Category

Quantitative Analysis

Oct 13
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Oct 6th): BHP and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Oct 6th): BHP, Liontown, ANZ, Suncorp, Domino’S Pizza E, Metcash

ASX Short Interest Weekly (Oct 6th): BHP, Liontown, ANZ, Suncorp, Domino’S Pizza E, Metcash

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Oct 6th (reported today) which has an aggregated short interest worth USD16.3bn.
  • 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 BHP, Liontown, ANZ, Suncorp, Domino’S Pizza E, Metcash.

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Oct 11
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Wuxi Bio and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Wuxi Bio, Xpeng, Mnso, Bidu, Meituan, China Mobile, Baba

HK Short Interest Weekly: Wuxi Bio, Xpeng, Mnso, Bidu, Meituan, China Mobile, Baba

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Sep 29th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Wuxi Bio, Xpeng, Mnso, Bidu, Meituan, China Mobile, Baba.

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Oct 10
0

Daily Brief Quantitative Analysis: TWSE Foreign Holding Weekly (Oct 6th): Fubon Financial and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Foreign Holding Weekly (Oct 6th): Fubon Financial, TSMC

TWSE Foreign Holding Weekly (Oct 6th): Fubon Financial, TSMC

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Oct 6th which has an aggregated holding worth USD621.8bn.
  • 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 USD449mln. We highlight foreign changes in Fubon Financial, TSMC.

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Oct 09
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Oct 6th): CMB and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Oct 6th): CMB, Postal Savings, Conch Cement, Beigene, Sinopec

A-H Premium Weekly (Oct 6th): CMB, Postal Savings, Conch Cement, Beigene, Sinopec

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 125.4% as of Oct 6th.
  • The average A-H premium changed by 8.1ppt week on week, led by health care, information technology, materials.
  • We highlight weekly changes in A-H premium for Cm Bank, Postal Savings, Conch Cement, Beigene, Sinopec Corp.

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Oct 08
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Oct 6th): Quanta Computer and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Oct 6th): Quanta Computer, Delta Elec, Kinik, Polaris, Accton Tech

TWSE Short Interest Weekly (Oct 6th): Quanta Computer, Delta Elec, Kinik, Polaris, Accton Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Oct 6th which has an aggregated short interest worth USD14.2bn.
  • 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 Quanta Computer, Delta Elec, Kinik, Polaris, Accton Tech.

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Oct 07
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Oct 6th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Oct 6th): Tencent, Aia, Xiaomi

Hong Kong Buybacks Weekly (Oct 6th): Tencent, Aia, Xiaomi

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 6th 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 (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), Xiaomi (1810 HK).

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Oct 06
0

Daily Brief Quantitative Analysis: Naspers & Prosus: Risk off Trade Puts Pressure on Discounts and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Naspers & Prosus: Risk off Trade Puts Pressure on Discounts, NAV Update for Q2 FY24 Released
  • ASX Short Interest Weekly (Sep 29th): Liontown, BHP, Macquarie, NAB, Santos, Fortescue Metals

Naspers & Prosus: Risk off Trade Puts Pressure on Discounts, NAV Update for Q2 FY24 Released

By Charlotte van Tiddens, CFA

  • During the last two weeks both discounts have widened by more than 1 percentage point, likely driven by risk-off sentiment as opposed to idiosyncratic factors. 
  • Management have released the NAV update for Q2 of FY24. Naspers’ NAV can be found here and Prosus’ NAV here.
  • During the quarter, Prosus’ discount widened by 4.2 percentage points to 39.8% and Naspers’ discount widened by 3.6 percentage points to 46.6%, erasing cross-holding unwind gains.

ASX Short Interest Weekly (Sep 29th): Liontown, BHP, Macquarie, NAB, Santos, Fortescue Metals

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Sep 29th (reported today) which has an aggregated short interest worth USD16.0bn.
  • 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 Liontown, BHP, Macquarie, NAB, Santos, Fortescue Metals, Woodside Energy, Evolution Mining.

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Oct 05
0

Daily Brief Quantitative Analysis: US Factor Strategies: Value and Dividend Yield Outperform in September and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • US Factor Strategies: Value and Dividend Yield Outperform in September, Higher for Longer Narrative

US Factor Strategies: Value and Dividend Yield Outperform in September, Higher for Longer Narrative

By Charlotte van Tiddens, CFA

  • Short duration US factor strategies outperformed in September as markets came under pressure (value and dividend yield).
  • Despite keeping rates unchanged on the 20th of September at 5.5% (upper bound), Fed Chair Powell indicated that rates would be kept higher for longer than initially anticipated.
  • In this note we explore the relative performance of US factor strategies through different interest rate cycles, to inform timing around factor/style rotation.

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Oct 03
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows: $7.3bn of Inflows in September and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows: $7.3bn of Inflows in September
  • Northbound Flows Monthly (September): $5.3bn of Outflows

Hong Kong Connect Flows: $7.3bn of Inflows in September

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 ICBC,  CCB, Meituan, Innovent Biologics, Xpeng and outflows from Petrochina.

Northbound Flows Monthly (September): $5.3bn of Outflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • We estimate the outflows to be $5.3bn in September and consumer discretionary, and health care sectors led the inflows.
  • We highlight inflows into BYD, Bank Of Jiangsu, Wuxi Apptec and outflows from CATL, Moutai, Wuliangye.

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Oct 02
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Tencent, Baba, CCB, China Mobile, AIA, Innovent Bio, Beigene
  • Screening for GEMs: October 2023
  • A-H Premium Weekly (Sep 29th): Beigene, China Vanke, Guangzhou Automobile, Wuapptec, Byd
  • Northbound Flows (Sep 29th): Wuxi Apptec, Longi Green, Moutai, BYD, Ping An Insurance
  • Hong Kong Connect Flows (Sep 29th): Meituan, Tencent, ICBC, Xpeng
  • TWSE Foreign Holding Weekly (Sep 29th): Gigabyte, Hon Hai, Novatek, Quanta, Asia Vital

HK Short Interest Weekly: Tencent, Baba, CCB, China Mobile, AIA, Innovent Bio, Beigene

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Sep 22nd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Tencent, Baba, CCB, China Mobile, AIA, Innovent Bio, Beigene.

Screening for GEMs: October 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.

A-H Premium Weekly (Sep 29th): Beigene, China Vanke, Guangzhou Automobile, Wuapptec, Byd

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 117.4% as of Sep 29th.
  • The average A-H premium changed by 1.5ppt week on week, led by health care, industrials, consumer discretionary and offset by consumer staples, utilities, real estate.
  • We highlight weekly changes in A-H premium for Beigene, China Vanke, Guangzhou Automobile Group, Wuapptec Co Ltd.

Northbound Flows (Sep 29th): Wuxi Apptec, Longi Green, Moutai, BYD, Ping An Insurance

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of September 29th.
  • We estimate the weekly outflows to be US$2,482.1 million, led by financials, information technology, and offset by health care.
  • We highlight flows for Wuxi Apptec, Longi Green, Moutai, BYD, Ping An Insurance, Zhongji Innolight, Wuliangye.

Hong Kong Connect Flows (Sep 29th): Meituan, Tencent, ICBC, Xpeng

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of September 29th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We have highlighted flows for Meituan, Tencent, ICBC and Xpeng.

TWSE Foreign Holding Weekly (Sep 29th): Gigabyte, Hon Hai, Novatek, Quanta, Asia Vital

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Sep 29th which has an aggregated holding worth USD318.8bn.
  • 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 USD776mln and highlight foreign changes in Gigabyte, Hon Hai, Novatek, Quanta, Asia Vital.

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