Category

Quantitative Analysis

Feb 28
0

Daily Brief Quantitative Analysis: Parade Technologies: Negative Technical Analysis Signals and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Parade Technologies: Negative Technical Analysis Signals
  • EQD / NSE Volatility Update / 19-Feb-24 to 23-Feb-24
  • KRX Short Interest Weekly (Feb 23rd): Posco Holdings, Rotem

Parade Technologies: Negative Technical Analysis Signals

By Wium Malan, CFA

  • Following disappointing near-term guidance, Parade Technologies (4966 TT) remains firmly amid an earnings downgrade cycle.
  • With Parade Technologies breaching overbought territory, near-term momentum indicators are displaying bearish signals.
  • Parade Technologies currently trades on a 24.6x NTM PE ratio, above its rolling 5-year historic average trading range.

EQD / NSE Volatility Update / 19-Feb-24 to 23-Feb-24

By Sankalp Singh

  • IVs fail to move higher in spite of new highs in NIFTY50 Index 
  • New banking regulations from the RBI causing frothiness in BankNifty options market
  • Regime Switching Model is in the process of switching from “High & Up” to “High & Down” Vol state

KRX Short Interest Weekly (Feb 23rd): Posco Holdings, Rotem

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Feb 23rd 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 weekly changes in Posco Holdings, Rotem.

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Feb 26
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Feb 23rd): CNOOC and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Feb 23rd): CNOOC, China Mobile
  • Northbound Flows (Feb 23rd): Moutai, CATL, Ping An Insurance, CMB, Industrial Bank, ICBC, Wuliangye
  • A-H Premium Weekly (Feb 23rd): SMIC, Flat Glass Group, GWM, China Longyuan, Wuxi Apptec
  • HK Short Interest Weekly: Boc Aviation, Link Reit
  • TWSE Foreign Holding Weekly (Feb 23rd): Mediatek, TSMC, Evergreen Marine, Unimicron Tech, Novatek
  • KRX Foreign Holding Weekly (Feb 23rd): Hanwha Ocean, Sk Hynix, Posco Holdings, Samsung C&T

Hong Kong Connect Flows (Feb 23rd): CNOOC, China Mobile

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of February 23rd.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight the weekly Hong Kong Connect flows for CNOOC, China Mobile.

Northbound Flows (Feb 23rd): Moutai, CATL, Ping An Insurance, CMB, Industrial Bank, ICBC, Wuliangye

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of February 23rd.
  • We estimate the weekly inflows to be US$1,986.7 million, led by financials, consumer staples, industrials sectors, and offset by information technology, communication services.
  • We highlight flows for Moutai, CATL, Ping An Insurance, CMB, Industrial Bank, ICBC, Wuliangye, Agricultural Bank Of China, Inner Mongolia Yili Industrial, Wuxi Apptec.

A-H Premium Weekly (Feb 23rd): SMIC, Flat Glass Group, GWM, China Longyuan, Wuxi Apptec

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 122.6% as of Feb 23rd.
  • The average A-H premium changed by -2.1ppt week-on-week, led by utilities, materials, health care and offset by consumer staples, consumer discretionary, information technology.
  • We highlight weekly changes in A-H premium for SMIC, Flat Glass Group, GWM, China Longyuan, Wuxi Apptec, Shandong Gold.

HK Short Interest Weekly: Boc Aviation, Link Reit

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Feb 16th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Boc Aviation, and Link Reit.

TWSE Foreign Holding Weekly (Feb 23rd): Mediatek, TSMC, Evergreen Marine, Unimicron Tech, Novatek

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Feb 23rd which has an aggregated holding worth USD3,723.6bn.
  • We estimate that foreign flows to be inflows of USD4,330mln. 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 Mediatek, TSMC, Evergreen Marine, Unimicron Tech, Novatek, Wistron, Faraday Tech, Umc, Global Unichip, Quanta Computer.

KRX Foreign Holding Weekly (Feb 23rd): Hanwha Ocean, Sk Hynix, Posco Holdings, Samsung C&T

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of Feb 23rd which has an aggregated holding worth USD519.8bn.
  • We estimate that foreign flows to be inflows of USD2,484mln. 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 Hanwha Ocean, Sk Hynix, Posco Holdings, Samsung C&T.

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Feb 25
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Feb 23rd): Novatek and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Feb 23rd): Novatek, Faraday Tech, Realtek Semi, Shihlin Elec&Eng, TSMC

TWSE Short Interest Weekly (Feb 23rd): Novatek, Faraday Tech, Realtek Semi, Shihlin Elec&Eng, TSMC

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Feb 23rd which has an aggregated short interest worth USD66.3bn.
  • 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 Novatek, Faraday Tech, Realtek Semi, Shihlin Elec&Eng, Asmedia Tech, TSMC, Global Unichip, Alchip Tech.

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Feb 24
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Feb 16th): Seek and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Feb 16th): Seek, Origin Energy, Woodside Energy, ANZ, Qantas Airways
  • Hong Kong Buybacks Weekly (Feb 23rd): AIA, HSBC, Yum China

ASX Short Interest Weekly (Feb 16th): Seek, Origin Energy, Woodside Energy, ANZ, Qantas Airways

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Feb 16th (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 Seek, Origin Energy, Woodside Energy, ANZ, Qantas Airways.

Hong Kong Buybacks Weekly (Feb 23rd): AIA, HSBC, Yum China

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Feb 23rd 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), HSBC (5 HK), Yum China (9987 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), Xiaomi (1810 HK).

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Feb 21
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Feb 16th): Enchem and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Feb 16th): Enchem, HMM

KRX Short Interest Weekly (Feb 16th): Enchem, HMM

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Feb 16th which has an aggregated short interest worth USD7.9bn.
  • 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 have highlighted short interest weekly changes in Enchem, HMM.

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Feb 19
0

Daily Brief Quantitative Analysis: KRX Foreign Holding Weekly (Feb 16th): SK Hynix and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Foreign Holding Weekly (Feb 16th): SK Hynix, Hyundai Motor, KB Financial Group, Samsung C&T

KRX Foreign Holding Weekly (Feb 16th): SK Hynix, Hyundai Motor, KB Financial Group, Samsung C&T

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of Feb 16th which has an aggregated holding worth USD510.6bn.
  • We estimate that foreign flows to be inflows of USD1,177mln. 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, Hyundai Motor, KB Financial Group, Samsung C&T, Samsung Electronics.

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Feb 17
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Feb 9th): ANZ and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Feb 9th): ANZ, CSL, Telstra

ASX Short Interest Weekly (Feb 9th): ANZ, CSL, Telstra

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Feb 9th (reported today) which has an aggregated short interest worth USD18.1bn.
  • 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 weekly changes in ANZ, CSL, Telstra.

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Feb 16
0

Daily Brief Quantitative Analysis: China Yangtze Power: Negative Technical Analysis Signals and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • China Yangtze Power: Negative Technical Analysis Signals

China Yangtze Power: Negative Technical Analysis Signals

By Wium Malan, CFA

  • Following the earnings miss reported last month, China Yangtze Power Co, Ltd. (600900 CH) remains firmly amid an earnings downgrade cycle.
  • With China Yangtze Power breaching overbought territory, near-term momentum indicators are displaying bearish signals.
  • China Yangtze Power currently trades on a 17.6x NTM PE ratio, above its rolling 5-year historic average trading range.

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Feb 15
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Feb 9th): Shin Zu Shing and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Feb 9th): Shin Zu Shing

TWSE Short Interest Weekly (Feb 9th): Shin Zu Shing

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Feb 9th which has an aggregated short interest worth USD62.4bn.
  • 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 weekly changes in Shin Zu Shing.

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Feb 14
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Feb 9th): Zijin Mining and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Feb 9th): Zijin Mining, Conch Cement, China Vanke, Air China, Shandong Gold
  • HK Short Interest Weekly: Hscei Etf, Bud Apac, CMB, Tencent, Wuxi Apptec, Wuxi Bio
  • Hong Kong Connect Flows (Feb 9th): Tencent
  • Northbound Flows (Feb 9th): Moutai, Boe Technology, Wuxi Apptec, Wanhua Chemical, CATL

A-H Premium Weekly (Feb 9th): Zijin Mining, Conch Cement, China Vanke, Air China, Shandong Gold

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 129.8% as of Feb 9th.
  • The average A-H premium changed by 6.2ppt week-on-week, led by health care, materials, real estate and offset by consumer discretionary, communication services.
  • We highlight weekly changes in A-H premium for Zijin Mining, Conch Cement, China Vanke, Air China, Shandong Gold, RemeGen, CICC, Shanghai Junshi.

HK Short Interest Weekly: Hscei Etf, Bud Apac, CMB, Tencent, Wuxi Apptec, Wuxi Bio

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Feb 2nd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Hscei Etf, Bud Apac, CMB, Tencent, Wuxi Apptec, Wuxi Bio, Lenovo.

Hong Kong Connect Flows (Feb 9th): Tencent

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of February 9th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight the weekly Hong Kong connect flows for Tencent.

Northbound Flows (Feb 9th): Moutai, Boe Technology, Wuxi Apptec, Wanhua Chemical, CATL

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of February 9th.
  • We estimate the weekly inflows to be US$2,110.3 million, led by financials, consumer staples, industrials sectors, and offset by health care.
  • We highlight flows for Moutai, Boe Technology, Wuxi Apptec, Wanhua Chemical, CATL, Foxconn Industrial Internet.

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