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Quantitative Analysis Archives | Page 46 of 74 | Smartkarma

Dec 04
0

Daily Brief Quantitative Analysis: Northbound Flows (Dec 1st): Hygon Information and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows (Dec 1st): Hygon Information, Shanghai United Imaging Healthcare, BYD
  • A-H Premium Weekly (Dec 1st): CMB, Ping An Insurance, Beigene, Ganfeng Lithium
  • Hong Kong Connect Flows (Dec 1st): Meituan, Tencent
  • TWSE Foreign Holding Weekly (Dec 1st): TSMC, Mediatek, Umc
  • HK Short Interest Weekly: Xpeng, Xiaomi, Link Reit
  • Hong Kong Connect Flows (November): Five Months of Inflows Despite New Low

Northbound Flows (Dec 1st): Hygon Information, Shanghai United Imaging Healthcare, BYD

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 1st.
  • We estimate the weekly inflows to be US$359.9 million, led by information technology, health care, utilities sectors, and offset by financials, materials.
  • We highlight flows for Hygon Information Technology, Shanghai United Imaging Healthcare, BYD, CMB, Wuliangye, Midea, CATL.

A-H Premium Weekly (Dec 1st): CMB, Ping An Insurance, Beigene, Ganfeng Lithium

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 127.1% as of Dec 1st.
  • The average A-H premium changed by 4.7ppt week on week, led by consumer staples, utilities, communication services.
  • We highlight weekly changes in A-H premium for CMB, Ping An Insurance, Beigene, Ganfeng Lithium.

Hong Kong Connect Flows (Dec 1st): Meituan, Tencent

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 1st.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight weekly Hongkong connect flows for Meituan and Tencent.

TWSE Foreign Holding Weekly (Dec 1st): TSMC, Mediatek, Umc

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Dec 1st which has an aggregated holding worth USD684.7bn.
  • 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 inflows of USD1,077mln and highlight foreign changes in TSMC, Mediatek, Umc.

HK Short Interest Weekly: Xpeng, Xiaomi, Link Reit

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Nov 24th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Xpeng, Xiaomi and Link Reit.

Hong Kong Connect Flows (November): Five Months of Inflows Despite New Low

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 TraHK, Xpeng, SMIC, CSOP Hang Seng ETF, Ping An Insurance.

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Dec 03
0

Daily Brief Quantitative Analysis: Screening for GEMs: December 2023 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: December 2023
  • TWSE Short Interest Weekly (Dec 1st): Genius Electronics

Screening for GEMs: December 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.

TWSE Short Interest Weekly (Dec 1st): Genius Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Dec 1st which has an aggregated short interest worth USD15.3bn.
  • 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 TWSE short interest weekly changes in Genius Elec.

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Dec 02
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Dec 1st): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Dec 1st): Tencent, AIA, Kuaishou Technology

Hong Kong Buybacks Weekly (Dec 1st): Tencent, AIA, Kuaishou Technology

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Dec 1st 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), Kuaishou Technology (1024 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), China Petroleum & Chemical (386 HK).

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Dec 01
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Nov 24th): CommBank and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Nov 24th): CommBank, Pilbara Minerals, Rio Tinto, Xero, NAB, Pro Medicus

ASX Short Interest Weekly (Nov 24th): CommBank, Pilbara Minerals, Rio Tinto, Xero, NAB, Pro Medicus

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Nov 24th (reported today) which has an aggregated short interest worth USD19.8bn.
  • 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 Commonw Bk Austr, Pilbara Minerals, Rio Tinto, Xero, NAB, Pro Medicus.

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Nov 27
0

Daily Brief Quantitative Analysis: TWSE Foreign Holding Weekly (Nov 24th): TSMC and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Foreign Holding Weekly (Nov 24th): TSMC, Mediatek, Wistron
  • A-H Premium Weekly (Nov 24th): Angang Steel, Gwmotor, YOFC, Sinopec Oilfield
  • Northbound Flows (Nov 24th): Chongqing Changan Automobile, Sokon, Sungrow Power, BYD
  • HK Short Interest Weekly: AIA, Baba, Beigene
  • Hong Kong Connect Flows (Nov 24th): Xpeng, Tencent, Meituan, Li Auto

TWSE Foreign Holding Weekly (Nov 24th): TSMC, Mediatek, Wistron

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Nov 24th which has an aggregated holding worth USD675.5bn.
  • 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 inflows of USD1,213mln and highlight foreign changes in TSMC, Mediatek, Wistron.

A-H Premium Weekly (Nov 24th): Angang Steel, Gwmotor, YOFC, Sinopec Oilfield

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 122.2% as of Nov 24th.
  • The average A-H premium changed by 0.9ppt week on week, led by information technology, real estate, consumer discretionary and offset by consumer staples, communication services, energy.
  • We highlight weekly changes in A-H premium for Angang Steel, Gwmotor, YOFC, Sinopec Oilfield.

Northbound Flows (Nov 24th): Chongqing Changan Automobile, Sokon, Sungrow Power, BYD

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of November 24th.
  • We estimate the weekly outflows to be US$432.1 million, led by information technology, materials, and offset by health care, consumer discretionary, consumer staples.
  • We highlight flows for Chongqing Changan Automobile, Chongqing Sokon Industry Group Stock, Sungrow Power Supply, BYD.

HK Short Interest Weekly: AIA, Baba, Beigene

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Nov 17th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight weekly short changes in AIA, Baba and Beigene.

Hong Kong Connect Flows (Nov 24th): Xpeng, Tencent, Meituan, Li Auto

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of November 24th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Xpeng, Tencent, Meituan and Li Auto.

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Nov 26
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Nov 24th): Lite-On Tech and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Nov 24th): Lite-On Tech, Compeq Mfg, Inventec, Gigabyte Tech

TWSE Short Interest Weekly (Nov 24th): Lite-On Tech, Compeq Mfg, Inventec, Gigabyte Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Nov 24th which has an aggregated short interest worth USD15.0bn.
  • 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 Lite-On Tech, Compeq Mfg, Inventec, Gigabyte Tech.

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Nov 25
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Nov 24th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Nov 24th): Tencent, Aia, China Petroleum & Chemical
  • ASX Short Interest Weekly (Nov 17th): ANZ, CSL, Domino’s Pizza, BHP, Rio Tinto, Telstra

Hong Kong Buybacks Weekly (Nov 24th): 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 Nov 24th 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 AIA (1299 HK), Tencent (700 HK), China Petroleum & Chemical (386 HK).

ASX Short Interest Weekly (Nov 17th): ANZ, CSL, Domino’s Pizza, BHP, Rio Tinto, Telstra

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Nov 17th (reported today) which has an aggregated short interest worth USD18.5bn.
  • 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 ANZ, CSL, Domino’s Pizza, BHP, Rio Tinto, Telstra.

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Nov 23
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Nov 17th): Short Covers for Celltrion and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Nov 17th): Short Covers for Celltrion, Celltrion Health, Amorepacific

KRX Short Interest Weekly (Nov 17th): Short Covers for Celltrion, Celltrion Health, Amorepacific

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Nov 17th which has an aggregated short interest worth USD11.9bn.
  • 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 Celltrion, Celltrion Health, Amorepacific.

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Nov 20
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Kuaishou, Yum China, Hkex, Petrochina
  • A-H Premium Weekly (Nov 17th): Ganfeng Lithium, BYD, CICC, Shanghai Fudan, Huahong
  • TWSE Foreign Holding Weekly (Nov 17th): TSMC, WT, Evergreen Marine, Via Tech, Quanta Computer
  • Hong Kong Connect Flows (Nov 17th): Meituan, Tencent, Xiaomi
  • Northbound Flows (Nov 17th): Luxshare Precision, Mindray, Ping An Insurance

HK Short Interest Weekly: Kuaishou, Yum China, Hkex, Petrochina

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Nov 10th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Kuaishou, Yum China, Hkex, Petrochina.

A-H Premium Weekly (Nov 17th): Ganfeng Lithium, BYD, CICC, Shanghai Fudan, Huahong

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 121.3% as of Nov 17th.
  • The average A-H premium changed by -0.3ppt week on week, led by consumer discretionary, communication services, utilities and offset by real estate, energy, materials.
  • We highlight weekly changes in A-H premium for Ganfeng Lithium, Byd Company, CICC, Shanghai Fudan, Huahong.

TWSE Foreign Holding Weekly (Nov 17th): TSMC, WT, Evergreen Marine, Via Tech, Quanta Computer

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Nov 17th which has an aggregated holding worth USD664.7bn.
  • 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 inflows of USD2,654mln and highlight foreign changes in TSMC, Wt, Evergreen Marine, Via Tech, Quanta Computer.

Hong Kong Connect Flows (Nov 17th): Meituan, Tencent, Xiaomi

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of November 17th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight Hongkong connect flows for Meituan, Tencent and Xiaomi.

Northbound Flows (Nov 17th): Luxshare Precision, Mindray, 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 November 17th.
  • We estimate the weekly outflows to be US$652.6 million, led by financials, industrials, and offset by information technology, utilities.
  • We highlight flows for Luxshare Precision, Mindray, Ping An Insurance.

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Nov 19
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Nov 17th): Asustek Computer and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Nov 17th): Asustek Computer, TSMC, Via Tech, Wistron, Gigabyte Tech

TWSE Short Interest Weekly (Nov 17th): Asustek Computer, TSMC, Via Tech, Wistron, Gigabyte Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Nov 17th which has an aggregated short interest worth USD14.9bn.
  • 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 Asustek Computer, TSMC, Via Tech, Wistron, Gigabyte Tech, Compal Elec, Mediatek, Accton Tech.

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