Category

Quantitative Analysis

Sep 03
0

Daily Brief Quantitative Analysis: Screening for GEMs: September 2023 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: September 2023
  • Hong Kong Buybacks Weekly (Sep 1st): Tencent, Aia, China Petroleum & Chemical
  • TWSE Short Interest Weekly (Sep 1st): Wistron, Gigabyte Tech, Realtek Semi, Mediatek, Alchip Tech

Screening for GEMs: September 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.

Hong Kong Buybacks Weekly (Sep 1st): Tencent, Aia, China Petroleum & Chemical

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Sep 1st 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), China Petroleum & Chemical (386 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), CK Asset (1113 HK).

TWSE Short Interest Weekly (Sep 1st): Wistron, Gigabyte Tech, Realtek Semi, Mediatek, Alchip Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 1st which has an aggregated short interest worth USD13.5bn.
  • 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 Wistron, Gigabyte Tech, Realtek Semi, Mediatek, Alchip Tech, Eva Airways.

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Sep 01
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Aug 25th): Rio Tinto and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Aug 25th): Rio Tinto, Domino’S Pizza E, Qbe Insurance, Lottery, BHP

ASX Short Interest Weekly (Aug 25th): Rio Tinto, Domino’S Pizza E, Qbe Insurance, Lottery, BHP

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Aug 25th (reported today) which has an aggregated short interest worth USD15.1bn.
  • 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 Rio Tinto, Domino’S Pizza E, Qbe Insurance, Lottery, BHP, Macquarie, Magellan Fin Grp.

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Aug 28
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Aug 18th): Macquarie and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Aug 18th): Macquarie, Aurizon, Suncorp, Computershare, Igo, Rio Tinto
  • A-H Premium Weekly (Aug 25th): Wuxi Apptec, CICC, China Telecom, China Longyuan, Hua Hong
  • Hong Kong Connect Flows (Aug 25th): Tencent, CCB, Xpeng, China Mobile, Meituan, CNOOC
  • Northbound Flows (Aug 25th): Wuxi Apptec, Iflytek, Foxconn Industrial Internet, Moutai, CMB
  • TWSE Short Interest Weekly (Aug 25th): Quanta Computer, Global Unichip, Asustek Computer, Inventec

ASX Short Interest Weekly (Aug 18th): Macquarie, Aurizon, Suncorp, Computershare, Igo, Rio Tinto

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Aug 18th (reported today) which has an aggregated short interest worth USD15.4bn.
  • 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 BHP, Aurizon, Wisetech Global, Suncorp, Macquarie, Rio Tinto, Evolution Mining, ANZ.

A-H Premium Weekly (Aug 25th): Wuxi Apptec, CICC, China Telecom, China Longyuan, Hua Hong

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 116.7% as of Aug 25th. 
  • The average A-H premium changed by -3.6ppt week on week, led by health care, information technology, financials and offset by communication services. 
  • We highlight weekly changes in A-H premium for Wuxi Apptec, CICC, China Telecom, China Longyuan, Hua Hong Semiconductor.

Hong Kong Connect Flows (Aug 25th): Tencent, CCB, Xpeng, China Mobile, Meituan, CNOOC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of August 25th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Tencent, CCB, Xpeng, China Mobile, Meituan, CNOOC, Ping An Insurance (Group) Company Of China, Ltd.-Hkd Traded Shares.

Northbound Flows (Aug 25th): Wuxi Apptec, Iflytek, Foxconn Industrial Internet, 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 August 25th.
  • We estimate the weekly outflows to be US$3,207.8 million, led by consumer staples, industrials, and offset by communication services.
  • We highlight flows for Wuxi Apptec, Iflytek, Foxconn Industrial Internet, Moutai, CMB, Ping An Insurance, Longi Green, Mindray, Wuliangye, ZTE, Inner Mongolia Yili Industrial, Luxshare Precision, Ping An Bank.

TWSE Short Interest Weekly (Aug 25th): Quanta Computer, Global Unichip, Asustek Computer, Inventec

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Aug 25th which has an aggregated short interest worth USD13.5bn. 
  • 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 Quanta Computer, Global Unichip, Asustek Computer, Inventec, Lite-On Tech, Asia Vital, Chunghwa Telecom, Delta Elec.

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Aug 27
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, Wuxi Apptec, China Mobile, Bank Of China, CCB, Country Garden

HK Short Interest Weekly: Tencent, Wuxi Apptec, China Mobile, Bank Of China, CCB, Country Garden

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Aug 18th. 
  • Top short increases and decreases were tabulated for one week and four week period.  
  • We highlight short changes in Tencent, Wuxi Apptec, China Mobile, Bank Of China, CCB, Country Garden, Bidu.

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Aug 26
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Aug 25th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Aug 25th): Tencent, CK Asset, New Horizon Health

Hong Kong Buybacks Weekly (Aug 25th): Tencent, CK Asset, New Horizon Health

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Aug 25th 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), CK Asset (1113 HK), New Horizon Health (6606 HK). 
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), CK Asset (1113 HK), Tianli International (1773 HK).

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Aug 21
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Aug 18th):China Vanke and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Aug 18th):China Vanke, China East Air, China Life, China Longyuan
  • Hong Kong Connect Flows (Aug 18th): Tencent, China Mobile, Country Garden Services, Meituan, CCB
  • Northbound Flows (Aug 18th): Wuliangye, Moutai, CMB, Ping An Insurance, Longi Green, BYD, CATL
  • HK Short Interest Weekly: Ping An, Wuxi Apptec, HSBC, Petrochina, Li Auto

A-H Premium Weekly (Aug 18th):China Vanke, China East Air, China Life, 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 120.1% as of Aug 18th. 
  • The average A-H premium changed by 2.9ppt week on week, led by utilities, financials, industrials and offset by consumer staples. 
  • We highlight weekly changes in A-H premium for China Vanke, China East Air, China Life, China Longyuan.

Hong Kong Connect Flows (Aug 18th): Tencent, China Mobile, Country Garden Services, Meituan, CCB

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of August 18th. 
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups. 
  • We highlight flows for Tencent, China Mobile, Country Garden Services, Meituan, CCB, Ping An Insurance (Group) Company Of China, Ltd.-Hkd Traded Shares, AIA.

Northbound Flows (Aug 18th): Wuliangye, Moutai, CMB, Ping An Insurance, Longi Green, BYD, CATL

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of August 18th. 
  • We estimate the weekly outflows to be US$4,168.8 million, led by consumer staples, materials. 
  • We highlight flows for  Kingsoft Office, Foxconn Industrial Internet, Wuliangye, Moutai, CMB, Ping An Insurance, Longi Green, BYD, CATL, Mindray, China Tourism, Inner Mongolia Yili Industrial.

HK Short Interest Weekly: Ping An, Wuxi Apptec, HSBC, Petrochina, Li Auto

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Aug 11th. 
  • Top short increases and decreases were tabulated for one week and four week period.
  • We highlight short changes in Ping An, Wuxi Apptec, HSBC, Petrochina, Li Auto.

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Aug 20
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Aug 18th): Quanta Computer and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Aug 18th): Quanta Computer, Compal Elec, Faraday Tech, Lite-On Tech

TWSE Short Interest Weekly (Aug 18th): Quanta Computer, Compal Elec, Faraday Tech, Lite-On Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Aug 18th which has an aggregated short interest worth USD13.4bn. 
  • 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 Quanta Computer, Compal Elec, Faraday Tech, Lite-On Tech, Hon Hai, Auo, Asustek Computer.

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Aug 19
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Aug 11th): CSL and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Aug 11th): CSL, BHP, Lynas Rare Earth, Igo, Rio Tinto, Macquarie
  • Hong Kong Buybacks Weekly (Aug 18th): CK Asset, Tianli Intl, Launch Tech

ASX Short Interest Weekly (Aug 11th): CSL, BHP, Lynas Rare Earth, Igo, Rio Tinto, Macquarie

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Aug 11th (reported today) which has an aggregated short interest worth USD15.8bn.
  • 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 CSL, BHP, Lynas Rare Earth, Igo, Rio Tinto, Macquarie.

Hong Kong Buybacks Weekly (Aug 18th): CK Asset, Tianli Intl, Launch Tech

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Aug 18th based on HKEx daily reports. 
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were CK Asset (1113 HK), Tianli International (1773 HK), Launch Tech (2488 HK). 
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were AIA (1299 HK), CK Asset (1113 HK), Deewin (2418 HK).

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Aug 14
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Aug 11th): New China Life and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Aug 11th): New China Life, China Rail Cn, Wuapptec Co Lt, Zte, China East Air
  • HK Short Interest Weekly: Wuxi Apptec, Wuxi Biologics, Chinahongqiao, Xpeng
  • Hong Kong Connect Flows (Aug 11th): Li Auto
  • Northbound Flows (Aug 11th): Wuxi Apptec, CATL, ZTE, Mindray, Longi Green, BYD, CMB, Moutai

A-H Premium Weekly (Aug 11th): New China Life, China Rail Cn, Wuapptec Co Lt, Zte, China East Air

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 117.2% as of Aug 11th.
  • The average A-H premium changed by -1.0ppt week on week, led by energy, utilities, communication services and offset by health care, information technology.
  • We highlight weekly changes in A-H premium for New China Life, China Rail Cn, Wuapptec Co Lt, Zte,  China East Air.

HK Short Interest Weekly: Wuxi Apptec, Wuxi Biologics, Chinahongqiao, Xpeng

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Aug 4th. 
  • Top short increases and decreases were tabulated for one week and four week period.  
  • We highlight short changes in Wuxi Apptec, Wuxi Bio, Chinahongqiao, Xpeng.

Hong Kong Connect Flows (Aug 11th): Li Auto

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of August 11th. 
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups. 
  • We estimate the outflows to be USD 342m and highlight outflows from Li Auto.

Northbound Flows (Aug 11th): Wuxi Apptec, CATL, ZTE, Mindray, Longi Green, BYD, CMB, Moutai

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of August 11th. 
  • We estimate the weekly outflows to be US$3,631.2 million, led by information technology, consumer discretionary, and offset by financials. 
  • We highlight flows for Wuxi Apptec, CATL, ZTE, Mindray, Longi Green, BYD, CMB, Moutai, China Tourism, Foxconn Industrial Internet, Wuliangye.

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Aug 13
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Aug 11th): Gigabyte Tech and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Aug 11th): Gigabyte Tech, Lotus, Mitac, King Slide Works, Mediatek

TWSE Short Interest Weekly (Aug 11th): Gigabyte Tech, Lotus, Mitac, King Slide Works, Mediatek

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Aug 11th which has an aggregated short interest worth USD13.4bn.
  • 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 Gigabyte Tech, Lotus, Mitac, King Slide Works, Mediatek, Accton Tech.

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