Tag

Quantitative Analysis Archives | Page 59 of 64 | Smartkarma

Nov 04
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Oct 28th): CSL and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Oct 28th): CSL, Woodside, Macquarie, Rio Tinto
  • Hong Kong Buybacks Weekly (Nov 4th): AIA, PetroChina, CNOOC

ASX Short Interest Weekly (Oct 28th): CSL, Woodside, Macquarie, Rio Tinto

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Oct 28th (reported today) which has an aggregated short interest worth USD18.0bn.
  • 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 CSL, Woodside, Macquarie, Rio Tinto, New Hope, South32, Medibank.

Hong Kong Buybacks Weekly (Nov 4th): AIA, PetroChina, CNOOC

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 4th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), China Petroleum & Chemical (386 HK), Cnooc (883 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), Wuxi Biologics (2269 HK).

💡 Before it’s here, it’s on Smartkarma

Sign Up for Free

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
Sign Up for Free
Nov 03
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: November 2022
  • Volatility-Based Equity Allocations

Screening for GEMs: November 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.

Volatility-Based Equity Allocations

By Nicolas Rabener

  • The VIX currently trades within its top quartile since 1990
  • Using volatility to time equity allocations is a widely used strategy
  • However, it is challenging to pursue this over the long-term

💡 Before it’s here, it’s on Smartkarma

Sign Up for Free

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
Sign Up for Free
Oct 31
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Oct 28th): Pharmaron and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Oct 28th): Pharmaron, Datang Intl, Shanghai Junshi, Tianqi Lithium
  • Hong Kong Connect Flows (Oct 28th): Tencent, Meituan, Wuxi Biologics, Kuaishou
  • Northbound Flows (Oct 28th): Moutai, Ping An Bank, Wuxi Apptec, Ping An Insurance, CATL
  • HK Short Interest Weekly: BYD, Conch Venture, Shandong Weigao.

A-H Premium Weekly (Oct 28th): Pharmaron, Datang Intl, Shanghai Junshi, Tianqi 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 135.0% as of Oct 28th.
  • The average A-H premium changed by 7.6ppt weeok on week, led by utilities, financials, information technology and offset by real estate.
  • We highlight weekly changes in A-H premium for Pharmaron, Datang Intl, Shanghai Junshi, Tianqi Lithium.

Hong Kong Connect Flows (Oct 28th): Tencent, Meituan, Wuxi Biologics, Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of October 28th.
  • 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 Holding, Meituan, Wuxi Biologics, Kuaishou.

Northbound Flows (Oct 28th): Moutai, Ping An Bank, Wuxi Apptec, Ping An Insurance, CATL

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of October 28th.
  • We estimate the weekly outflows to be US$1,807.3 million, led by consumer staples, financials, and offset by information technology, energy, real estate.
  • We highlight flows for Tianqi Lithium, Longi Green, Shenzhen Mindray, Moutai, Ping An Bank, Wuxi Apptec, Ping An Insurance, CATL. 

HK Short Interest Weekly: BYD, Conch Venture, Shandong Weigao.

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Oct 21st.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in BYD, Conch Venture, Shandong Weigao.

💡 Before it’s here, it’s on Smartkarma

Sign Up for Free

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
Sign Up for Free
Oct 30
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Oct 28th): Mediatek and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Oct 28th): Mediatek, Global Unichip, Alchip, Wiwynn Corp

TWSE Short Interest Weekly (Oct 28th): Mediatek, Global Unichip, Alchip, Wiwynn Corp

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Oct 28th which has an aggregated short interest worth USD11.7bn.
  • 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 analyzed TWSE short interest report for the past week and highlight short interest changes in Mediatek, Global Unichip, Alchip, Wiwynn Corp.

💡 Before it’s here, it’s on Smartkarma

Sign Up for Free

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
Sign Up for Free
Oct 29
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Oct 28th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Oct 28th): Aia, Great Wall Motor, Wuxi Biologics

Hong Kong Buybacks Weekly (Oct 28th): Aia, Great Wall Motor, Wuxi Biologics

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Oct 28th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), Great Wall Motor (2333 HK), Wuxi Biologics (2269 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), Wuxi Biologics (2269 HK).

💡 Before it’s here, it’s on Smartkarma

Sign Up for Free

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
Sign Up for Free
Oct 28
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Oct 21st): Telstra and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Oct 21st): Telstra, BHP, Woolworth, Rio Tinto, Santos

ASX Short Interest Weekly (Oct 21st): Telstra, BHP, Woolworth, Rio Tinto, Santos

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Oct 21st (reported today) which has an aggregated short interest worth USD17.5bn.
  • 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 Fortescue, Woodside, ANZ, Telstra, BHP, Woolworth, Rio Tinto, Santos.

💡 Before it’s here, it’s on Smartkarma

Sign Up for Free

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
Sign Up for Free
Oct 26
0

Daily Brief Quantitative Analysis: Thematic Versus Momentum Investing and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Thematic Versus Momentum Investing

Thematic Versus Momentum Investing

By Nicolas Rabener

  • The thematic products underperform the stock market on an average
  • The exposure to the momentum factor was low to negative recently
  • And Systematic performance chasing beats performance chasing with a narrative

💡 Before it’s here, it’s on Smartkarma

Sign Up for Free

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
Sign Up for Free
Oct 24
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Oct 21st): Remegen and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Oct 21st): Remegen, Pharmaron, Flat Glass, Shanghai Fudan, GWM, China Life

A-H Premium Weekly (Oct 21st): Remegen, Pharmaron, Flat Glass, Shanghai Fudan, GWM, China Life

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 127.4% as of Oct 21st.
  • The average A-H premium changed by -2.8ppt weeok on week, led by consumer staples, consumer discretionary, energy and offset by financials.
  • We highlight weekly changes in A-H premium for Remegen, Pharmaron, Flat Glass, Shanghai Fudan, GWM, China Life.

💡 Before it’s here, it’s on Smartkarma

Sign Up for Free

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
Sign Up for Free
Oct 23
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Oct 21st): $3.2bn Inflows and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Oct 21st): $3.2bn Inflows
  • TWSE Short Interest Weekly (Oct 21st): AUO Corp, Innolux, Hon Hai, Taiwan Cement, Wiwynn
  • HK Short Interest Weekly: AIA, Li Auto, Wuxi Biologics, SHK PPT, CMB
  • Northbound Flows (Oct 21st): BOE, Moutai, Ping An, Yili, China Tourism, Longi Green

Hong Kong Connect Flows (Oct 21st): $3.2bn Inflows

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of October 21st.
  • 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 Holding Limited, Meituan, Wuxi Biologics.

TWSE Short Interest Weekly (Oct 21st): AUO Corp, Innolux, Hon Hai, Taiwan Cement, Wiwynn

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Oct 21st which has an aggregated short interest worth USD11.6bn.
  • 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 AUO Corp, Innolux, Hon Hai, Taiwan Cement, Wiwynn. 

HK Short Interest Weekly: AIA, Li Auto, Wuxi Biologics, SHK PPT, CMB

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Oct 14th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in AIA, Li Auto, Wuxi Biologics, SHK PPT, CMB.

Northbound Flows (Oct 21st): BOE, Moutai, Ping An, Yili, China Tourism, 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 October 21st.
  • We estimate the weekly outflows to be US$4,305.1 million, led by consumer staples, financials, and offset by energy, utilities.
  • We highlight flows for BOE, Moutai, Ping An, Yili,  China Tourism, Longi Green.

💡 Before it’s here, it’s on Smartkarma

Sign Up for Free

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
Sign Up for Free
Oct 22
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Oct 21st): AIA and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Oct 21st): AIA, Tencent, Wuxi Biologics

Hong Kong Buybacks Weekly (Oct 21st): AIA, Tencent, Wuxi Biologics

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Oct 21st based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), Tencent (700 HK), Wuxi Biologics (2269 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), Wuxi Biologics (2269 HK).

💡 Before it’s here, it’s on Smartkarma

Sign Up for Free

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
Sign Up for Free