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Quantitative Analysis Archives | Page 60 of 73 | Smartkarma

Apr 07
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Mar 31st): Woodside Energy and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Mar 31st): Woodside Energy, Brambles, Liontown Resourc, Rio Tinto

ASX Short Interest Weekly (Mar 31st): Woodside Energy, Brambles, Liontown Resourc, Rio Tinto

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 31st (reported today) which has an aggregated short interest worth USD45.3bn.
  • 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 short interest changes in Woodside Energy, Brambles, Liontown Resourc, Rio Tinto, Downer Edi.

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Apr 06
0

Daily Brief Quantitative Analysis: Factor Olympics 2023 Q1 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Factor Olympics 2023 Q1

Factor Olympics 2023 Q1

By Nicolas Rabener

  • After a great 2022 for factor investing, this year has started negatively for all traditional factors
  • Perhaps this can be attributed to a revival of the growth theme as growth ETFs have outperformed again
  • Size performed best, low volatility worst. We present the performance of five well-known factors on an annual basis for the last 10 years.

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Apr 04
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows Monthly: 1Y High Inflows in March and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows Monthly: 1Y High Inflows in March
  • Screening for GEMs: April 2023
  • Northbound Flows Monthly (Mar): BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao

Hong Kong Connect Flows Monthly: 1Y High Inflows in March

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, Meituan, China Mobile, ICBC, Bilibili, and outflows from CCB, Geely, Sunny Optical.

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

Northbound Flows Monthly (Mar): BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Industrials (inflows of $3,132 million), Information Technology (inflows of $2,247 million), Health Care (inflows of $1,021 million) led the inflows.
  • We highlight flows for BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao, CMB, Longi Green, Foxconn, Ping An, Hithink.

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Apr 03
0

Daily Brief Quantitative Analysis: Short Interest Movements (Q1 2023): HK and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia
  • A-H Premium Weekly (Mar 31st): Yankuang Energy, CRRC, China Telecom, CCCC
  • HK Short Interest Weekly: Bidu, Baba, Byd Company
  • Hong Kong Connect Flows (Mar 31st): Tencent, Meituan, Bilibili, Lenovo, Kingsoft, CCB
  • Northbound Flows (Mar 31st): Moutai, CATL, Byd, Sinopec, Foxconn, Haier Smart Home

Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia

By Brian Freitas

  • Total short interest in Hong Kong is HK$435.1bn, marginally higher from end-December. Short notional has moved in line with the Hong Kong Hang Seng Index (HSI INDEX). 
  • Total short notional of the KOSPI and KOSDAQ market has moved up since end-December and is in line with the move higher in the KOSPI2 INDEX and KOSDAQ 150 Index.
  • Short notional in Taiwan is lower over the quarter even as the TWSE INDEX has moved higher over the period. There has been big short covering on some stocks.

A-H Premium Weekly (Mar 31st): Yankuang Energy, CRRC, China Telecom, CCCC

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 113.6% as of Mar 31st.
  • The average A-H premium changed by -0.5ppt week on week, led by communication services, energy, utilities and offset by consumer staples, health care.
  • We highlight weekly changes in A-H premium for Yankuang Energy, CRRC, China Telecom, CCCC.

HK Short Interest Weekly: Bidu, Baba, Byd Company

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 24th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We estimate the total short interest to  increase by 1.4% week on week and highlight short changes in Bidu, Baba, Byd Company.

Hong Kong Connect Flows (Mar 31st): Tencent, Meituan, Bilibili, Lenovo, Kingsoft, CCB

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 31st.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Tencent, Meituan, Bilibili, Lenovo, Kingsoft, China Construction Bank.

Northbound Flows (Mar 31st): Moutai, CATL, Byd, Sinopec, Foxconn, Haier Smart Home

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 31st.
  • We estimate the weekly inflows to be US$1,598.1 million, led by consumer staples, industrials, communication services sectors, and offset by financials, materials.
  • We highlight flows for Kweichow Moutai, Contemporary Amperex Technology, Byd, China Petroleum And Chemical, Foxconn Industrial Internet, Haier Smart Home, Beijing Kingsoft Office Software.Inc, East Money Information, Gree Electric Appliances.

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Apr 02
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Mar 31st): Walsin Lihwa and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Mar 31st): Walsin Lihwa, Evergreen Marine, Yang Ming Marine, Powerchip

TWSE Short Interest Weekly (Mar 31st): Walsin Lihwa, Evergreen Marine, Yang Ming Marine, Powerchip

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 31st which has an aggregated short interest worth USD12.0bn.
  • 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 Walsin Lihwa, Evergreen Marine, Yang Ming Marine, Powerchip Semico, Alchip Tech, Nan Ya Printed, Unimicron Tech.

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Apr 01
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 31st): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 31st): Tencent, AIA, CSPC

Hong Kong Buybacks Weekly (Mar 31st): Tencent, AIA, CSPC

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Mar 31st 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), Cspc Pharmaceutical (1093 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), Swire Pacific (19 HK).

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Mar 31
0

Daily Brief Quantitative Analysis: Kelun-Biotech (科伦博泰) Pre-IPO: Candidates Are Differentiated and Promising and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Kelun-Biotech (科伦博泰) Pre-IPO: Candidates Are Differentiated and Promising
  • ASX Short Interest Weekly (Mar 24th): Pilbara Minerals, Aurizon, Arafura Rare Ear, New Hope
  • Global Emerging Markets: Reporting Season Summary, 4Q2022

Kelun-Biotech (科伦博泰) Pre-IPO: Candidates Are Differentiated and Promising

By Ke Yan, CFA, FRM

  • Kelun-Biotech, a China-based integrated innovative biopharmaceutical company, plans to raise up to US$ 300m via a Hong Kong listing.
  • In this note, we examine the company’s two core products, namely SKB264, a TROP2-ADC, and A166, a HER2-ADC. We also look at the company’s management and pre-IPO investors.
  • We think the company is worth investors attention with promising candidates. Its pre-IPO investor line-up is decent.

ASX Short Interest Weekly (Mar 24th): Pilbara Minerals, Aurizon, Arafura Rare Ear, New Hope

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 24th (reported today) which has an aggregated short interest worth USD44.0bn.
  • 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 Pilbara Minerals, Aurizon, Arafura Rare Ear, New Hope, Medibank Private, De Grey Mining.

Global Emerging Markets: Reporting Season Summary, 4Q2022

By Wium Malan, CFA

  • The 200 largest weighted companies in the GEM index reported average EPS growth of +14.2%y/y for 4Q22-to-date, slightly down from the +15.7% reported for 3Q22.
  • Only 54% of companies delivered positive sales surprises, and only 49% delivered positive EPS surprises, significantly down from the trend seen over the past 2 years.
  • Historically, there has been a significant difference in relative share price performance between the largest positive versus negative surprise generators, for 3 months after the reporting date.

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Mar 29
0

Daily Brief Quantitative Analysis: Investing & Unintended Consequences and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Investing & Unintended Consequences

Investing & Unintended Consequences

By Nicolas Rabener

  • Simple equity ETFs often have exposures to other asset classes
  • Gold stocks are bond proxies & growth stocks are short commodities
  • So, the investors may have unintended bets in their portfolios

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Mar 27
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Meituan, Gcl Tech, Link Reit, Sensetime, Trip.Com, Hsbc, Baba, Wuxi Apptec
  • A-H Premium Weekly (Mar 24th): Dongfang Electric, CEEC, Great Wall Motor
  • Hong Kong Connect Flows (Mar 24th): Meituan, Tencent, Bilibili
  • Northbound Flows (Mar 24th): Boe, CATL, Moutai, Shenzhen Inovance, Luxshare

HK Short Interest Weekly: Meituan, Gcl Tech, Link Reit, Sensetime, Trip.Com, Hsbc, Baba, Wuxi Apptec

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 17th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Meituan, Gcl Tech, Link Reit, Sensetime, Trip.Com, Hsbc, Baba, Wuxi Apptec.

A-H Premium Weekly (Mar 24th): Dongfang Electric, CEEC, Great Wall Motor

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 114.1% as of Mar 24th.
  • The average A-H premium changed by 0.6ppt week on week, led by information technology, industrials, utilities and offset by communication services, consumer discretionary, energy.
  • We highlight weekly changes in A-H premium for Dongfang Electric, CEEC, Great Wall Motor.

Hong Kong Connect Flows (Mar 24th): Meituan, Tencent, Bilibili

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 24th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We estimate that the total inflows were USD3.3bn last week and highlight flows for Meituan, Tencent, Bilibili.

Northbound Flows (Mar 24th): Boe, CATL, Moutai, Shenzhen Inovance, Luxshare

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 24th.
  • We estimate the weekly inflows to be US$1,685.1 million, led by industrials, information technology, health care sectors, and offset by energy, financials.
  • We highlight flows for Boe Technology, Contemporary Amperex Technology, Kweichow Moutai, Shenzhen Inovance Technology, Luxshare Precision Industry, Hithink Royalflush Information Network, China Shenhua Energy, Foxconn Industrial Internet, Ping An Insurance.

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Mar 25
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 24th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 24th): Aia, Ck Asset, Swire Pacific

Hong Kong Buybacks Weekly (Mar 24th): Aia, Ck Asset, Swire Pacific

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Mar 24th 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), Ck Asset (1113 HK), Swire Pacific (87 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), Great Wall Motor (2333 HK), Swire Pacific (19 HK).

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