Category

Quantitative Analysis

Dec 15
0

Daily Brief Quantitative Analysis: China Strategy: Are We Still Going to Have January Effect in 2024? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • China Strategy: Are We Still Going to Have January Effect in 2024?
  • ASX Short Interest Weekly (Dec 8th): Wisetech Global, Mineral Resource, Liontown, ANZ, CSL

China Strategy: Are We Still Going to Have January Effect in 2024?

By Osbert Tang, CFA

  • It remains possible for the Hang Seng Index (HSI INDEX) to generate a positive return in January 2024, given that historically there is a high 73% probability of doing so.
  • Over the last eleven years, January was also the best-performing one in five of them. Average return for these five was at 7.7%.
  • The macroenvironment is also conducive for this pattern to sustain – lower USD rates, rebound in Rmb/USD exchange rate, and more supportive measures from the Chinese government.

ASX Short Interest Weekly (Dec 8th): Wisetech Global, Mineral Resource, Liontown, ANZ, CSL

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Dec 8th (reported today) which has an aggregated short interest worth USD18.9bn.
  • 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 Wisetech Global, Mineral Resource, Liontown, ANZ, CSL, Macquarie, Car.

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Dec 13
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Dec 8th): Naver and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Dec 8th): Naver

KRX Short Interest Weekly (Dec 8th): Naver

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Dec 8th which has an aggregated short interest worth USD10.8bn.
  • 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 KRX short interest weekly changes in Naver.

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Dec 11
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Meituan and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Meituan, Wharf, Leapmotor, Baba, New Oriental, AIA, Xiaomi, HSBC, Lenovo
  • Hong Kong Connect Flows (Dec 8th): Meituan, CNOOC, Tencent, Wuxi Biologics, HKEx, Xiaomi
  • TWSE Foreign Holding Weekly (Dec 8th): Umc
  • A-H Premium Weekly (Dec 8th): CMB, Ping An Insurance, Beigene
  • Northbound Flows (Dec 8th): Moutai, Zhongji Innolight, Will Semiconductor, Shanghai, Wuxi Apptec

HK Short Interest Weekly: Meituan, Wharf, Leapmotor, Baba, New Oriental, AIA, Xiaomi, HSBC, Lenovo

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Dec 1st.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Meituan, Wharf, Leapmotor, Baba, New Oriental, AIA, Xiaomi, HSBC, Lenovo.

Hong Kong Connect Flows (Dec 8th): Meituan, CNOOC, Tencent, Wuxi Biologics, HKEx, Xiaomi

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 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 Meituan, CNOOC, Tencent, Wuxi Biologics, HKEx, Xiaomi.

TWSE Foreign Holding Weekly (Dec 8th): Umc

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Dec 8th which has an aggregated holding worth USD681.7bn.
  • We tabulate league table for top changes by value for 1 week, one 4 weeks, 1 year and top stocks held by foreign instutions by dollar value.
  • We estimate that foreign flows to be outflows of USD563mln and highlight foreign changes in Umc.

A-H Premium Weekly (Dec 8th): CMB, Ping An Insurance, Beigene

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 129.3% as of Dec 8th.
  • The average A-H premium changed by 1.8ppt week on week, led by consumer staples, health care, energy and offset by consumer discretionary, utilities.
  • We highlight weekly changes in A-H premium for CMB, Ping An Insurance, Beigene.

Northbound Flows (Dec 8th): Moutai, Zhongji Innolight, Will Semiconductor, Shanghai, Wuxi Apptec

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 8th.
  • We estimate the weekly outflows to be US$753.7 million, led by financials, consumer discretionary, and offset by information technology, materials, health care.
  • We highlight flows for Moutai, Zhongji Innolight, Will Semiconductor Co., Ltd. Shanghai, Wuxi Apptec, Tianqi Lithium, Wuliangye, Shanghai United Imaging Healthcare, Hygon Information Technology, Midea.

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Dec 10
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Dec 8th): Global Unichip and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Dec 8th): Global Unichip, Gigabyte Tech, Novatek, Shihlin Electric

TWSE Short Interest Weekly (Dec 8th): Global Unichip, Gigabyte Tech, Novatek, Shihlin Electric

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Dec 8th which has an aggregated short interest worth USD15.0bn.
  • 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 Global Unichip, Gigabyte Tech, Novatek, Shihlin Electric, Quanta Computer, Acer, China Devt, Giant Manufactur, China Steel.

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Dec 09
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Dec 8th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Dec 8th): Tencent, AIA, Wuxi Biologics

Hong Kong Buybacks Weekly (Dec 8th): Tencent, AIA, Wuxi Biologics

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Dec 8th 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), Wuxi Biologics (2269 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), China Petroleum & Chemical (386 HK).

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Dec 08
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Dec 1st): Car and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Dec 1st): Car, CSL, Brambles, Aristocrat Leisu, Wesfarmers, BHP, Xero

ASX Short Interest Weekly (Dec 1st): Car, CSL, Brambles, Aristocrat Leisu, Wesfarmers, BHP, Xero

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Dec 1st (reported today) which has an aggregated short interest worth USD18.2bn.
  • 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 Car, CSL, Brambles, Aristocrat Leisu, Wesfarmers, BHP, Xero, Agl Energy, ANZ.

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Dec 05
0

Daily Brief Quantitative Analysis: Northbound Flows (November): Inflows (Consumer Staples and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows (November): Inflows (Consumer Staples, Healthcare) Offset by Outflows (Financials)

Northbound Flows (November): Inflows (Consumer Staples, Healthcare) Offset by Outflows (Financials)

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Consumer Staples (inflows of $818 million) led the inflows. Financials ($1,109 million worth of outflows), Materials ($1,131 million worth of outflows) led the outflows.
  • We highlight inflows into Moutai, Hygon Information Technology, Shanghai United Imaging Healthcare, Mindray, China Yangtze Power, Shenzhen Inovance Technology.

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Dec 04
0

Daily Brief Quantitative Analysis: Northbound Flows (Dec 1st): Hygon Information and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows (Dec 1st): Hygon Information, Shanghai United Imaging Healthcare, BYD
  • A-H Premium Weekly (Dec 1st): CMB, Ping An Insurance, Beigene, Ganfeng Lithium
  • Hong Kong Connect Flows (Dec 1st): Meituan, Tencent
  • TWSE Foreign Holding Weekly (Dec 1st): TSMC, Mediatek, Umc
  • HK Short Interest Weekly: Xpeng, Xiaomi, Link Reit
  • Hong Kong Connect Flows (November): Five Months of Inflows Despite New Low

Northbound Flows (Dec 1st): Hygon Information, Shanghai United Imaging Healthcare, BYD

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 1st.
  • We estimate the weekly inflows to be US$359.9 million, led by information technology, health care, utilities sectors, and offset by financials, materials.
  • We highlight flows for Hygon Information Technology, Shanghai United Imaging Healthcare, BYD, CMB, Wuliangye, Midea, CATL.

A-H Premium Weekly (Dec 1st): CMB, Ping An Insurance, Beigene, Ganfeng Lithium

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 127.1% as of Dec 1st.
  • The average A-H premium changed by 4.7ppt week on week, led by consumer staples, utilities, communication services.
  • We highlight weekly changes in A-H premium for CMB, Ping An Insurance, Beigene, Ganfeng Lithium.

Hong Kong Connect Flows (Dec 1st): Meituan, Tencent

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 1st.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight weekly Hongkong connect flows for Meituan and Tencent.

TWSE Foreign Holding Weekly (Dec 1st): TSMC, Mediatek, Umc

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Dec 1st which has an aggregated holding worth USD684.7bn.
  • We tabulate league table for top changes by value for 1 week, one 4 weeks, 1 year and top stocks held by foreign instutions by dollar value.
  • We estimate that foreign flows to be inflows of USD1,077mln and highlight foreign changes in TSMC, Mediatek, Umc.

HK Short Interest Weekly: Xpeng, Xiaomi, Link Reit

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Nov 24th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Xpeng, Xiaomi and Link Reit.

Hong Kong Connect Flows (November): Five Months of Inflows Despite New Low

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 TraHK, Xpeng, SMIC, CSOP Hang Seng ETF, Ping An Insurance.

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Dec 03
0

Daily Brief Quantitative Analysis: Screening for GEMs: December 2023 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: December 2023
  • TWSE Short Interest Weekly (Dec 1st): Genius Electronics

Screening for GEMs: December 2023

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.

TWSE Short Interest Weekly (Dec 1st): Genius Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Dec 1st which has an aggregated short interest worth USD15.3bn.
  • 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 TWSE short interest weekly changes in Genius Elec.

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Dec 02
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Dec 1st): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Dec 1st): Tencent, AIA, Kuaishou Technology

Hong Kong Buybacks Weekly (Dec 1st): Tencent, 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 Dec 1st 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), Kuaishou Technology (1024 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), China Petroleum & Chemical (386 HK).

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