Category

Quantitative Analysis

Oct 16
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Oct 11th): Samsung Electronics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Oct 11th): Samsung Electronics, Sk Hynix, Posco, Shinhan Group
  • HK Short Interest Weekly: Meituan, Citic Sec, Hkex, Trip.Com, ICBC, CCB, New World Dev

KRX Short Interest Weekly (Oct 11th): Samsung Electronics, Sk Hynix, Posco, Shinhan Group

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Oct 11th which has an aggregated short interest worth USD4.7bn.
  • 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 Samsung Electronics, Sk Hynix, Posco, Shinhan Group.

HK Short Interest Weekly: Meituan, Citic Sec, Hkex, Trip.Com, ICBC, CCB, New World Dev

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Oct 4th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Meituan, Citic Sec, Hkex, Trip.Com, ICBC, CCB, New World Dev.

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Oct 15
0

Daily Brief Quantitative Analysis: Quantamental LLM Primer 2: Convert Sellside/Buyside Ideas into a Long/Short Alpha Capture Portfolio and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Quantamental LLM Primer 2: Convert Sellside/Buyside Ideas into a Long/Short Alpha Capture Portfolio

Quantamental LLM Primer 2: Convert Sellside/Buyside Ideas into a Long/Short Alpha Capture Portfolio

By William Mann

  • Ask the AI to convert the Trading Strategy Recommendations from Part 1 into a L/S Alpha Capture portfolio of ETFs. Iterate several times to ensure the portfolio recommendations are sound. 
  • Sanity Checkand provide feedback to AI to iterate on portfolio. Generate report with final recommendations. Run same process with another AI to compare its interpretation of the Trading Strategy.
  • Using Prompt Engineer, compare these two separate AI-driven reports, in both AIs to highlight similarities and differences between the models. Resolve to a final portfolio with this Sanity-Check comparison

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Oct 14
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Oct 11th): Hon Hai Precision Industry and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Oct 11th): Hon Hai Precision Industry, Global Unichip, Via Technologies
  • KRX Foreign Holding Weekly (Oct 11th): Sk Hynix, Hanwha Aerospace, Korzinc, Samsung Electronics
  • TWSE Foreign Holding Weekly (Oct 11th): TSMC, Fubon Financial, Quanta Computer, Wistron

TWSE Short Interest Weekly (Oct 11th): Hon Hai Precision Industry, Global Unichip, Via Technologies

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Oct 11th which has an aggregated short interest worth USD20.2bn.
  • 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 Hon Hai Precision Industry, Global Unichip, Via Technologies, Wan Hai Lines, Taiwan Cement, Shin Kong Financial.

KRX Foreign Holding Weekly (Oct 11th): Sk Hynix, Hanwha Aerospace, Korzinc, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Oct 11th which has an aggregated holding worth USD532.4bn.
  • We estimate that foreign flows to be inflows of USD61mln. 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 Sk Hynix, Hanwha Aerospace, Korzinc, Samsung Electronics, Samsung Elec (PREF).

TWSE Foreign Holding Weekly (Oct 11th): TSMC, Fubon Financial, Quanta Computer, Wistron

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Oct 11th which has an aggregated holding worth USD1,014.8bn.
  • We estimate that foreign flows to be inflows of USD1,158mln. 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, Fubon Financial, Quanta Computer, Wistron.

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Oct 12
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Oct 11th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Oct 11th): Tencent, AIA, Samsonite International

Hong Kong Buybacks Weekly (Oct 11th): Tencent, AIA, Samsonite International

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Oct 11th 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), Samsonite International (1910 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Meituan (3690 HK), AIA (1299 HK).

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Oct 11
0

Daily Brief Quantitative Analysis: Quantamental LLM Primer: Crowdsource Expert Outlooks to Design a Trading Strategy with LLMs (Part 1) and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Quantamental LLM Primer: Crowdsource Expert Outlooks to Design a Trading Strategy with LLMs (Part 1)
  • ASX Short Interest Weekly (Oct 4th): Ampol, Domino’S Pizza Enterprises, BHP, Fortescue

Quantamental LLM Primer: Crowdsource Expert Outlooks to Design a Trading Strategy with LLMs (Part 1)

By William Mann

  • Ingest/Summarize Reports: Upload 30+ reports in batches. For each report, catalog key information (title, source, date) and summarize the outlook on equities, risk factors, sector performance, and regional forecasts.
  • Synthesize and Analyze Data: After summarizing all reports, identify common themes, such as equities trends, sector performance, quantitative risk factors, and regional forecasts. Highlight both consensus views and contrarian perspectives.
  • Compose Outlook: Use synthesized research to compose Q4 2024 stock market outlook, with sections on consensus market sentiment, key risks, contrarian views, and regional outlooks, attributing insights to respective sources.

ASX Short Interest Weekly (Oct 4th): Ampol, Domino’S Pizza Enterprises, BHP, Fortescue

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Oct 4th (reported today) which has an aggregated short interest worth USD27.1bn.
  • 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 Ampol, Domino’S Pizza Enterprises, BHP, Fortescue.

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Oct 09
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Ping An and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Ping An, Baba, Jd, CCB, CNOOC, China Mobile, Akeso, Zhaojin Mining
  • KRX Short Interest Weekly (Oct 4th):POSCO, Yuhan Corp

HK Short Interest Weekly: Ping An, Baba, Jd, CCB, CNOOC, China Mobile, Akeso, Zhaojin Mining

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Sep 27th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Ping An, Baba, Jd, CCB, CNOOC, China Mobile, Akeso, Zhaojin Mining.

KRX Short Interest Weekly (Oct 4th):POSCO, Yuhan Corp

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Oct 4th which has an aggregated short interest worth USD5.1bn.
  • 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 POSCO (005490 KS), Yuhan Corp (000100 KS).

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Oct 07
0

Daily Brief Quantitative Analysis: KRX Foreign Holding Weekly (Oct 4th): Sk Hynix and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Foreign Holding Weekly (Oct 4th): Sk Hynix, Samsung Electronics
  • TWSE Foreign Holding Weekly (Oct 4th): Via Technologies, TSMC, United Microelectronics
  • TWSE Short Interest Weekly (Oct 4th): Taishin Financial, Htc, Airtac International

KRX Foreign Holding Weekly (Oct 4th): Sk Hynix, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Oct 4th which has an aggregated holding worth USD530.1bn.
  • We estimate that foreign flows to be outflows of USD711mln. 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 Sk Hynix, Samsung Electronics.

TWSE Foreign Holding Weekly (Oct 4th): Via Technologies, TSMC, United Microelectronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Oct 4th which has an aggregated holding worth USD976.1bn.
  • We estimate that foreign flows to be outflows of USD2,371mln. 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 Via Technologies, TSMC, United Microelectronics, Evergreen Marine Corp Taiwan, Mediatek, Quanta Computer.

TWSE Short Interest Weekly (Oct 4th): Taishin Financial, Htc, Airtac International

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Oct 4th which has an aggregated short interest worth USD20.1bn.
  • 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 Taishin Financial, Htc, Airtac International, Yang Ming Marine Transport, Asustek Computer.

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Oct 05
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Oct 4th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Oct 4th): Tencent, Sinopec, Swire Pacific

Hong Kong Buybacks Weekly (Oct 4th): Tencent, Sinopec, Swire Pacific

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Oct 4th 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), Sinopec (386 HK), Swire Pacific (19 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Meituan (3690 HK), AIA (1299 HK).

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Oct 04
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Sep 27th): Rio Tinto and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Sep 27th): Rio Tinto, BHP, Fortescue, Goodman, Santos

ASX Short Interest Weekly (Sep 27th): Rio Tinto, BHP, Fortescue, Goodman, Santos

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Sep 27th (reported today) which has an aggregated short interest worth USD27.6bn.
  • 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 Rio Tinto, BHP, Fortescue, Goodman, Santos.

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Oct 03
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Sep): Weak Inflows Ex-Alibaba and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Sep): Weak Inflows Ex-Alibaba
  • KRX Short Interest Weekly (Sep 27th): Hmm, Samsung Electronics
  • Global Emerging Markets: Reporting Season Summary, 3Q2024

Hong Kong Connect Flows (Sep): Weak Inflows Ex-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, Kuaishou, Anta, HKEx, China Resource Land, China Telecom, and outflows from Meituan, Tencent, CNOOC, Xiaomi, China Mobile. 

KRX Short Interest Weekly (Sep 27th): Hmm, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Sep 27th which has an aggregated short interest worth USD5.3bn.
  • 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 Hmm (011200 KS), Samsung Electronics (005930 KS).

Global Emerging Markets: Reporting Season Summary, 3Q2024

By Wium Malan, CFA

  • During 3Q2024, the 200 largest weighted companies in the GEM index reported average EPS growth of +14.3%y/y, accelerating from the +7.1% reported during 2Q2024.
  • Overall, 59% of companies delivered positive EPS surprises, and 63% delivered positive Sales surprises, a continuation of the positive trend witnessed in the previous quarter.
  • Historically, there has been a significant difference in relative share price performance between the largest positive versus negative surprise generators, for 3 months after the reporting date.

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