Category

Quantitative Analysis

Aug 07
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Aug 4th): Postal Savings Bank and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Aug 4th): Postal Savings Bank, CITIC Sec, China Rail New China Life, CRCC, BYD
  • Northbound Flows (Aug 4th): CATL, Moutai, Wuxi Apptec, BYD, Hengrui, Mindray
  • HK Short Interest Weekly: CPIC, AIA, Petrochina, China Mobile, Minsheng Bank
  • Hong Kong Connect Flows (Aug 4th): HKEx, Tencent, Xpeng, HSBC, Xiaomi

A-H Premium Weekly (Aug 4th): Postal Savings Bank, CITIC Sec, China Rail New China Life, CRCC, BYD

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 118.3% as of Aug 4th.
  • The average A-H premium changed by 3.0ppt week on week, led by real estate, communication services, consumer discretionary.
  • We highlight weekly changes in A-H premium for Postal Savings Bank, Zheshang, CITIC Sec, China Rail New China Life, CRCC, BYD, China Longyuan, GWM.

Northbound Flows (Aug 4th): CATL, Moutai, Wuxi Apptec, BYD, Hengrui, Mindray

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of August 4th.
  • We estimate the weekly inflows to be US$1,822.4 million, led by industrials, financials, consumer staples sectors, and offset by information technology, energy.
  • We highlight flows for CATL, Moutai, Wuxi Apptec, BYD, Jiangsu Hengrui Medicine, Mindray.

HK Short Interest Weekly: CPIC, AIA, Petrochina, China Mobile, Minsheng Bank

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 28th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Cpic, AIA, Petrochina, China Mobile, Minsheng Bank.

Hong Kong Connect Flows (Aug 4th): HKEx, Tencent, Xpeng, HSBC, Xiaomi

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of August 4th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Hong Kong Exchanges And Clearing, Tencent, Xpeng, HSBC, Xiaomi.

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Aug 06
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly(Aug 4th): Lite-On Tech and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly(Aug 4th): Lite-On Tech, Chung-Hsin, Sanyang Motor, Lotus, Wistron, Wiwynn

TWSE Short Interest Weekly(Aug 4th): Lite-On Tech, Chung-Hsin, Sanyang Motor, Lotus, Wistron, Wiwynn

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Aug 4th which has an aggregated short interest worth USD13.9bn.
  • 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 Lite-On Tech, Chung-Hsin, Sanyang Motor, Lotus, Wistron, Wiwynn.

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Aug 05
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Aug 4th): Tianli International and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Aug 4th): Tianli International, Deewin, Yeebo (Intl H)
  • Hong Kong Connect Flows (July): Meituan, Kuaishou, CNOOC, PetroChina, Tencent, BYD, HSBC, HKEx
  • Northbound Flows Monthly (July): $7.3bn Inflows

Hong Kong Buybacks Weekly (Aug 4th): Tianli International, Deewin, Yeebo (Intl H)

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 4th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Tianli International (1773 HK), Deewin (2418 HK), Yeebo (Intl H) (259 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), China Mengniu Dairy (2319 HK).

Hong Kong Connect Flows (July): Meituan, Kuaishou, CNOOC, PetroChina, Tencent, BYD, HSBC, HKEx

By Ke Yan, CFA, FRM

  • We analyze the monthly Hong Kong Connect flows with our data engine.
  • We tabulate the top stocks by inflows, outlfows, and holding by mainland investors.
  • We highlight flows for Meituan, Kuaishou, CNOOC, PetroChina, Tencent, BYD, HSBC, HKEx.

Northbound Flows Monthly (July): $7.3bn Inflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Consumer Discretionary (inflows of $2,146 million), Financials (inflows of $1,619 million), Consumer Staples (inflows of $1,100 million) led the inflows while led the outflows.
  • We highlight flows for Moutai, CATL, BYD, Wuliangye, East Money, Haitian Flavoring, Luxshare, Longi Green, Wus Printed, Yonyou Network.

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Aug 04
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jul 28th): Woodside Energy and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jul 28th): Woodside Energy, NAB, Macquarie, BHP, CSL, Northern Star Re

ASX Short Interest Weekly (Jul 28th): Woodside Energy, NAB, Macquarie, BHP, CSL, Northern Star Re

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jul 28th (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 Woodside Energy, NAB, Macquarie, BHP, CSL, Northern Star Re.

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Aug 03
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: August 2023

Screening for GEMs: August 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.

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Jul 31
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Jul 28th): China Vanke and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Jul 28th): China Vanke, CITIC Sec, China Pacific, BYD, CMOC, GF Sec, CICC
  • Hong Kong Connect Flows (Jul 28th): Kuaishou Technology, Tencent, HSBC
  • Northbound Flows (Jul 28th): $5.2bn Inflows
  • HK Short Interest Weekly: Byd Company, China Mobile, Wuxi Apptec, Bidu

A-H Premium Weekly (Jul 28th): China Vanke, CITIC Sec, China Pacific, BYD, CMOC, GF Sec, CICC

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 115.0% as of Jul 28th.
  • The average A-H premium changed by 0.8ppt week on week, led by information technology, communication services, energy and offset by health care, consumer staples.
  • We highlight weekly changes in A-H premium for China Vanke, CITIC Sec, China Pacific, BYD, CMOC, GF Sec, CICC.

Hong Kong Connect Flows (Jul 28th): Kuaishou Technology, Tencent, HSBC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of July 28th.
  • 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 65.0 million and highlight flows for Kuaishou Technology, Tencent, HSBC.

Northbound Flows (Jul 28th): $5.2bn Inflows

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 28th.
  • We estimate the weekly inflows to be US$5,187.1 million, led by financials, consumer staples, industrials sectors, and offset by information technology.
  • We highlight flows for Moutai, CATL, East Money Information, Wuliangye, Ping An Insurance, Haitian Flavouring, LUxshare, BOE.

HK Short Interest Weekly: Byd Company, China Mobile, Wuxi Apptec, Bidu

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 21st.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Byd Company, China Mobile, Wuxi Apptec, Bidu.

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Jul 30
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Jul 28th): Quanta Computer and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Jul 28th): Quanta Computer, Lite-On Tech, Wiwynn, Alchip Tech

TWSE Short Interest Weekly (Jul 28th): Quanta Computer, Lite-On Tech, Wiwynn, Alchip Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jul 28th which has an aggregated short interest worth USD15.0bn.
  • 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 Quanta Computer, Lite-On Tech, Wiwynn, Alchip Tech, Inventec, Faraday Tech.

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Jul 29
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jul 28th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jul 28th): Aia, Dexin Ser, Deewin
  • ASX Short Interest Weekly (Jul 21st): BHP, ANZ, Endeavour, South32, Mineral Resource, Igo, Woodside

Hong Kong Buybacks Weekly (Jul 28th): Aia, Dexin Ser, Deewin

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jul 28th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were AIA (1299 HK), Dexin Ser (2215 HK), Deewin (2418 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), Kuaishou Technology (1024 HK).

ASX Short Interest Weekly (Jul 21st): BHP, ANZ, Endeavour, South32, Mineral Resource, Igo, Woodside

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jul 21st (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, ANZ, Endeavour, South32, Mineral Resource, Igo, Woodside Energy, Northern Star Re, Whitehaven Coal.

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Jul 24
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Jul 21st): China Vanke and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Jul 21st): China Vanke, New China Life, BYD, CMOC, Asymchem, Huaneng
  • Hong Kong Connect Flows (Jul 21st): Tencent, HSBC
  • Northbound Flows (Jul 21st): ZTE, Moutai, Zhongji Innolight, Longi Green, CATL

A-H Premium Weekly (Jul 21st): China Vanke, New China Life, BYD, CMOC, Asymchem, Huaneng

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 115.2% as of Jul 21st.
  • The average A-H premium changed by -1.8ppt week on week, led by consumer staples, communication services, information technology and offset by real estate, utilities.
  • We highlight weekly changes in A-H premium for China Vanke, New China Life, BYD, CMOC, Asymchem, Huaneng, China Longyuan.

Hong Kong Connect Flows (Jul 21st): Tencent, HSBC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of July 21st.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We estimate the inflows to be USD 2.1billion and highlight flows for Tencent, Hsbc.

Northbound Flows (Jul 21st): ZTE, Moutai, Zhongji Innolight, Longi Green, CATL

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 21st.
  • We estimate the weekly outflows to be US$1,012.2 million, led by information technology, financials, and offset by consumer discretionary, communication services, real estate.
  • We highlight flows for ZTE, Moutai, Zhongji Innolight, Longi Green, CATL.

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Jul 23
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Jul 21st): Gigabyte Tech and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Jul 21st): Gigabyte Tech, Lite-On Tech, Delta Elec, Walsin Lihwa

TWSE Short Interest Weekly (Jul 21st): Gigabyte Tech, Lite-On Tech, Delta Elec, Walsin Lihwa

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jul 21st 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 Gigabyte Tech, Lite-On Tech, Delta Elec, Walsin Lihwa.

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