Category

Quantitative Analysis

Jan 14
0

Daily Brief Quantitative Analysis: TWSE Foreign Holding Weekly (Jan 12th): Asia Vital and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Foreign Holding Weekly (Jan 12th): Asia Vital, Alchip Tech, Wistron, Quanta Computer
  • TWSE Short Interest Weekly (Jan 12th): Evergreen Marine, Yang Ming Marine, Gigabyte Tech, Auo

TWSE Foreign Holding Weekly (Jan 12th): Asia Vital, Alchip Tech, Wistron, Quanta Computer

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Jan 12th which has an aggregated holding worth USD701.3bn.
  • We estimate that foreign flows to be inflows of USD273mln. 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 Asia Vital, Alchip Tech, Wistron, Quanta Computer, Global Unichip, Hon Hai, Delta Elec, Yang Ming Marine.

TWSE Short Interest Weekly (Jan 12th): Evergreen Marine, Yang Ming Marine, Gigabyte Tech, Auo

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jan 12th which has an aggregated short interest worth USD13.4bn.
  • 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 changes in Evergreen Marine, Yang Ming Marine, Gigabyte Tech, Auo, Bora Pharma.

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Jan 13
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jan 12th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jan 12th): Tencent, Meituan, Aia

Hong Kong Buybacks Weekly (Jan 12th): Tencent, Meituan, Aia

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jan 12th 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), Meituan (3690 HK), AIA (1299 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), AIA (1299 HK), Meituan (3690 HK).

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Jan 12
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jan 5th): Aristocrat Leisu and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jan 5th): Aristocrat Leisu, Whitehaven Coal

ASX Short Interest Weekly (Jan 5th): Aristocrat Leisu, Whitehaven Coal

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jan 5th (reported today) which has an aggregated short interest worth USD19.5bn.
  • 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 Aristocrat Leisu, Whitehaven Coal.

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Jan 10
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Jan 5th): Sk Hynix and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Jan 5th): Sk Hynix, Samsung Electron, Naver, Kia

KRX Short Interest Weekly (Jan 5th): Sk Hynix, Samsung Electron, Naver, Kia

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Jan 5th which has an aggregated short interest worth USD9.6bn.
  • 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 Sk Hynix, Samsung Electron, Naver, Kia.

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Jan 08
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Jan 5th): China Mobile and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Jan 5th): China Mobile, CNOOC
  • A-H Premium Weekly (Jan 5th): BYD, Fuyao Glass, China Southern, China Longyuan
  • Northbound Flows (Jan 5th): Chongqing Changan Automobile, CATL, Moutai
  • HK Short Interest Weekly: Link Reit, Kuaishou, Ntes, Wuxi Bio
  • Hong Kong Connect Flows (December): Six Months of Inflows
  • Northbound Flows (December): Five Months of Outflows

Hong Kong Connect Flows (Jan 5th): 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 January 5th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight HK Connect flows for China Mobile, and CNOOC.

A-H Premium Weekly (Jan 5th): BYD, Fuyao Glass, China Southern, China Longyuan

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 122.8% as of Jan 5th.
  • The average A-H premium changed by -0.5ppt week-on-week, led by information technology, consumer staples, communication services and offset by utilities.
  • We highlight weekly changes in A-H premium for BYD, Fuyao Glass, China Southern, China Longyuan.

Northbound Flows (Jan 5th): Chongqing Changan Automobile, CATL, Moutai

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of January 5th.
  • We estimate the weekly outflows to be US$719.9 million, led by information technology, consumer staples, and offset by utilities, financials, energy.
  • We highlight flows for Chongqing Changan Automobile, CATL and Moutai.

HK Short Interest Weekly: Link Reit, Kuaishou, Ntes, Wuxi Bio

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Dec 22nd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Link Reit, Kuaishou, Ntes, Wuxi Bio.

Hong Kong Connect Flows (December): Six Months of Inflows

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 Meituan, CNOOC, PICC P&C, China Mobile, and outflows from Tencent, Xiaomi, HKEx, Wuxi Biologics, CCB.

Northbound Flows (December): Five Months of Outflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Financials ($1,425 million worth of outflows), and Consumer Staples ($854 million worth of outflows) led the outflows (first chart below).
  • We highlight inflows into CATL, Mindray, Will Semi, BYD, Wuxi Apptec, and outflows from CMB, Wuliangye, Shanghai United, Midea, Hygon.

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Jan 07
0

Daily Brief Quantitative Analysis: TWSE Foreign Holding Weekly (Jan 5th): Faraday Tech and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Foreign Holding Weekly (Jan 5th): Faraday Tech, Asustek Computer, Mediatek, Wistron, TSMC
  • TWSE Short Interest Weekly (Jan 5th): Wan Hai Lines, Silergy, Quanta Computer, Asustek Computer

TWSE Foreign Holding Weekly (Jan 5th): Faraday Tech, Asustek Computer, Mediatek, Wistron, TSMC

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Jan 5th which has an aggregated holding worth USD700.2bn.
  • We estimate that foreign flows to be outflows of USD504mln. 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 Faraday Tech, Asustek Computer, Mediatek, Wistron, TSMC.

TWSE Short Interest Weekly (Jan 5th): Wan Hai Lines, Silergy, Quanta Computer, Asustek Computer

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jan 5th which has an aggregated short interest worth USD13.4bn.
  • 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 changes in Wan Hai Lines, Silergy, Quanta Computer, Asustek Computer, Asia Vital.

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Jan 06
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jan 5th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jan 5th): Tencent, AIA, Xiaomi

Hong Kong Buybacks Weekly (Jan 5th): Tencent, AIA, Xiaomi

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jan 5th 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), Xiaomi (1810 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), AIA (1299 HK), Wuxi Biologics (2269 HK).

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Jan 04
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Dec 22nd): BHP and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Dec 22nd): BHP, Wisetech Global, Woodside Energy, Telstra, Fortescue

ASX Short Interest Weekly (Dec 22nd): BHP, Wisetech Global, Woodside Energy, Telstra, Fortescue

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Dec 22nd (reported today) which has an aggregated short interest worth USD19.9bn.
  • 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 BHP, Wisetech Global, Woodside Energy, Telstra, Fortescue, Macquarie, Allkem, Santos.

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Jan 03
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: January 2024

Screening for GEMs: January 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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Jan 02
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Dec 29th): China Tourism and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Dec 29th): China Tourism, ZTE, Datang Intl, First Tractor, Hua Hong Semi
  • Hong Kong Connect Flows (Dec 29th): China Mobile, Tencent
  • Northbound Flows (Dec 29th): Longi Green, Wuliangye, Changan Automobile
  • TWSE Foreign Holding Weekly (Dec 29th): Foreign Insti Increased Holdings
  • TWSE Short Interest Weekly (Dec 29th): Short Covering Towards Year End

A-H Premium Weekly (Dec 29th): China Tourism, ZTE, Datang Intl, First Tractor, Hua Hong Semi

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 123.1% as of Dec 29th.
  • The average A-H premium changed by -4.6ppt week on week, led by communication services, health care, consumer discretionary and offset by consumer staples.
  • We highlight weekly changes in A-H premium for China Tourism, ZTE, Datang Intl, First Tractor, Hua Hong Semi.

Hong Kong Connect Flows (Dec 29th): China Mobile, Tencent

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 29th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for China Mobile, and Tencent Holdings Limited.

Northbound Flows (Dec 29th): Longi Green, Wuliangye, Changan Automobile

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 29th.
  • We estimate the weekly inflows to be US$2,840.5 million, led by information technology, materials, industrials sectors, and offset by communication services.
  • We highlight flows for Longi Green, Wuliangye, Chongqing Changan Automobile.

TWSE Foreign Holding Weekly (Dec 29th): Foreign Insti Increased Holdings

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Dec 29th which has an aggregated holding worth USD730.2bn.
  • We estimate that foreign flows to be inflows of USD2,532mln. We tabulate the league table for top changes by value for 1W/4W/1Y.
  • We highlight foreign changes in TSMC, Umc, and Asia Vital.

TWSE Short Interest Weekly (Dec 29th): Short Covering Towards Year End

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Dec 29th which has an aggregated short interest worth USD14.1bn.
  • 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 Acer, China Airlines, Chung-Hsin, Quanta Computer, Yang Ming Marine, Wiwynn, Realtek Semi, Umc.

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