Category

Quantitative Analysis

Mar 24
0

Daily Brief Quantitative Analysis: Thailand Short Interest Weekly (Mar 21st): PTT and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Thailand Short Interest Weekly (Mar 21st): PTT, SCC, Krung Thai Bank, True, Srisawad
  • KRX Foreign Holding Weekly (Mar 21st): Samsung Electronics, SK Hynix, Hanwha Aerospace
  • Hong Kong Connect Flows (Mar 21st): Ke, China Mobile, Alibaba, Kuaishou, BOC, CR Beer, SMIC
  • A-H Premium Weekly (Mar 21st): 47 Stocks at 52 Week High A-H Premium
  • HK Short Interest Weekly: Trip.Com, ABC, BYD
  • TWSE Foreign Holding Weekly (Mar 21st): Yang Ming, Hon Hai Precision Industry, TSMC, Quanta Computer
  • TWSE Short Interest Weekly (Mar 21st): Ctbc Financial, Asustek Computer, Mediatek, Alchip

Thailand Short Interest Weekly (Mar 21st): PTT, SCC, Krung Thai Bank, True, Srisawad

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Stock Exchange of Thailand as of Mar 21st.We estimate that they had an aggregated short interest worth USD2.0bn.
  • 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 PTT, SCC, Krung Thai Bank, True, Srisawad.

KRX Foreign Holding Weekly (Mar 21st): Samsung Electronics, SK Hynix, Hanwha Aerospace

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Mar 21st which has an aggregated holding worth USD500.4bn.
  • We estimate that foreign flows to be inflows of USD1,889mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Samsung Electronics, SK Hynix, Hanwha Aerospace.

Hong Kong Connect Flows (Mar 21st): Ke, China Mobile, Alibaba, Kuaishou, BOC, CR Beer, SMIC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 21st.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Ke, China Mobile, Alibaba, Kuaishou, BOC, China Resources Beer, SMIC, Meituan.

A-H Premium Weekly (Mar 21st): 47 Stocks at 52 Week High A-H Premium

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 150 stocks over the last week. The average A-H premium was 83.3% as of Mar 21st.
  • The average A-H premium changed by -0.4ppt week-on-week, led by utilities, consumer discretionary, communication services and offset by consumer staples, financials.
  • We highlight weekly changes in A-H premium for Huadian Power, Livzon Pharma, Joinn Lab, Maanshan Iron&Steel, Datang Intl Power.

HK Short Interest Weekly: Trip.Com, ABC, BYD

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 14th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Trip.Com (9961 HK), ABC (1288 HK), BYD (1211 HK).

TWSE Foreign Holding Weekly (Mar 21st): Yang Ming, Hon Hai Precision Industry, TSMC, Quanta Computer

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Mar 21st which has an aggregated holding worth USD931.3bn.
  • We estimate that foreign flows to be outflows of USD1,594mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Yang Ming Marine, Hon Hai Precision Industry, TSMC, Quanta Computer.

TWSE Short Interest Weekly (Mar 21st): Ctbc Financial, Asustek Computer, Mediatek, Alchip

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 21st which has an aggregated short interest worth USD21.1bn.
  • 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 Ctbc Financial, Asustek Computer, Mediatek, Alchip Technologies, Innolux, Elite Advanced Laser.

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Mar 22
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 21st): China Hongqiao and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 21st): China Hongqiao, Swire Pacific, Samsonite
  • ASX Short Interest Weekly (Mar 14th): Lottery, Telstra, Sigma Pharmaceuticals

Hong Kong Buybacks Weekly (Mar 21st): China Hongqiao, Swire Pacific, Samsonite

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 21st based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were China Hongqiao (1378 HK), Swire Pacific (19 HK), Samsonite (1910 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were CNBM (3323 HK), Swire Pacific (19 HK), China Hongqiao (1378 HK).

ASX Short Interest Weekly (Mar 14th): Lottery, Telstra, Sigma Pharmaceuticals

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 14th (reported today) which has an aggregated short interest worth USD22.5bn.
  • 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 Lottery, Telstra, Sigma Pharmaceuticals.

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Mar 20
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Mar 14th): Skc and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Mar 14th): Skc, Korea Aerospace

KRX Short Interest Weekly (Mar 14th): Skc, Korea Aerospace

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Mar 14th which has an aggregated short interest worth USD3.6bn.
  • 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 Skc (011790 KS), Korea Aerospace (047810 KS).

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Mar 18
0

Daily Brief Quantitative Analysis: Thailand Short Interest Weekly (Mar 14th): Advanced Info Service and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Thailand Short Interest Weekly (Mar 14th): Advanced Info Service, Carabao

Thailand Short Interest Weekly (Mar 14th): Advanced Info Service, Carabao

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Stock Exchange of Thailand as of Mar 14th.We estimate that they had an aggregated short interest worth USD1.9bn.
  • 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 Advanced Info Service, Carabao.

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Mar 17
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Trip.Com and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Trip.Com, Anta Sports, Sunac, China Tower, HKEx
  • KRX Foreign Holding Weekly (Mar 14th): Hanwha Aerospace, Hanwha Ocean, Samsung Electronics
  • TWSE Foreign Holding Weekly (Mar 14th): TSMC, Mediatek, Asustek, Hon Hai, Quanta Computer
  • TWSE Short Interest Weekly (Mar 14th): Nanya Technology, Bora Pharmaceuticals, Jinan Acetate

HK Short Interest Weekly: Trip.Com, Anta Sports, Sunac, China Tower, HKEx

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 7th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Trip.Com, Anta Sports, Sunac, China Tower, HKEx, CSOP HSTECH 2X ETF.

KRX Foreign Holding Weekly (Mar 14th): Hanwha Aerospace, Hanwha Ocean, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Mar 14th which has an aggregated holding worth USD483.5bn.
  • We estimate that foreign flows to be outflows of USD1,135mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Hanwha Aerospace, Hanwha Ocean, Samsung Electronics.

TWSE Foreign Holding Weekly (Mar 14th): TSMC, Mediatek, Asustek, Hon Hai, Quanta Computer

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Mar 14th which has an aggregated holding worth USD919.9bn.
  • We estimate that foreign flows to be outflows of USD3,912mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in TSMC, Mediatek, Asustek Computer, Hon Hai Precision Industry, Quanta Computer.

TWSE Short Interest Weekly (Mar 14th): Nanya Technology, Bora Pharmaceuticals, Jinan Acetate

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 14th which has an aggregated short interest worth USD21.0bn.
  • 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 Nanya Technology, Bora Pharmaceuticals, Jinan Acetate Chemical, China Steel, Alchip Technologies.

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Mar 16
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Mar 14th): CIMC and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Mar 14th): CIMC, Sinotrans, Joinn Lab, Huahong Semicon, Huaneng Power
  • Hong Kong Connect Flows (Mar 14th): Alibaba, Guotai Junan, Tencent, Kuaishou, Xiaomi, Geely, SMIC

A-H Premium Weekly (Mar 14th): CIMC, Sinotrans, Joinn Lab, Huahong Semicon, Huaneng Power

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 150 stocks over the last week. The average A-H premium was 83.5% as of Mar 14th.
  • The average A-H premium changed by -0.9ppt week-on-week, led by consumer discretionary, consumer staples, energy and offset by information technology, real estate, materials.
  • We highlight weekly changes in A-H premium for CIMC, Sinotrans, Joinn Lab, Huahong Semicon, Huaneng Power, Tigermed, Asymchem Lab.

Hong Kong Connect Flows (Mar 14th): Alibaba, Guotai Junan, Tencent, Kuaishou, Xiaomi, Geely, SMIC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 14th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Alibaba, Guotai Junan Securities, Tencent, Kuaishou, Xiaomi, Geely Automobile, SMIC.

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Mar 15
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 14th): Cnbm and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 14th): Cnbm, Swire Pacific, Techtronic

Hong Kong Buybacks Weekly (Mar 14th): Cnbm, Swire Pacific, Techtronic

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 14th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Cnbm (3323 HK), Swire Pacific (19 HK), Techtronic (669 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Cnbm (3323 HK), Swire Pacific (19 HK), Crrc Times Electric (3898 HK).

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Mar 14
0

Daily Brief Quantitative Analysis: USA Against ROW: Trends in Global Market Leadership and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • USA Against ROW: Trends in Global Market Leadership
  • ASX Short Interest Weekly (Mar 7th): BHP, Woodside Energy, Westpac

USA Against ROW: Trends in Global Market Leadership

By John Ley

  • The SP500 has enjoyed a prolonged period of outperformance against its international peers.
  • This year’s political shift and new policy actions could challenge long-held investment assumptions.
  • We examine the SP500’s performance relative to a range of international indexes and assets.

ASX Short Interest Weekly (Mar 7th): BHP, Woodside Energy, Westpac

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 7th (reported today) which has an aggregated short interest worth USD22.7bn.
  • 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 highlight short interest changes in BHP, Woodside Energy, Westpac.

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Mar 13
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Mar 7th): Kakao and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Mar 7th): Kakao, Hlb, Samsung Electronics

KRX Short Interest Weekly (Mar 7th): Kakao, Hlb, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Mar 7th which has an aggregated short interest worth USD3.6bn.
  • 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 Kakao, Hlb, Samsung Electronics.

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Mar 12
0

Daily Brief Quantitative Analysis: The Right Time for This Quantitative Strategy Outperforming the Nikkei Year to Date. and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • The Right Time for This Quantitative Strategy Outperforming the Nikkei Year to Date.

The Right Time for This Quantitative Strategy Outperforming the Nikkei Year to Date.

By Gaudenz Schneider

  • The Global X Nikkei 225 Covered Call ETF (2858 JP) has outperformed the Nikkei 225 (NKY INDEX) year-to-date with a 4.5% advantage, demonstrating strength in sideways and moderately declining markets.
  • The covered call strategy can be deployed as a tactical standalone in sideways markets or as a relative value approach against a Nikkei 225 short.
  • For investors anticipating a continuation of the sideways or declining market, the option roll-over on the open of March 14 offers timely entry.

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