Category

Quantitative Analysis

Nov 14
0

Daily Brief Quantitative Analysis: The Week Ahead: No Shortage of Potential Catalysts; Tencent (700) Reports and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • The Week Ahead: No Shortage of Potential Catalysts; Tencent (700) Reports, MSC Index Changes, US CPI

The Week Ahead: No Shortage of Potential Catalysts; Tencent (700) Reports, MSC Index Changes, US CPI

By Charlotte van Tiddens, CFA

  • The week ahead is packed with economic, index and earnings releases.
  • MSC announce index changes tomorrow evening for the November rebalance (30 Nov). We highlight potential deletions from MSC SA below (ANG, GRT, ARI, NPH).
  • Tencent is due to release earnings on Wednesday after the Hong Kong close. The market is expecting a robust set of results.

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Nov 13
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Nov 10th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Nov 10th): Tencent, China Mobile, CNOOC
  • TWSE Foreign Holding Weekly (Nov 10th): TSMC, Taiwan Cement, Wistron
  • HK Short Interest Weekly: HSBC, Haidilao, China Mobile
  • Northbound Flows (Nov 10th): BYD, Ping An Insurance, Eoptolink Technology, Zhongji Innolight
  • A-H Premium Weekly (Nov 10th): Ping An Insurance, Ganfeng Lithium, GWM, China Longyuan

Hong Kong Connect Flows (Nov 10th): Tencent, 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 November 10th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight the flows for Tencent, China Mobile and CNOOC.

TWSE Foreign Holding Weekly (Nov 10th): TSMC, Taiwan Cement, Wistron

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Nov 10th which has an aggregated holding worth USD633.0bn.
  • 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 USD512mln and highlight foreign changes in TSMC, Taiwan Cement, Wistron.

HK Short Interest Weekly: HSBC, Haidilao, China Mobile

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Nov 3rd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in HSBC, Haidilao and China Mobile.

Northbound Flows (Nov 10th): BYD, Ping An Insurance, Eoptolink Technology, Zhongji Innolight

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of November 10th.
  • We estimate the weekly outflows to be US$1,078.3 million, led by information technology, industrials, and offset by consumer staples, communication services, real estate.
  • We highlight flows for BYD, Ping An Insurance, Eoptolink Technology, Zhongji Innolight.

A-H Premium Weekly (Nov 10th): Ping An Insurance, Ganfeng Lithium, GWM, 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 121.6% as of Nov 10th.
  • The average A-H premium changed by 3.1ppt week on week, led by information technology, utilities, communication services and offset by consumer discretionary, real estate.
  • We highlight weekly changes in A-H premium for Ping An Insurance, Ganfeng Lithium, Gwmotor, China Longyuan.

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Nov 12
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Nov 10th): Alchip Tech and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Nov 10th): Alchip Tech, Gigabyte Tech, Gold Circuit, Taiwan Cement

TWSE Short Interest Weekly (Nov 10th): Alchip Tech, Gigabyte Tech, Gold Circuit, Taiwan Cement

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Nov 10th which has an aggregated short interest worth USD14.4bn.
  • 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 Alchip Tech, Gigabyte Tech, Gold Circuit, Taiwan Cement, Ap Memory Tech, Hon Hai.

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Nov 11
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Nov 10th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Nov 10th): Aia, China Petroleum & Chemical, Esr
  • ASX Short Interest Weekly (Nov 3rd): Wisetech Global, BHP, Rio Tinto, Wesfarmers, Whitehaven Coal

Hong Kong Buybacks Weekly (Nov 10th): Aia, China Petroleum & Chemical, Esr

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Nov 10th 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), China Petroleum & Chemical (386 HK), Esr (1821 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were AIA (1299 HK), Tencent (700 HK), HSBC (5 HK).

ASX Short Interest Weekly (Nov 3rd): Wisetech Global, BHP, Rio Tinto, Wesfarmers, Whitehaven Coal

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Nov 3rd (reported today) which has an aggregated short interest worth USD18.5bn.
  • 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 Wisetech Global, BHP, Rio Tinto, Wesfarmers, Whitehaven Coal, Northern Star Re, Invocare.

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Nov 08
0

Daily Brief Quantitative Analysis: KRX Shorts: Top Changes Prior to Short Ban and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Shorts: Top Changes Prior to Short Ban

KRX Shorts: Top Changes Prior to Short Ban

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Nov 3rd which has an aggregated short interest worth USD12.7bn.
  • 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 Ecopro, Samsung Sdi Co, Sk Hynix, Jusung Engineeri, Hyundai Bioscien, Leeno Industrial.

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Nov 06
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Nov 3rd): Ganfeng Lithium and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Nov 3rd): Ganfeng Lithium, CMS, Wuxi Apptec
  • Hong Kong Connect Flows (Nov 3rd): Li Ning, SMIC, Xiaomi
  • TWSE Foreign Holding Weekly (Nov 3rd): Alchip Tech, TSMC, Hon Hai, Taiwan Cement
  • HK Short Interest Weekly: Yankuang Energy, CCB, Bidu, Petrochina
  • Northbound Flows (Nov 3rd): Moutai, China Yangtze Power, Maxscend Microelectronics, Mindray

A-H Premium Weekly (Nov 3rd): Ganfeng Lithium, CMS, 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 117.6% as of Nov 3rd.
  • The average A-H premium changed by -1.5ppt week on week, led by utilities, information technology, communication services and offset by energy.
  • We highlight weekly changes in A-H premium for Ganfeng Lithium, China Merchant Securities and Wuapptec.

Hong Kong Connect Flows (Nov 3rd): Li Ning, SMIC, Xiaomi

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of November 3rd.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Li Ning, Semiconductor Manufacturing International, Xiaomi, Wuxi Biologics, Kuaishou Technology.

TWSE Foreign Holding Weekly (Nov 3rd): Alchip Tech, TSMC, Hon Hai, Taiwan Cement

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Nov 3rd which has an aggregated holding worth USD625.6bn.
  • 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 USD137mln and highlight foreign changes in Alchip Tech, TSMC, Hon Hai, Taiwan Cement.

HK Short Interest Weekly: Yankuang Energy, CCB, Bidu, Petrochina

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Oct 27th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Yankuang Energy, CCB, Bidu, Petrochina.

Northbound Flows (Nov 3rd): Moutai, China Yangtze Power, Maxscend Microelectronics, Mindray

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of November 3rd.
  • We estimate the weekly inflows to be US$100.5 million, led by consumer staples, information technology, health care sectors, and offset by industrials, consumer discretionary.
  • We highlight flows for Moutai, China Yangtze Power, Maxscend Microelectronics, Mindray, Wuliangye, BYD.

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Nov 05
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Nov 3rd): Alchip Tech and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Nov 3rd): Alchip Tech, Via Tech, Wiwynn, Taiwan Cement, Wistron

TWSE Short Interest Weekly (Nov 3rd): Alchip Tech, Via Tech, Wiwynn, Taiwan Cement, Wistron

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Nov 3rd which has an aggregated short interest worth USD14.3bn.
  • 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 Alchip Tech, Via Tech, Wiwynn, Taiwan Cement, Wistron, Century Iron.

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Nov 04
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Nov 3rd): AIA and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Nov 3rd): AIA, China Petroleum & Chemical, Li Ning
  • Naspers & Prosus: Discounts Narrow This Week, the Great Rotation from Prosus to Naspers Playing Out?

Hong Kong Buybacks Weekly (Nov 3rd): AIA, China Petroleum & Chemical, Li Ning

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Nov 3rd 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), Sinopec (386 HK), Li Ning (2331 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), HSBC (5 HK).

Naspers & Prosus: Discounts Narrow This Week, the Great Rotation from Prosus to Naspers Playing Out?

By Charlotte van Tiddens, CFA

  • The performance of Naspers (NPN SJ) and Prosus NV (PRX SJ) during this week is worth flagging – both counters have outperformed the underlying portfolio, narrowing both discounts notably.
  • Naspers’ discount to Prosus’ market value continues to push new lows, closing at 9.9% yesterday.
  • For the week up to the close yesterday, Naspers is up 4.1%, Prosus is up 2.3% and Tencent is down 1.4% in HKD (down 3.7% in ZAR). 

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Nov 03
0

Daily Brief Quantitative Analysis: Influence of Monthly Time Patterns on Seasonal Effects in Asian Stock Markets: NKY and HSI and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Influence of Monthly Time Patterns on Seasonal Effects in Asian Stock Markets: NKY and HSI
  • Screening for GEMs: November 2023
  • ASX Short Interest Weekly (Oct 27th): Newcrest Mining, Rio Tinto, Liontown, Bluescope Steel

Influence of Monthly Time Patterns on Seasonal Effects in Asian Stock Markets: NKY and HSI

By Nico Rosti

  • Numerous studies conducted over the past few decades have researched the “month of the year effect” in global stock markets, and tend to agree that some effects do exist.
  • Most studies however concur that seasonality, on its own, is a weak predictor of performance. We call these studies “Naïve Seasonality Analysis”, for reasons that we will explain here.
  • Based on the above premise, in this Smartkarma Original we are going to propose a methodology to improve seasonality research, to identify when specific months can deliver the best returns.

Screening for GEMs: November 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.

ASX Short Interest Weekly (Oct 27th): Newcrest Mining, Rio Tinto, Liontown, Bluescope Steel

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Oct 27th (reported today) which has an aggregated short interest worth USD16.8bn.
  • 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 highlight short interest changes in Newcrest Mining, Rio Tinto, Liontown, Bluescope Steel, Endeavour, Suncorp.

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Nov 02
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (October): Four Months of Inflows and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (October): Four Months of Inflows
  • Northbound Flows Monthly (October): Three Months of Outflows

Hong Kong Connect Flows (October): Four 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, Wuxi Biologics, SMIC, GWM, HKEX.

Northbound Flows Monthly (October): Three Months of Outflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Industrials ($2,588 million worth of outflows), Financials ($1,109 million worth of outflows) led the outflows. 
  • We highlight outflows from Moutai, CATL, Longi, Focus Media, Ping An Insurance.

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