Quantitative Analysis Archives | Page 57 of 64

Dec 05

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Dec 2nd): Meituan and more

By Smartkarma Daily Briefs | Daily Briefs, Quantitative Analysis

In today’s briefing:

Hong Kong Connect Flows (Dec 2nd): Meituan, Country Garden, China Mobile, Longfor, Tencent
A-H Premium Weekly (Dec 2nd): China Longyuan, Ganfeng Lithium
HK Short Interest Weekly: Ganfeng Lithium, Netease, Tencent, Li Ning
Northbound Flows (Dec 2nd): Wuliangye, CATL, Mindray, Longi Green

Hong Kong Connect Flows (Dec 2nd): Meituan, Country Garden, China Mobile, Longfor, Tencent

By Ke Yan, CFA, FRM

We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 2nd.
The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
We highlight inflows into Meituan, Country Garden, China Mobile and outflows from Longfor, Tencent.

A-H Premium Weekly (Dec 2nd): China Longyuan, Ganfeng Lithium

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 118.8% as of Dec 2nd.
The average A-H premium changed by 0.6ppt week on week, led by consumer staples, real estate, information technology and offset by consumer discretionary, materials.
We highlight weekly changes in A-H premium for China Longyuan, Ganfeng Lithium, China Minsheng, Guolian Securities, Shanghai Fudan, Red Star Macalline, Joinn Lab, Cosco Shipping Energy, Great Wall Mortor.

HK Short Interest Weekly: Ganfeng Lithium, Netease, Tencent, Li Ning

By Ke Yan, CFA, FRM

We analyzed the latest HK SFC report for aggregate short position as of Nov 25th.
Top short increases and decreases were tabulated for one week and four week period.
We highlight short changes in Ganfeng Lithium, Netease, Tencent, Li Ning.

Northbound Flows (Dec 2nd): Wuliangye, CATL, Mindray, Longi Green

By Ke Yan, CFA, FRM

We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 2nd.
We estimate the weekly inflows to be US$3,984.1 million, led by information technology, consumer discretionary, industrials sectors, and offset by utilities, energy.
We highlight flows for Wuliangye, CATL, Shenzhen Mindray, Longi Green.

Before it’s here, it’s on Smartkarma

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

✓ Unlimited Research Summaries
✓ Personalised Alerts
✓ Custom Watchlists
✓ Company Data and News
✓ Events & Webinars

Dec 04

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Dec 2nd): Walsin Lihwa and more

By Smartkarma Daily Briefs | Daily Briefs, Quantitative Analysis

In today’s briefing:

TWSE Short Interest Weekly (Dec 2nd): Walsin Lihwa, Gold Circuit, Lotus

TWSE Short Interest Weekly (Dec 2nd): Walsin Lihwa, Gold Circuit, Lotus

By Ke Yan, CFA, FRM

We analyzed the changes in short interest of TWSE Stocks as of Dec 2nd which has an aggregated short interest worth USD14.6bn.
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 analyzed TWSE short interest report for the past week and highlight short interest changes in Walsin Lihwa, Gold Circuit, Lotus.

Before it’s here, it’s on Smartkarma

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

✓ Unlimited Research Summaries
✓ Personalised Alerts
✓ Custom Watchlists
✓ Company Data and News
✓ Events & Webinars

Dec 03

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

By Smartkarma Daily Briefs | Daily Briefs, Quantitative Analysis

In today’s briefing:

Screening for GEMs: December 2022

Screening for GEMs: December 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 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 2 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.

Before it’s here, it’s on Smartkarma

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

✓ Unlimited Research Summaries
✓ Personalised Alerts
✓ Custom Watchlists
✓ Company Data and News
✓ Events & Webinars

Dec 02

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Nov 25th): Mineral Resource and more

By Smartkarma Daily Briefs | Daily Briefs, Quantitative Analysis

In today’s briefing:

ASX Short Interest Weekly (Nov 25th): Mineral Resource, QBE Insurance, Rio Tinto, South32
Hong Kong Buybacks Weekly (Dec 2nd): Tencent, AIA, PetroChina

ASX Short Interest Weekly (Nov 25th): Mineral Resource, QBE Insurance, Rio Tinto, South32

By Ke Yan, CFA, FRM

We analyzed the changes in short interest of ASX Stocks as of Nov 25th (reported today) which has an aggregated short interest worth USD18.1bn.
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 Mineral Resource, QBE Insurance, Rio Tinto, South32, Westpac, ANZ, Woodside.

Hong Kong Buybacks Weekly (Dec 2nd): Tencent, AIA, PetroChina

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 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), 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).

Before it’s here, it’s on Smartkarma

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

✓ Unlimited Research Summaries
✓ Personalised Alerts
✓ Custom Watchlists
✓ Company Data and News
✓ Events & Webinars

Dec 01

Daily Brief Quantitative Analysis: Hong Kong Connect Flows Monthly: $7bn Inflows in November and more

By Smartkarma Daily Briefs | Daily Briefs, Quantitative Analysis

In today’s briefing:

Hong Kong Connect Flows Monthly: $7bn Inflows in November
Northbound Flows Monthly: $9bn Inflows in November

Hong Kong Connect Flows Monthly: $7bn Inflows in November

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, Wuxi Biologics, HKEx, Country Garden, and outflows from Meituan, ICBC, China Pacific, COSCO Shipping, Xiaomi.

Northbound Flows Monthly: $9bn Inflows in November

By Ke Yan, CFA, FRM

We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
Monthly inflows of $9bn was led by Financials (inflows of $2,658 million), Materials (inflows of $2,286 million), Consumer Discretionary (inflows of $1,779 million).
We highlight inflows into Midea, Zijin Mining, Ping An Insurance, Moutai, Mindray, and outflows from Yangtze Power, Yunnan Energy New Material, Poly Developments, Wingtec, Shenhua.

Before it’s here, it’s on Smartkarma

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

✓ Unlimited Research Summaries
✓ Personalised Alerts
✓ Custom Watchlists
✓ Company Data and News
✓ Events & Webinars

Nov 30

Daily Brief Quantitative Analysis: Replicating a CTA Via Factor Exposures and more

By Smartkarma Daily Briefs | Daily Briefs, Quantitative Analysis

In today’s briefing:

Replicating a CTA Via Factor Exposures

Replicating a CTA Via Factor Exposures

By Nicolas Rabener

Strategies can be copied by recreating them from scratch or using factor exposures
CTAs can be replicated via factor exposure analysis by utilizing only 4 asset classes
Not a perfect replication, but surprisingly good given the limited input

Before it’s here, it’s on Smartkarma

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

✓ Unlimited Research Summaries
✓ Personalised Alerts
✓ Custom Watchlists
✓ Company Data and News
✓ Events & Webinars

Nov 28

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Nov 25th): Tencent and more

By Smartkarma Daily Briefs | Daily Briefs, Quantitative Analysis

In today’s briefing:

Hong Kong Connect Flows (Nov 25th): Tencent, China Mobile, Kuaishou, Xpeng, Meituan, Li Ning
A-H Premium Weekly (Nov 25th): China Longyuan, GF Securities, Cosco Ship, CCCC, Cansino
Northbound Flows (Nov 25th): Luzhou Lao Jiao, Yunnan New Energy Material, CATL
HK Short Interest Weekly: Tencent, HKEx, Innovent
TWSE Short Interest Weekly (Nov 25th): Wiwynn Corp, Largan Precision, Hon Hai, Tong Hsing

Hong Kong Connect Flows (Nov 25th): Tencent, China Mobile, Kuaishou, Xpeng, Meituan, Li Ning

By Ke Yan, CFA, FRM

We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of November 25th.
The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
We highlight inflows into Tencent, China Mobile, Kuaishou, Xpeng, and outflows from Meituan, Li Ning.

A-H Premium Weekly (Nov 25th): China Longyuan, GF Securities, Cosco Ship, CCCC, Cansino

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 118.2% as of Nov 25th.
The average A-H premium changed by -3.2ppt weeok on week, led by real estate, financials, information technology and offset by consumer discretionary.
We highlight weekly changes in A-H premium for China Longyuan, GF securities, Cosco Ship, CCCC, Cansino, Great Wall Motor.

Northbound Flows (Nov 25th): Luzhou Lao Jiao, Yunnan New Energy Material, CATL

By Ke Yan, CFA, FRM

We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of November 25th.
We estimate the weekly inflows to be US$1,113.7 million, led by financials, consumer staples, utilities sectors, and offset by health care, industrials.
We highlight flows for Luzhou Lao Jiao, Yunnan New Energy Material, CATL.

HK Short Interest Weekly: Tencent, HKEx, Innovent

By Ke Yan, CFA, FRM

We analyzed the latest HK SFC report for aggregate short position as of Nov 18th.
Top short increases and decreases were tabulated for one week and four week period.
We highlight short changes in Tencent (700 HK), HKEx (388 HK), Innovent (1801 HK).

TWSE Short Interest Weekly (Nov 25th): Wiwynn Corp, Largan Precision, Hon Hai, Tong Hsing

By Ke Yan, CFA, FRM

We analyzed the changes in short interest of TWSE Stocks as of Nov 25th which has an aggregated short interest worth USD14.0bn.
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 Wiwynn Corp, Largan Precision, Hon Hai, Tong Hsing.

Before it’s here, it’s on Smartkarma

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

✓ Unlimited Research Summaries
✓ Personalised Alerts
✓ Custom Watchlists
✓ Company Data and News
✓ Events & Webinars

Nov 26

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Nov 25th): Tencent and more

By Smartkarma Daily Briefs | Daily Briefs, Quantitative Analysis

In today’s briefing:

Hong Kong Buybacks Weekly (Nov 25th): Tencent, AIA, Great Wall Motor

Hong Kong Buybacks Weekly (Nov 25th): Tencent, AIA, Great Wall Motor

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 25th 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), Great Wall Motor (2333 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).

Before it’s here, it’s on Smartkarma

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

✓ Unlimited Research Summaries
✓ Personalised Alerts
✓ Custom Watchlists
✓ Company Data and News
✓ Events & Webinars

Nov 25

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Nov 18th): Ramsay Health and more

By Smartkarma Daily Briefs | Daily Briefs, Quantitative Analysis

In today’s briefing:

ASX Short Interest Weekly (Nov 18th): Ramsay Health, Woodside Energy, ANZ, Northern Star, Telstra

ASX Short Interest Weekly (Nov 18th): Ramsay Health, Woodside Energy, ANZ, Northern Star, Telstra

By Ke Yan, CFA, FRM

We analyzed the changes in short interest of ASX Stocks as of Nov 18th (reported today) which has an aggregated short interest worth USD18.6bn.
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 Ramsay Health, Woodside Energy, ANZ, Northern Star, Telstra.

Before it’s here, it’s on Smartkarma

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network