Category

Quantitative Analysis

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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Jul 22
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jul 21st): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jul 21st): Aia, Tencent, Zhongsheng

Hong Kong Buybacks Weekly (Jul 21st): Aia, Tencent, Zhongsheng

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 21st 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), Tencent (700 HK), Zhongsheng (881 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).

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Jul 21
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jul 14th): Fortescue Metals and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jul 14th): Fortescue Metals, BHP, Lynas Rare Earth, Suncorp, Woolworths

ASX Short Interest Weekly (Jul 14th): Fortescue Metals, BHP, Lynas Rare Earth, Suncorp, Woolworths

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jul 14th (reported today) which has an aggregated short interest worth USD16.9bn.
  • 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 Fortescue Metals, BHP, Lynas Rare Earth, Suncorp, Woolworths.

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Jul 17
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: ABC, ICBC, Li Ning
  • A-H Premium Weekly (Jul 14th): 52 Week High A-H for Banks
  • Hong Kong Connect Flows (Jul 14th): Meituan, BYD
  • Northbound Flows (Jul 14th): Moutai, CATL, Wuliangye, Yangtze Power, China Telecom, Haitian

HK Short Interest Weekly: ABC, ICBC, Li Ning

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 7th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight changes of short interests in ABC, ICBC, Li Ning.

A-H Premium Weekly (Jul 14th): 52 Week High A-H for Banks

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 117.2% as of Jul 14th.
  • The average A-H premium changed by -3.0ppt week on week, led by consumer discretionary, consumer staples, utilities and offset by real estate, communication services.
  • We highlight weekly changes in A-H premium for BankComm, ICBC, ABC, CCB, Remegen.

Hong Kong Connect Flows (Jul 14th): Meituan, BYD

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of July 14th.
  • 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 538m and highlight flows for Meituan, BYD.

Northbound Flows (Jul 14th): Moutai, CATL, Wuliangye, Yangtze Power, China Telecom, Haitian

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 14th.
  • We estimate the weekly inflows to be US$2,869.4 million, led by consumer discretionary, consumer staples, financials sectors.
  • We highlight flows for Moutai, CATL, Wuliangye, China Yangtze Power, China Telecom, Inspur Electronic Information Industry, Tcl Technology, China Mobile, BYD, Haitian Flavouring, Wus Printed Circuit (Kunshan).

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Jul 16
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Jul 14th): Quanta Computer and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Jul 14th): Quanta Computer, Inventec, Lite-On Tech, Walsin Lihwa, ASE

TWSE Short Interest Weekly (Jul 14th): Quanta Computer, Inventec, Lite-On Tech, Walsin Lihwa, ASE

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jul 14th 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, Inventec, Lite-On Tech, Walsin Lihwa, ASE, Lotus.

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Jul 15
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jul 7th): Lynas Rare Earth and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jul 7th): Lynas Rare Earth, Northern Star Re, Iluka Resources, Worley
  • Hong Kong Buybacks Weekly (Jul 14th): Tencent, AIA, Xiaomi

ASX Short Interest Weekly (Jul 7th): Lynas Rare Earth, Northern Star Re, Iluka Resources, Worley

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jul 7th (reported today) which has an aggregated short interest worth USD15.7bn.
  • 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 Lynas Rare Earth, Northern Star Re, Iluka Resources, Worley, Csl, ANZ, Aurizon.

Hong Kong Buybacks Weekly (Jul 14th): 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 Jul 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), 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), CK Asset (1113 HK).

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Jul 13
0

Daily Brief Quantitative Analysis: EQD | Are Box Spreads Viable in Japan? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • EQD | Are Box Spreads Viable in Japan?

EQD | Are Box Spreads Viable in Japan?

By Nicholas Pezolano

  • Box Spreads have become an increasingly popular strategy utilized in the US markets, so we explore this strategy in Japan.
  • Opportunities exist for traders to lock in JPY margin rates lower than their brokerage.
  • A historical analysis of the strategy showcases the favorable opportunities for investors

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Jul 12
0

Daily Brief Quantitative Analysis: Covered Call Strategies Uncovered and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Covered Call Strategies Uncovered

Covered Call Strategies Uncovered

By Nicolas Rabener

  • Covered call strategies aim to offer index-like returns with lower volatility and higher yields
  • They have underperformed their benchmarks significantly over longer periods
  • They are tools for market timing, but that is difficult to execute successfully

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Jul 10
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Jul 7th): China Mobile and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Jul 7th): China Mobile, ICBC, ABC, Tencent, HSBC, BYD
  • A-H Premium Weekly (Jul 7th): BankComm, ICBC, CCB, BYD, Asymchem, Hisense, Baiyunshan
  • HK Short Interest Weekly: Luye Pharma, Baba, Li Auto
  • Northbound Flows (Jul 7th): ZTE, BYD, Goertek, CATL, CMB, Moutai, Focus Media

Hong Kong Connect Flows (Jul 7th): China Mobile, ICBC, ABC, Tencent, HSBC, BYD

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of July 7th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We analyzed southbound Hong Kong connect flows in the past week and highlight flows for  China Mobile, ICBC, ABC, Tencent, HSBC, BYD.

A-H Premium Weekly (Jul 7th): BankComm, ICBC, CCB, BYD, Asymchem, Hisense, Baiyunshan

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 120.6% as of Jul 7th.
  • The average A-H premium changed by 5.9ppt week on week, led by consumer staples, consumer discretionary, energy.
  • We highlight weekly changes in A-H premium for BankComm, ICBC, CCB, BYD, Asymchem, Hisense, Baiyunshan, Yankuang Energy, New China Life.

HK Short Interest Weekly: Luye Pharma, Baba, Li Auto

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jun 30th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Luye Pharma, Baba, Li Auto.

Northbound Flows (Jul 7th): ZTE, BYD, Goertek, CATL, CMB, Moutai, Focus Media

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 7th.
  • We estimate the weekly outflows to be US$1,104.6 million, led by consumer staples, financials, and offset by consumer discretionary, communication services, utilities.
  • We highlight flows for Zte, BYD, Goertek, CATL, CMB, Moutai, Focus Media Information Technology.

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Jul 09
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Jul 7th): Quanta Computer and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Jul 7th): Quanta Computer, Inventec, Novatek, Lite-On Tech

TWSE Short Interest Weekly (Jul 7th): Quanta Computer, Inventec, Novatek, Lite-On Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jul 7th which has an aggregated short interest worth USD13.8bn.
  • 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 Quanta Computer, Inventec, Novatek, Lite-On Tech, Yang Ming Marine, ASE, China Airlines.

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