Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Quantitative Analysis

<div>
The H-Share/A-Share monitor is published every weekend for the data ending the last trading day of the previous week. It includes all H-Share/A-Share pairs where the H-Share has a 90-day average daily value-traded of US$1.0mm or more. It shows basic data per H/A spread stock by sector, with...
</div>
<div>
<ul style="list-style-type: disc;">
<li>H/A Discount,</li>
<li>movement in H/A Discount over 5 and 20 days,</li>
<li>a 52-week Z-score for the spread,</li>
<li>A chart showing evolution of the H/A spread over the last 20 days,</li>
<li>Southbound shares held (millions of shares), Net Change in Southbound (Shanghai and Shenzhen combined) shares held by millions of shares, and contribution of Net Southbound Volume to HK-traded volume over the past five days and 20 days, </li>
<li>There is also a chart showing the average sector spread and the individual spreads within each sector over the last three years. </li>
</ul>
On average, 
The first sector is Consumer, where H/A spreads widened on average 2.7% for the week, more than cancelling out the average 1.7% spread narrowing last week. With the exception of <a href="https://www.smartkarma.com/entities/hisense-home-appliances-group-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20107:1" rel="noopener">Hisense Home Appliances Group Co., Ltd. H (921 HK)</a>, this happened as the H-shares rose strongly and the A-Shares rose even more strongly.  
Southbound investors through the Shenzhen-HK and Shanghai-HK Connect were significant net sellers during the week in both <a href="https://www.smartkarma.com/entities/tsingtao-brewery-co-ltd-h" target="_blank" data-smartkarma-citation="entities:1296:1" rel="noopener">Tsingtao Brewery Co Ltd H (168 HK)</a> and <a href="https://www.smartkarma.com/entities/hisense-home-appliances-group-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20107:1" rel="noopener">Hisense Home Appliances Group Co., Ltd. H (921 HK)</a> where the net selling activity amounted to 15.5% and 22% of volume respectively. 
Hisense remains at the overbought end of the 52-week range. <a href="https://www.smartkarma.com/entities/great-wall-motor-co-ltd-cb302af9-398c-4d2d-ba39-023e43287eef" target="_blank" data-smartkarma-citation="entities:128:1" rel="noopener">Great Wall Motor (2333 HK)</a> and <a href="https://www.smartkarma.com/entities/guangzhou-automobile-group-co-ltd" target="_blank" data-smartkarma-citation="entities:11082:1" rel="noopener">Guangzhou Automobile Group (2238 HK)</a> are now at 52-week wides. 
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Last week's recommendation was to take off Hisense and the H-share fell 7.3% while the spread widened 0.7%. It is still probably worth unwinding. At this point, Great Wall and Guangzhou are worth a buy on a spread basis.
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For Energy, Financials &amp; Real Estate, Health Care, Tech, Industrials, Materials, and Utilities, please read on.
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The H-Share/A-Share monitor is published every weekend for the data ending the last trading day of the previous week. It includes all H-Share/A-Share pairs where the H-Share has a 90-day average daily value-traded of US$1.0mm or more. It shows basic data per H/A spread stock by sector, with...



H/A Discount,
movement in H/A Discount over 5 and 20 days,
a 52-week Z-score for the spread,
A chart showing evolution of the H/A spread over the last 20 days,
Southbound shares held (millions of shares), Net Change in Southbound (Shanghai and Shenzhen combined) shares held by millions of shares, and contribution of Net Southbound Volume to HK-traded volume over the past five days and 20 days, 
There is also a chart showing the average sector spread and the individual spreads within each sector over the last three years. 

On average, 
The first sector is Consumer, where H/A spreads widened on average 2.7% for the week, more than cancelling out the average 1.7% spread narrowing last week. With the exception of Hisense Home Appliances Group Co., Ltd. H (921 HK), this happened as the H-shares rose strongly and the A-Shares rose even more strongly.  
Southbound investors through the Shenzhen-HK and Shanghai-HK Connect were significant net sellers during the week in both Tsingtao Brewery Co Ltd H (168 HK) and Hisense Home Appliances Group Co., Ltd. H (921 HK) where the net selling activity amounted to 15.5% and 22% of volume respectively. 
Hisense remains at the overbought end of the 52-week range. Great Wall Motor (2333 HK) and Guangzhou Automobile Group (2238 HK) are now at 52-week wides. 

Last week's recommendation was to take off Hisense and the H-share fell 7.3% while the spread widened 0.7%. It is still probably worth unwinding. At this point, Great Wall and Guangzhou are worth a buy on a spread basis.





For Energy, Financials &amp; Real Estate, Health Care, Tech, Industrials, Materials, and Utilities, please read on.


Quiddity Weekly H/​A: Share Spread Monitor 23 Oct 2020

Global Special Situations & Strategy, SR Services Ltd

David Lepper

Global Special Situations & Strategy

SR Services Ltd

SR Services provides Strategic Knowledge and Solutions services for Family Offices and Corporate Business. 

We deliver this via advisory services, strategic planning, opportunity analysis/sourcing, as well as solution implementation. 

Whilst, we create intellectual discipline and operational leverage for your projects or daily activities, our ultimate objective is to empower whilst enhancing your decision making. 

Strategic Knowledge and Solutions

Cross Asset Strategy

<ul>
<li>
Our Q4-2019 Small-Mid Cap High-Risk list of stocks produced an average price decline of 6.1% and on a market cap weighted basis a decline of 8.6%. In comparison, the MSCI Asia Pacific Index posted a decline of 4.1% over the same period. The stock rank quality of the Q4 2019 list increased mere1.5 points or 0.46% for the period. Refer: <a href="https://www.smartkarma.com/insights/screening-the-silk-road-small-mid-cap-high-risk-names-to-avoid-q4-2019" target="_blank" data-smartkarma-citation="insights:34640" rel="noopener">Screening the Silk Road: Small-Mid Cap High Risk Names to Avoid: Q4 2019</a> </li>
<li>
17 stocks appear in our Q1 2020 screen, compared to 16, 14, 19 and 26 in Q4, Q3, Q2 and Q1 2019 respectively. The average stock rank in our list has decreased 2.8 to 72.1 points since December 2019. The reduction reflects some of the decisive bearish moves in recent weeks within the Asian Universe. This has seen the market making a more defined separation of Quality, Value and relative Momentum, which we had felt was overdue in Q4 2019.</li>
<li>
Deteriorating credit metrics support our view that the level of risk appears is increasing within the small-mid cap universe. </li>
</ul>



Our Q4-2019 Small-Mid Cap High-Risk list of stocks produced an average price decline of 6.1% and on a market cap weighted basis a decline of 8.6%. In comparison, the MSCI Asia Pacific Index posted a decline of 4.1% over the same period. The stock rank quality of the Q4 2019 list increased mere1.5 points or 0.46% for the period. Refer: Screening the Silk Road: Small-Mid Cap High Risk Names to Avoid: Q4 2019 

17 stocks appear in our Q1 2020 screen, compared to 16, 14, 19 and 26 in Q4, Q3, Q2 and Q1 2019 respectively. The average stock rank in our list has decreased 2.8 to 72.1 points since December 2019. The reduction reflects some of the decisive bearish moves in recent weeks within the Asian Universe. This has seen the market making a more defined separation of Quality, Value and relative Momentum, which we had felt was overdue in Q4 2019.

Deteriorating credit metrics support our view that the level of risk appears is increasing within the small-mid cap universe. 


Screening the Silk Road: Q1 2020 Small-Mid Cap High Risk Names to Avoid

* Our Q3-2019 Small-Mid Cap High-Risk list of stocks ( <a href="https://www.smartkarma.com/insights/screening-the-silkroad-small-mid-cap-high-risk-names-to-avoid-q3-2019" target="_blank" data-smartkarma-citation="insights:31999" rel="noopener">Screening the Silkroad: Small-Mid Cap High-Risk Names to Avoid: Q3 2019 ) </a> produced a market cap average price return of 5%. In comparison, the MSCI Asia Pacific Index posted 8.5% over the same period. The stock rank quality of the Q3 2019 list declined 5.1 points or 6.6% for the period.  * 16-stocks appear in our Q4 2019 screen, compared to 14, 19 and 26 in Q3, Q2 and Q1 respectively. The average stock rank has decreased marginally to 74.9 points from the 76.9 points in August 2019. The fact that the screen presents with a high stock rank remains a concern. In our view, this reflects the increased level of risk in the market which is being seen in other metrics as well. * Deteriorating credit metrics support our view that the level of risk appears is increasing within the small-mid cap universe.

* Our Q3-2019 Small-Mid Cap High-Risk list of stocks ( Screening the Silkroad: Small-Mid Cap High-Risk Names to Avoid: Q3 2019 )  produced a market cap average price return of 5%. In comparison, the MSCI Asia Pacific Index posted 8.5% over the same period. The stock rank quality of the Q3 2019 list declined 5.1 points or 6.6% for the period.  * 16-stocks appear in our Q4 2019 screen, compared to 14, 19 and 26 in Q3, Q2 and Q1 respectively. The average stock rank has decreased marginally to 74.9 points from the 76.9 points in August 2019. The fact that the screen presents with a high stock rank remains a concern. In our view, this reflects the increased level of risk in the market which is being seen in other metrics as well. * Deteriorating credit metrics support our view that the level of risk appears is increasing within the small-mid cap universe. 

Screening the Silk Road: Small-Mid Cap High Risk Names to Avoid: Q4 2019

Thematic (Sector/Industry)

<h2>Reduced List, but significant all the same</h2><ul>
<li>
OurQ2-2019 Small-Mid Cap High-Risk list of stocks (<a href="https://www.smartkarma.com/insights/screening-the-silkroad-small-mid-cap-high-risk-names-to-avoid-q2-2019" target="_blank" data-smartkarma-citation="insights:29753" rel="noopener">Screening the Silkroad: Small-Mid Cap High-Risk Names to Avoid: Q2 2019</a>) produced a market cap average price decrease of 9.7%. In comparison, the MSCI Asia Pacific Index decreased 7.5% over the same period.</li>
<li>Our screen looks for high valuation multiples presented by candidates with significant earnings growth forecasts, as well as financial indicators that suggest balance sheet distress.</li>
<li>
The Risk to this screen: The Financial and Utility sectors are not covered in this screen. Moreover, “risk is not a number, it is a concept or notion”, as cited by James Mortiner during his time at Société Genéralé. Hence, some stocks may appear on this screen due to their business model being realigned to a more profitable approach. They may also be a member of more positive value or quality screens, as a result of this realignment.</li>
<li>
14-stocks appear in our Q3 2019 screen, down from 19 and 26 in Q2 and Q1 2019 respectively. Of the new list, 7 stocks are new to the list. On a geographical basis, Singapore remains absent from the screen for the fifth quarter running, whilst New Zealand has not presented any names for the second quarter running.</li>
<li>
Whilst our screen highlights a decreased pool of candidates, the level of risk remains relatively static within the small-mid cap universe, there have been several revealing data points in this quarters screen, which suggest investors need to pay attention to the Asian markets.</li>
</ul>

Reduced List, but significant all the same

OurQ2-2019 Small-Mid Cap High-Risk list of stocks (Screening the Silkroad: Small-Mid Cap High-Risk Names to Avoid: Q2 2019) produced a market cap average price decrease of 9.7%. In comparison, the MSCI Asia Pacific Index decreased 7.5% over the same period.
Our screen looks for high valuation multiples presented by candidates with significant earnings growth forecasts, as well as financial indicators that suggest balance sheet distress.

The Risk to this screen: The Financial and Utility sectors are not covered in this screen. Moreover, “risk is not a number, it is a concept or notion”, as cited by James Mortiner during his time at Société Genéralé. Hence, some stocks may appear on this screen due to their business model being realigned to a more profitable approach. They may also be a member of more positive value or quality screens, as a result of this realignment.

14-stocks appear in our Q3 2019 screen, down from 19 and 26 in Q2 and Q1 2019 respectively. Of the new list, 7 stocks are new to the list. On a geographical basis, Singapore remains absent from the screen for the fifth quarter running, whilst New Zealand has not presented any names for the second quarter running.

Whilst our screen highlights a decreased pool of candidates, the level of risk remains relatively static within the small-mid cap universe, there have been several revealing data points in this quarters screen, which suggest investors need to pay attention to the Asian markets.


Screening the Silkroad: Small-Mid Cap High-Risk Names to Avoid: Q3 2019

The risk remains apparent - but list reduced in number over Q2<ul>
<li>
Q1-2019 Small-Mid Cap High-Risk list of stocks ( <a href="https://www.smartkarma.com/insights/screening-the-silkroad-small-mid-cap-possible-high-risk-names-q1-2019" target="_blank" data-smartkarma-citation="insights:27812">Screening the Silkroad: Small-Mid Cap - Possible High-Risk Names: Q1 2019</a> ) delivered a market cap average price increase of 6%. In comparison, the MSCI Asia Pacific Index appreciated 5% over the same period.</li>
<li>Our screen looks for high valuation multiples presented by candidates with significant earnings growth forecasts, as well as financial indicators that suggest balance sheet distress.</li>
<li>
The Risk to this screen: The Financial and Utility sectors are not covered in this screen. Moreover, “risk is not a number, it is a concept or notion”, as cited by James Mortiner during his time at Société Genéralé. Hence, some stocks may appear on this screen due to their business model being realigned to a more profitable approach. They may also be a member of more positive value or quality screens, as a result of this realignment.</li>
<li>
17-stocks appear in our Q2 2019 screen, down from 26 in Q1 2019. Of which 8 are new to the list. India has increased its presence in the list, whilst Korea and Taiwan have reduced theirs. Singapore remains absent from the screen for the fourth quarter running, whilst New Zealand has no presence this quarter.</li>
<li>
Our screen continues to highlight that risk remains within the small-mid cap universe, as measured by the Altman Z score. Moreover, our average stock in the list has a ranking of 65.7, compared to 42.3 in Q1 2019, which is still highlighting mid-field ranking. These stocks traditionally perform in-line with the market at best.</li>
</ul>

The risk remains apparent - but list reduced in number over Q2

Q1-2019 Small-Mid Cap High-Risk list of stocks ( Screening the Silkroad: Small-Mid Cap - Possible High-Risk Names: Q1 2019 ) delivered a market cap average price increase of 6%. In comparison, the MSCI Asia Pacific Index appreciated 5% over the same period.
Our screen looks for high valuation multiples presented by candidates with significant earnings growth forecasts, as well as financial indicators that suggest balance sheet distress.

The Risk to this screen: The Financial and Utility sectors are not covered in this screen. Moreover, “risk is not a number, it is a concept or notion”, as cited by James Mortiner during his time at Société Genéralé. Hence, some stocks may appear on this screen due to their business model being realigned to a more profitable approach. They may also be a member of more positive value or quality screens, as a result of this realignment.

17-stocks appear in our Q2 2019 screen, down from 26 in Q1 2019. Of which 8 are new to the list. India has increased its presence in the list, whilst Korea and Taiwan have reduced theirs. Singapore remains absent from the screen for the fourth quarter running, whilst New Zealand has no presence this quarter.

Our screen continues to highlight that risk remains within the small-mid cap universe, as measured by the Altman Z score. Moreover, our average stock in the list has a ranking of 65.7, compared to 42.3 in Q1 2019, which is still highlighting mid-field ranking. These stocks traditionally perform in-line with the market at best.


Screening the Silkroad: Small-Mid Cap High-Risk Names to Avoid: Q2 2019

China

China Coal Energy Company Ltd mines and markets thermal coal and coking coal. The Company also manufactures coal mining equipment and offers coal mine design services.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
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China Coal Energy Co H (1898 HK)

Screening the Silk Road: Q1 2020 Small-Mid Cap High Risk Names to Avoid

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Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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* Our Q3-2019 Small-Mid Cap High-Risk list of stocks ( Screening the Silkroad: Small-Mid Cap High-Risk Names to Avoid: Q3 2019 ) produced a market...

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Screening the Silkroad: Small-Mid Cap High-Risk Names to Avoid: Q3 2019

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Quiddity Weekly H/A: Share Spread Monitor 23 Oct 2020