobile, AIA, Innovent Bio, Beigene

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Sep 22nd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Tencent, Baba, CCB, China Mobile, AIA, Innovent Bio, Beigene.

Screening for GEMs: October 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 over 3 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.

A-H Premium Weekly (Sep 29th): Beigene, China Vanke, Guangzhou Automobile, Wuapptec, Byd

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 117.4% as of Sep 29th.
  • The average A-H premium changed by 1.5ppt week on week, led by health care, industrials, consumer discretionary and offset by consumer staples, utilities, real estate.
  • We highlight weekly changes in A-H premium for Beigene, China Vanke, Guangzhou Automobile Group, Wuapptec Co Ltd.

Northbound Flows (Sep 29th): Wuxi Apptec, Longi Green, Moutai, BYD, Ping An Insurance

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of September 29th.
  • We estimate the weekly outflows to be US$2,482.1 million, led by financials, information technology, and offset by health care.
  • We highlight flows for Wuxi Apptec, Longi Green, Moutai, BYD, Ping An Insurance, Zhongji Innolight, Wuliangye.

Hong Kong Connect Flows (Sep 29th): Meituan, Tencent, ICBC, Xpeng

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of September 29th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We have highlighted flows for Meituan, Tencent, ICBC and Xpeng.

TWSE Foreign Holding Weekly (Sep 29th): Gigabyte, Hon Hai, Novatek, Quanta, Asia Vital

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Sep 29th which has an aggregated holding worth USD318.8bn.
  • We tabulate league table for top changes by value for 1 week, one 4 weeks, 1 year and top stocks held by foreign instutions by dollar value.
  • We estimate that foreign flows to be outflows of USD776mln and highlight foreign changes in Gigabyte, Hon Hai, Novatek, Quanta, Asia Vital.

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Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Sep 29th): Unimicron Tech and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Sep 29th): Unimicron Tech, Largan Precision, Wistron, Gigabyte Tech


TWSE Short Interest Weekly (Sep 29th): Unimicron Tech, Largan Precision, Wistron, Gigabyte Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 29th which has an aggregated short interest worth USD13.4bn.
  • 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 Unimicron Tech, Largan Precision, Wistron, Gigabyte Tech, Faraday Tech.

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Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Sep 29th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Sep 29th): Tencent, Aia, Xiaomi


Hong Kong Buybacks Weekly (Sep 29th): 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 29th 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), Xiaomi (1810 HK).

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Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Sep 22nd): Wesfarmers and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Sep 22nd): Wesfarmers, Macquarie, Bluescope Steel, Woodside Energy, BHP


ASX Short Interest Weekly (Sep 22nd): Wesfarmers, Macquarie, Bluescope Steel, Woodside Energy, BHP

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Sep 22nd (reported today) which has an aggregated short interest worth USD15.5bn.
  • 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 Wesfarmers, Macquarie, Bluescope Steel, Woodside Energy, BHP.

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Daily Brief Quantitative Analysis: Northbound Flows (Sep 22nd): BYD and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows (Sep 22nd): BYD, CATL, Zijin Mining, Mindray
  • Hong Kong Connect Flows (Sep 22nd): China Mobile, ICBC, Innovent Biologics
  • A-H Premium Weekly (Sep 22nd): Wuapptec Co Ltd, Fuyao Glass Industry, Tianqi Lithium Corporation
  • EQD | HSI WEEKLY Bounce Will Face These Resistance Levels
  • EQD | VIX Index WEEKLY: Has Volatility Already Peaked?
  • HK Short Interest Weekly: Innovent Bio, Trip.Com, Nio, Baba, Zto Express, HSBC


Northbound Flows (Sep 22nd): BYD, CATL, Zijin Mining, Mindray

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of September 22nd.
  • We estimate the weekly inflows to be US$47.4 million, led by consumer discretionary, information technology, financials sectors, and offset by materials, health care.
  • We highlight flows for BYD, CATL, Zijin Mining and Mindray.

Hong Kong Connect Flows (Sep 22nd): China Mobile, ICBC, Innovent Biologics

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of September 22nd.
  • 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, ICBC and Innovent Biologics.

A-H Premium Weekly (Sep 22nd): Wuapptec Co Ltd, Fuyao Glass Industry, Tianqi Lithium Corporation

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 115.7% as of Sep 22nd.
  • The average A-H premium changed by -1.1ppt week on week, led by energy, industrials, communication services and offset by consumer discretionary.
  • We highlight weekly changes in A-H premium for Wuapptec Co Ltd, Fuyao Glass Industry, Tianqi Lithium Corporation.

EQD | HSI WEEKLY Bounce Will Face These Resistance Levels

By Nico Rosti

  • The Hang Seng Index is approaching WEEKLY OVERSOLD territory, but it is in a clear downtrend, so when it bounces it could be a good occasion to go SHORT. 
  • The trade can be placed between this week and the next 2 weeks, with this week and the next being the most probable time for the reversal to happen.
  • Based on MRM WEEKLY model readings, the target price area where to enter the SHORT trade is 18553-19494.

EQD | VIX Index WEEKLY: Has Volatility Already Peaked?

By Nico Rosti

  • The VIX INDEX last week reversed up and briefly touched 17, it’s OVERBOUGHT according to MRM WEEKLY SHORT model.
  • VIX Index could pull back a bit this week, then go up again, but not much higher than 18. Volatility should end this coming week, or early the following week.
  • WEEKLY and MONTHLY OVERSOLD MRM reading on global markets suggest an imminent bounce, possibly a lasting MONTHLY bounce – unless all of a sudden the market enters a Bear Market.

HK Short Interest Weekly: Innovent Bio, Trip.Com, Nio, Baba, Zto Express, HSBC

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Sep 15th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Innovent Bio, Trip.Com, Nio, Baba, Zto Express, HSBC.

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Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Sep 22nd): Accton Tech and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Sep 22nd): Accton Tech, Alchip Tech, Ap Memory Tech, Asmedia Tech


TWSE Short Interest Weekly (Sep 22nd): Accton Tech, Alchip Tech, Ap Memory Tech, Asmedia Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 22nd which has an aggregated short interest worth USD13.6bn.
  • 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 Accton Tech, Alchip Tech, Ap Memory Tech, Asmedia Tech, Bizlink Holding, Faraday Tech.

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Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Sep 22nd): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Sep 22nd): Tencent, Aia, China Petroleum & Chemical


Hong Kong Buybacks Weekly (Sep 22nd): Tencent, Aia, China Petroleum & Chemical

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 22nd 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 Petroleum & Chemical (386 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), Country Garden Services (6098 HK).

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Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Sep 15th): NAB and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Sep 15th): NAB, Newcrest Mining, Pilbara Minerals, Perpetual


ASX Short Interest Weekly (Sep 15th): NAB, Newcrest Mining, Pilbara Minerals, Perpetual

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Sep 15th (reported today) which has an aggregated short interest worth USD0.0bn.
  • 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 NAB, Newcrest Mining, Pilbara Minerals, Perpetual, Sonic Healthcare, Metcash.

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