Category

Quantitative Analysis

Mar 13
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Mar 8th): Enchem and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Mar 8th): Enchem, Hmm

KRX Short Interest Weekly (Mar 8th): Enchem, Hmm

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Mar 8th which has an aggregated short interest worth USD7.7bn.
  • 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 Enchem Co Ltd, and Hmm Co Ltd.

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Mar 11
0

Daily Brief Quantitative Analysis: KRX Foreign Holding Weekly (Mar 8th): Sk Hynix and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Foreign Holding Weekly (Mar 8th): Sk Hynix, Hyundai Motor, Kb Financial Gro, Naver

KRX Foreign Holding Weekly (Mar 8th): Sk Hynix, Hyundai Motor, Kb Financial Gro, Naver

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of Mar 8th which has an aggregated holding worth USD533.0bn.
  • We estimate that foreign flows to be inflows of USD185mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in Sk Hynix, Hyundai Motor, Kb Financial Gro, Naver.

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Mar 10
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Mar 8th): TSMC and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Mar 8th): TSMC, ASE, Mediatek, Yageo, Faraday Tech, Chung-Hsin, Momo.Com
  • A-H Premium Weekly (Mar 8th): CNOOC, Air China, China Southern Air, Guangzhou Auto
  • HK Short Interest Weekly: Meituan, Shk Ppt, Baba, Bud Apac, New World Dev
  • Hong Kong Connect Flows (Mar 8th): Meituan, China Mobile, CNOOC
  • Northbound Flows (Mar 8th): China Yangtze Power, CATL, Tongwei, Foxconn Industrial Internet

TWSE Short Interest Weekly (Mar 8th): TSMC, ASE, Mediatek, Yageo, Faraday Tech, Chung-Hsin, Momo.Com

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 8th which has an aggregated short interest worth USD69.7bn.
  • 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 TSMC, ASE, Mediatek, Yageo, Faraday Tech, Chung-Hsin, Momo.Com.

A-H Premium Weekly (Mar 8th): CNOOC, Air China, China Southern Air, Guangzhou Auto

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 123.2% as of Mar 8th.
  • The average A-H premium changed by -1.4ppt week-on-week, led by consumer staples, industrials, financials and offset by information technology, consumer discretionary, energy.
  • We highlight weekly changes in A-H premium for CNOOC, Air China, China Southern Air, Guangzhou Auto.

HK Short Interest Weekly: Meituan, Shk Ppt, Baba, Bud Apac, New World Dev

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 1st.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Meituan, Shk Ppt, Baba, Bud Apac, New World Dev.

Hong Kong Connect Flows (Mar 8th): Meituan, China Mobile, CNOOC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 8th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for thre stocks, Meituan, China Mobile, and CNOOC.

Northbound Flows (Mar 8th): China Yangtze Power, CATL, Tongwei, Foxconn Industrial Internet

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 8th.
  • We estimate the weekly outflows to be US$376.5 million, led by information technology, consumer discretionary, and offset by industrials, utilities, financials.
  • We highlight flows for China Yangtze Power, CATL, Tongwei, Foxconn Industrial Internet.

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Mar 09
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Mar 1st): Commonw Bk Austr and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Mar 1st): Commonw Bk Austr, Rio Tinto, Seven Group Hold, Wesfarmers, Igo
  • Hong Kong Buybacks Weekly (Mar 8th): Dongyue, Aia, Kuaishou Technology

ASX Short Interest Weekly (Mar 1st): Commonw Bk Austr, Rio Tinto, Seven Group Hold, Wesfarmers, Igo

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 1st (reported today) which has an aggregated short interest worth USD19.3bn.
  • 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 Commonw Bk Austr, Rio Tinto, Seven Group Hold, Wesfarmers, Igo, Yancoal Australi, Macquarie, Xero, Lovisa.

Hong Kong Buybacks Weekly (Mar 8th): Dongyue, Aia, Kuaishou Technology

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 8th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Dongyue (189 HK), AIA (1299 HK), Kuaishou Technology (1024 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Dongyue (189 HK), AIA (1299 HK), HSBC (5 HK).

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Mar 07
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Mar 1st): Samsung SDI and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Mar 1st): Samsung SDI, Hyundai Mipo Doc, Hotel Shilla, Amorepacific

KRX Short Interest Weekly (Mar 1st): Samsung SDI, Hyundai Mipo Doc, Hotel Shilla, Amorepacific

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Mar 1st which has an aggregated short interest worth USD7.7bn.
  • 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 Samsung SDI, Hyundai Mipo Doc, Hotel Shilla, Amorepacific Cor.

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Mar 06
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (February): CNOOC and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (February): CNOOC, China Telecom, China Mobile, Li Auto, Meituan
  • Northbound Flows (Feb): $9.3bn Inflows in Feb

Hong Kong Connect Flows (February): CNOOC, China Telecom, China Mobile, Li Auto, Meituan

By Ke Yan, CFA, FRM

  • We analyze the monthly Hong Kong Connect flows with our data engine.
  • We tabulate the top stocks by inflows, outflows, and holding by mainland investors.
  • We highlight inflows into CNOOC, China Telecom, China Mobile, Li Auto, Meituan. 

Northbound Flows (Feb): $9.3bn Inflows in Feb

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • The monthly inflows of US$9.3bn tops the monthly inflows in the past 12 months. The inflows were led by the financials, consumer staples, and industrial sectors.
  • We highlight inflows into Moutai, Ping An, CMB, ICBC, Wuliangye.

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Mar 05
0

Daily Brief Quantitative Analysis: Screening for GEMs: March 2024 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: March 2024

Screening for GEMs: March 2024

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 3 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.

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Mar 04
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Mar 1st): CNOOC and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Mar 1st): CNOOC, Li Auto, Tencent
  • A-H Premium Weekly (Mar 1st): ZTE, China Southern, SMIC, Ganfeng Lithium, Flat Glass Group
  • Northbound Flows (Mar 1st): Midea, Moutai, Chongqing Sokon Industry Group, CATL, Naura Technology
  • TWSE Foreign Holding Weekly (Mar 1st): TSMC, Wiwynn, Mediatek, Asia Vital, Alchip Tech
  • HK Short Interest Weekly: HSBC, Li Auto, Lenovo
  • KRX Foreign Holding Weekly (Mar 1st): Sk Hynix, Samsung Electronics, Hanwha Aerospace, Kakao

Hong Kong Connect Flows (Mar 1st): CNOOC, Li Auto, Tencent

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 1st.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for CNOOC, Li Auto, Tencent, China Traditional Chinese Medicine Holdings.

A-H Premium Weekly (Mar 1st): ZTE, China Southern, SMIC, Ganfeng Lithium, Flat Glass Group

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 124.5% as of Mar 1st.
  • The average A-H premium changed by 1.8ppt week-on-week, led by real estate, health care, information technology and offset by utilities, materials.
  • We highlight weekly changes in A-H premium for ZTE, China Southern, SMIC, Ganfeng Lithium, Flat Glass Group.

Northbound Flows (Mar 1st): Midea, Moutai, Chongqing Sokon Industry Group, CATL, Naura Technology

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 1st.
  • We estimate the weekly inflows to be US$4,463.8 million, led by information technology, materials, industrials sectors.
  • We highlight flows for Midea, Moutai, Chongqing Sokon Industry Group Stock, CATL, Naura Technology.

TWSE Foreign Holding Weekly (Mar 1st): TSMC, Wiwynn, Mediatek, Asia Vital, Alchip Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Mar 1st which has an aggregated holding worth USD3,699.8bn.
  • We estimate that foreign flows to be inflows of USD1,279mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign instutions.
  • We highlight foreign changes in TSMC, Wiwynn, Mediatek, Asia Vital, Alchip Tech, Asustek Computer, Umc, Quanta Computer, Chunghwa Telecom, Lite-On Tech.

HK Short Interest Weekly: HSBC, Li Auto, Lenovo

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Feb 23rd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short weekly changes in HSBC, Li Auto, Lenovo.

KRX Foreign Holding Weekly (Mar 1st): Sk Hynix, Samsung Electronics, Hanwha Aerospace, Kakao

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of Mar 1st which has an aggregated holding worth USD517.4bn.
  • We estimate that foreign flows to be inflows of USD1,159mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign instistutions.
  • We highlight foreign changes in Sk Hynix, Samsung Electronics, Hanwha Aerospace, Kakao, LG Chem.

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Mar 03
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Mar 1st): Wiwynn and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Mar 1st): Wiwynn, Lite-On Tech, TSMC, Shihlin Elec&Eng, Evergreen Marine

TWSE Short Interest Weekly (Mar 1st): Wiwynn, Lite-On Tech, TSMC, Shihlin Elec&Eng, Evergreen Marine

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 1st which has an aggregated short interest worth USD68.0bn.
  • 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, Lite-On Tech, TSMC, Shihlin Elec&Eng, Evergreen Marine, Lotus.

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Mar 02
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Feb 23rd): Bluescope Steel and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Feb 23rd): Bluescope Steel, Treasury Wine, Domino’s Pizza
  • Hong Kong Buybacks Weekly (Mar 1st): AIA, Kuaishou Technology, Swire Pacific

ASX Short Interest Weekly (Feb 23rd): Bluescope Steel, Treasury Wine, Domino’s Pizza

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Feb 23rd (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 Bluescope Steel, Treasury Wine, Domino’s Pizza.

Hong Kong Buybacks Weekly (Mar 1st): AIA, Kuaishou Technology, 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 1st 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), Kuaishou Technology (1024 HK), Swire Pacific (19 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were AIA (1299 HK), HSBC (5 HK), Wuxi Biologics (2269 HK).

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