Category

Quantitative Analysis

Mar 13
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Mar 7th): Kakao and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Mar 7th): Kakao, Hlb, Samsung Electronics

KRX Short Interest Weekly (Mar 7th): Kakao, Hlb, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Mar 7th which has an aggregated short interest worth USD3.6bn.
  • 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 Kakao, Hlb, Samsung Electronics.

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Mar 12
0

Daily Brief Quantitative Analysis: The Right Time for This Quantitative Strategy Outperforming the Nikkei Year to Date. and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • The Right Time for This Quantitative Strategy Outperforming the Nikkei Year to Date.

The Right Time for This Quantitative Strategy Outperforming the Nikkei Year to Date.

By Gaudenz Schneider

  • The Global X Nikkei 225 Covered Call ETF (2858 JP) has outperformed the Nikkei 225 (NKY INDEX) year-to-date with a 4.5% advantage, demonstrating strength in sideways and moderately declining markets.
  • The covered call strategy can be deployed as a tactical standalone in sideways markets or as a relative value approach against a Nikkei 225 short.
  • For investors anticipating a continuation of the sideways or declining market, the option roll-over on the open of March 14 offers timely entry.

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Mar 10
0

Daily Brief Quantitative Analysis: Thailand Short Interest Weekly (Mar 7th): Bangkok Dusit Medical Services and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Thailand Short Interest Weekly (Mar 7th): Bangkok Dusit Medical Services, WHA, Airports of Thailand
  • KRX Foreign Holding Weekly (Mar 7th): Samsung Electronics, SK Hynix, Samsung H.I.
  • TWSE Foreign Holding Weekly (Mar 7th): Jinan Acetate Chemical, TSMC, Mediatek
  • TWSE Short Interest Weekly (Mar 7th): Chung-Hsin Electric & Machinery Mfg, Wiwynn, Formosa Plastics

Thailand Short Interest Weekly (Mar 7th): Bangkok Dusit Medical Services, WHA, Airports of Thailand

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Stock Exchange of Thailand as of Mar 7th.We estimate that they had an aggregated short interest worth USD2.0bn.
  • 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 Bangkok Dusit Medical Services, WHA, Airports of Thailand, PTT GlobalChem, Thai Oil, Delta Electronics.

KRX Foreign Holding Weekly (Mar 7th): Samsung Electronics, SK Hynix, Samsung H.I.

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Mar 7th which has an aggregated holding worth USD479.8bn.
  • We estimate that foreign flows to be outflows of USD1,400mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Samsung Electronics, SK Hynix, Samsung H.I..

TWSE Foreign Holding Weekly (Mar 7th): Jinan Acetate Chemical, TSMC, Mediatek

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Mar 7th which has an aggregated holding worth USD963.2bn.
  • We estimate that foreign flows to be outflows of USD5,430mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Jinan Acetate Chemical, TSMC, Mediatek, Hon Hai Precision Industry, Delta Electronics, Quanta Computer.

TWSE Short Interest Weekly (Mar 7th): Chung-Hsin Electric & Machinery Mfg, Wiwynn, Formosa Plastics

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 7th which has an aggregated short interest worth USD21.2bn.
  • 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 Chung-Hsin Electric & Machinery Mfg, Wiwynn, Formosa Plastics, Walsin Lihwa, Nanya Technology, Global Unichip, China Steel.

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Mar 09
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Mar 7th):Angang Steel and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Mar 7th):Angang Steel, Hua Hong Semiconductor, Beigene, CHALCO
  • Hong Kong Connect Flows (Mar 7th): Alibaba, Tencent, China Mobile, CMB, BOC, HKEx

A-H Premium Weekly (Mar 7th):Angang Steel, Hua Hong Semiconductor, Beigene, CHALCO

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 150 stocks over the last week. The average A-H premium was 84.4% as of Mar 7th.
  • The average A-H premium changed by -3.3ppt week-on-week, led by materials, industrials, real estate.
  • We highlight weekly changes in A-H premium for Angang Steel, Hua Hong Semiconductor, Beigene, CHALCO.

Hong Kong Connect Flows (Mar 7th): Alibaba, Tencent, China Mobile, CMB, BOC, HKEx

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 7th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Alibaba, Tencent, China Mobile, CMB, BOC, HKEx, China Resources Beer, BYD Electronic.

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Mar 08
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 7th): Swire Pacific and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 7th): Swire Pacific, Aac Technologies, Swire

Hong Kong Buybacks Weekly (Mar 7th): Swire Pacific, Aac Technologies, Swire

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 7th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Swire Pacific (19 HK), Aac Technologies (2018 HK), Swire Properties (1972 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), Zhuzhou Crrc Times Electric (3898 HK).

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Mar 07
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Feb 28th): ANZ and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Feb 28th): ANZ, National Australia Bank, Brambles, Westpac, Seek

ASX Short Interest Weekly (Feb 28th): ANZ, National Australia Bank, Brambles, Westpac, Seek

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Feb 28th (reported today) which has an aggregated short interest worth USD22.3bn.
  • 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 ANZ, National Australia Bank, Brambles, Westpac, Seek, Endeavour, Mirvac, Mineral Resources.

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Mar 06
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Feb 28th): SK Hynix and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Feb 28th): SK Hynix, L&F, Skbs, Posco Dx

KRX Short Interest Weekly (Feb 28th): SK Hynix, L&F, Skbs, Posco Dx

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Feb 28th which has an aggregated short interest worth USD3.6bn.
  • 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, L&F, Skbs, Posco Dx.

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Mar 04
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (February): $6bn Inflows into Alibaba and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (February): $6bn Inflows into Alibaba

Hong Kong Connect Flows (February): $6bn Inflows into Alibaba

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 Alibaba, Li Auto, China Mobile and outflows from Tencent.

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Mar 03
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Feb 28th): Elite Material and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Feb 28th): Elite Material, Lotes, Chung-Hsin Electric & Machinery Mfg
  • KRX Foreign Holding Weekly (Feb 28th): Kakao, Samsung Electronics, SK Hynix, Hyundai Motor
  • Thailand Short Interest Weekly (Feb 28th): Airports of Thailand, CP Foods, PTT, Bangkok Bank
  • TWSE Foreign Holding Weekly (Feb 28th): TSMC, Hon Hai Precision Industry, Quanta Computer

TWSE Short Interest Weekly (Feb 28th): Elite Material, Lotes, Chung-Hsin Electric & Machinery Mfg

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Feb 28th which has an aggregated short interest worth USD21.7bn.
  • 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 Elite Material, Lotes, Chung-Hsin Electric & Machinery Mfg, Pharmaessentia, Global Unichip.

KRX Foreign Holding Weekly (Feb 28th): Kakao, Samsung Electronics, SK Hynix, Hyundai Motor

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Feb 28th which has an aggregated holding worth USD482.2bn.
  • We estimate that foreign flows to be outflows of USD951mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Kakao, Samsung Electronics, SK Hynix, Hyundai Motor.

Thailand Short Interest Weekly (Feb 28th): Airports of Thailand, CP Foods, PTT, Bangkok Bank

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Stock Exchange of Thailand as of Feb 28th.We estimate that they had an aggregated short interest worth USD2.0bn.
  • 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 Airports of Thailand, CP Foods, PTT, Bangkok Bank, PTT GlobalChem.

TWSE Foreign Holding Weekly (Feb 28th): TSMC, Hon Hai Precision Industry, Quanta Computer

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Feb 28th which has an aggregated holding worth USD993.9bn.
  • We estimate that foreign flows to be outflows of USD3,316mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in TSMC, Hon Hai Precision Industry, Quanta Computer, Accton Technology, Unimicron Technology.

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Mar 02
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Feb 28th): Anhui Conch Cement and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Feb 28th): Anhui Conch Cement, China Galaxy Securities, Pharmaron Beijing
  • HK Short Interest Weekly: BYD, HSTECH ETF, Kingdee Int’L
  • Hong Kong Connect Flows (Feb 28th): Alibaba, Tencent, Li Auto, Xiaomi, SMIC, CNOOC

A-H Premium Weekly (Feb 28th): Anhui Conch Cement, China Galaxy Securities, Pharmaron Beijing

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 150 stocks over the last week. The average A-H premium was 87.7% as of Feb 28th.
  • The average A-H premium changed by -0.6ppt week-on-week, led by materials, information technology, energy and offset by consumer staples, utilities, financials.
  • We highlight weekly changes in A-H premium for Anhui Conch Cement, China Galaxy Securities, Pharmaron Beijing, Maanshan Iron & Steel and Air China.

HK Short Interest Weekly: BYD, HSTECH ETF, Kingdee Int’L

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Feb 21st.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in BYD, HSTECH ETF and Kingdee Int’L.   

Hong Kong Connect Flows (Feb 28th): Alibaba, Tencent, Li Auto, Xiaomi, SMIC, CNOOC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of February 28th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Alibaba, Tencent, Li Auto, Xiaomi, SMIC, CNOOC.

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