Category

Quantitative Analysis

Jun 15
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jun 7th): Xero and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jun 7th): Xero, Fortescue, Wisetech Global, BHP, Woodside Energy
  • Hong Kong Buybacks Weekly (Jun 14th): Tencent, Meituan, Aia

ASX Short Interest Weekly (Jun 7th): Xero, Fortescue, Wisetech Global, BHP, Woodside Energy

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jun 7th (reported today) which has an aggregated short interest worth USD19.8bn.
  • 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 Xero, Fortescue, Wisetech Global, BHP, Woodside Energy.

Hong Kong Buybacks Weekly (Jun 14th): 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 Jun 14th 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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Jun 13
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Jun 7th): Samsung Electronics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Jun 7th): Samsung Electronics

KRX Short Interest Weekly (Jun 7th): Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of Jun 7th which has an aggregated short interest worth USD6.1bn.
  • 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 estimate short interest increased by 4.0% WoW and highlight short interest changes in Samsung Electronics.

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Jun 10
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Jun 7th): Novatek and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Jun 7th): Novatek, Eva Airways, Alchip Tech, Realtek
  • TWSE Foreign Holding Weekly (Jun 7th): Realtek Semi, Asmedia Tech, Global Unichip, Yang Ming Marine
  • KRX Foreign Holding Weekly (Jun 7th): Alteogen, Naver

TWSE Short Interest Weekly (Jun 7th): Novatek, Eva Airways, Alchip Tech, Realtek

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jun 7th which has an aggregated short interest worth USD101.7bn.
  • 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 Novatek, Eva Airways, Alchip Tech, Realtek Semi, Powerchip Semico, Asustek Computer, Nan Ya Printed.

TWSE Foreign Holding Weekly (Jun 7th): Realtek Semi, Asmedia Tech, Global Unichip, Yang Ming Marine

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Jun 7th which has an aggregated holding worth USD4,400.2bn.
  • We estimate that foreign flows to be outflows of USD12,832mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in Realtek Semi, Asmedia Tech, Global Unichip, Yang Ming Marine, Tripod Tech, TSMC, Ctbc Financial, Hon Hai, Asustek Computer, Umc.

KRX Foreign Holding Weekly (Jun 7th): Alteogen, Naver

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of Jun 7th which has an aggregated holding worth USD542.4bn.
  • We estimate that foreign flows to be outflows of USD266mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in Alteogen Inc (196170 KS), Naver Corp (035420 KS).

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Jun 08
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jun 7th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jun 7th): Tencent, Aia, Xiaomi Corporation

Hong Kong Buybacks Weekly (Jun 7th): Tencent, Aia, Xiaomi Corporation

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jun 7th 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 Corporation (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), Hang Seng Bank (11 HK).

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Jun 07
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (May 31st): Wisetech Global and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (May 31st): Wisetech Global, Pro Medicus, CSL, IDP Education, Boral

ASX Short Interest Weekly (May 31st): Wisetech Global, Pro Medicus, CSL, IDP Education, Boral

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of May 31st (reported today) which has an aggregated short interest worth USD19.4bn.
  • 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 Wisetech Global, Pro Medicus, CSL, IDP Education, Boral, Woodside Energy, Mineral Resource.

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Jun 06
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (May 31st): Enchem and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (May 31st): Enchem, Sk Hynix, Samsung Electronics, Doosan Enerbility

KRX Short Interest Weekly (May 31st): Enchem, Sk Hynix, Samsung Electronics, Doosan Enerbility

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of May 31st which has an aggregated short interest worth USD5.9bn.
  • 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 Enchem, Sk Hynix, Samsung Electronics, Doosan Enerbility, Samsung SDI.

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Jun 03
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: BOC, Petrochina, Li Auto, ICBC, Hkex
  • Hong Kong Connect Flows (May 31st): BOC, CNOOC, ABC, Xiaomi, Petrochina
  • A-H Premium Weekly (May 31st): PetroChina, Chinalco, Tsingtao Brewery, Huanneg Power, Huahong Semi
  • TWSE Short Interest Weekly (May 31st): Novatek, Asia Vital, Faraday Tech, Chunghwa Telecom
  • Northbound Flows (May 31st): Zijin Mining, China Yangtze Power, Montage Technology, Moutai, CMB
  • KRX Foreign Holding Weekly (May 31st): Sk Hynix, Samsung Electronics
  • TWSE Foreign Holding Weekly (May 31st): TSMC, Hon Hai, Yang Ming Marine, Novatek, Evergreen Marine
  • Screening for GEMs: June 2024

HK Short Interest Weekly: BOC, Petrochina, Li Auto, ICBC, Hkex

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of May 24th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in BOC, Petrochina, Li Auto, ICBC, Hkex.

Hong Kong Connect Flows (May 31st): BOC, CNOOC, ABC, Xiaomi, Petrochina

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of May 31st.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for BOC, CNOOC, Agricultural Bank Of China, Xiaomi Corporation, Petrochina.

A-H Premium Weekly (May 31st): PetroChina, Chinalco, Tsingtao Brewery, Huanneg Power, Huahong Semi

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 147 stocks over the last week. The average A-H premium was 107.4% as of May 31st.
  • The average A-H premium changed by 1.3ppt week-on-week, led by financials, consumer discretionary, health care and offset by information technology.
  • We highlight weekly changes in A-H premium for PetroChina, Chinalco, Tsingtao Brewery, Huanneg Power, Huahong Semi, CICC, Ganfeng Lithium.

TWSE Short Interest Weekly (May 31st): Novatek, Asia Vital, Faraday Tech, Chunghwa Telecom

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of May 31st which has an aggregated short interest worth USD102.2bn.
  • 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 Novatek, Asia Vital, Faraday Tech, Chunghwa Telecom, Ctbc Financial, Evergreen Marine, Mitac, Yang Ming Marine.

Northbound Flows (May 31st): Zijin Mining, China Yangtze Power, Montage Technology, Moutai, CMB

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of May 31st.
  • We estimate the weekly outflows to be US$860.8 million, led by consumer staples, financials, health care, and offset by information technology, materials, utilities.
  • We highlight flows for Zijin Mining, China Yangtze Power, Montage Technology, Moutai, CMB.

KRX Foreign Holding Weekly (May 31st): Sk Hynix, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of May 31st which has an aggregated holding worth USD515.2bn.
  • We estimate that foreign flows to be outflows of USD1,106mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in Sk Hynix, Doosan Enerbility, Hd Hyundai Elect, Samsung Electronics, Lg Chem, Samsung SDI.

TWSE Foreign Holding Weekly (May 31st): TSMC, Hon Hai, Yang Ming Marine, Novatek, Evergreen Marine

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of May 31st which has an aggregated holding worth USD4,207.5bn.
  • We estimate that foreign flows to be outflows of USD14,520mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in Realtek Semi, Mediatek, Synnex Tech Intl, Asustek Computer, Tripod Tech, TSMC, Hon Hai, Yang Ming Marine, Novatek, Evergreen Marine.

Screening for GEMs: June 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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Jun 01
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (May 31st): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (May 31st): Tencent, Aia, Hang Seng Bank
  • ASX Short Interest Weekly (May 24th): Macquarie, Viva Energy, Wesfarmers, Boral

Hong Kong Buybacks Weekly (May 31st): Tencent, Aia, Hang Seng Bank

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on May 31st 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), Hang Seng Bank (11 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), Hang Seng Bank (11 HK).

ASX Short Interest Weekly (May 24th): Macquarie, Viva Energy, Wesfarmers, Boral

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of May 24th (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 Macquarie, Viva Energy, Wesfarmers, Boral.

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May 30
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (May 24th): Samsung Electronics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (May 24th): Samsung Electronics

KRX Short Interest Weekly (May 24th): Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX Stocks as of May 24th which has an aggregated short interest worth USD6.1bn.
  • 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 Samsung Electronics, Samsung SDI, Samsung Electro-Mechanics.

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May 27
0

Daily Brief Quantitative Analysis: How to Buy A Company If You Have No Money and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • How to Buy A Company If You Have No Money
  • KRX Foreign Holding Weekly (May 24th): Sk Hynix, Hyundai Motor, HHI, Samsung Electronics
  • TWSE Short Interest Weekly (May 24th): Asustek Computer, Realtek Semi, Evergreen Marine
  • TWSE Foreign Holding Weekly (May 24th): TSMC, Lite-On Tech, Umc, Hon Hai, Mediatek, E.Sun Financial

How to Buy A Company If You Have No Money

By Cam Hui

  • We built an LBO model to identify possible leveraged buyout (LBO) candidates among the S&P 1500. We found that stocks which qualify under an LBO criteria are relatively rare.
  • Many of the stocks identified by the LBO screen are blemished, each in a different way. The LBO model should only be used to identify stocks for further analysis.
  • There is a heightened risk of value traps in many of the stocks. This is not a quantitative factor that can be blindly bought because of high stock-specific risk.

KRX Foreign Holding Weekly (May 24th): Sk Hynix, Hyundai Motor, HHI, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX Stocks as of May 24th which has an aggregated holding worth USD533.9bn.
  • We estimate that foreign flows to be inflows of USD443mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in Sk Hynix, Hyundai Motor, Hd Hyundai Heavy, Samsung Electronics.

TWSE Short Interest Weekly (May 24th): Asustek Computer, Realtek Semi, Evergreen Marine

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of May 24th which has an aggregated short interest worth USD100.0bn.
  • 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 Asustek Computer, Realtek Semi, Evergreen Marine, Quanta Computer, Hon Hai, Yang Ming Marine, Pharmaessentia.

TWSE Foreign Holding Weekly (May 24th): TSMC, Lite-On Tech, Umc, Hon Hai, Mediatek, E.Sun Financial

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of May 24th which has an aggregated holding worth USD4,408.0bn.
  • We estimate that foreign flows to be inflows of USD5,709mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in TSMC, Lite-On Tech, Umc, Hon Hai, Mediatek, E.Sun Financial, Eva Airways, Ctbc Financial, Novatek, Sinopac Fncl.

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