Category

Quantitative Analysis

Jul 08
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jul 7th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jul 7th): Tencent, AIA, Kuaishou Technology

Hong Kong Buybacks Weekly (Jul 7th): Tencent, AIA, Kuaishou Technology

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 7th 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), Kuaishou Technology (1024 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 07
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jun 30th): Rea and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jun 30th): Rea, ANZ, Xero, Westpac, NAB, Liontown

ASX Short Interest Weekly (Jun 30th): Rea, ANZ, Xero, Westpac, NAB, Liontown

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jun 30th (reported today) which has an aggregated short interest worth USD16.1bn.
  • 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 Rea, ANZ, Xero, Westpac, Natl Aust Bank, Liontown.

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Jul 06
0

Daily Brief Quantitative Analysis: Factor Olympics 2023 1H and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Factor Olympics 2023 1H

Factor Olympics 2023 1H

By Nicolas Rabener

  • All popular factors generated negative excess returns in 1H 2023
  • The best-performing stocks were small caps, while the lowest-risk stocks fared the worst.
  • Against all expectations, long short multi-factor products generated favorable returns.

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Jul 04
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows Monthly: $366m Outflows in June and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows Monthly: $366m Outflows in June
  • Screening for GEMs: July 2023
  • Northbound Flows Monthly (June): Midea, Foxconn, CATL, Wuxi Apptec, Sany Heavy

Hong Kong Connect Flows Monthly: $366m Outflows in June

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 PetroChina, China Mobile, Xpeng, Bilibili, Kuaishou, CCB, ICBC, BYD, HSBC.

Screening for GEMs: July 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.

Northbound Flows Monthly (June): Midea, Foxconn, CATL, Wuxi Apptec, Sany Heavy

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Industrials, Consumer Discretionary, Information Technology led the inflows while Consumer Staples, Financials led the outflows.
  • We highlight flows for Midea, Foxconn, CATL, Wuxi Apptec, Sany Heavy, China Tourism, Longi Green, Ping An, Zijin Mining, Haitian Flavoring.

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Jul 03
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Jun 30th): ICBC and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Jun 30th): ICBC
  • HK Short Interest Weekly: Sunny Optical, JS Global Life, Trip.Com, Meituan
  • A-H Premium Weekly (Jun 30th): Healthcare Led Premium Decline
  • Northbound Flows (Jun 30th): Moutai, Wuliangye, China Tourism, CATL, Longi Green

Hong Kong Connect Flows (Jun 30th): ICBC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of June 30th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups. 
  • We estimate that the outflows were USD 20 million and highlight flows for ICBC.

HK Short Interest Weekly: Sunny Optical, JS Global Life, Trip.Com, Meituan

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jun 23rd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Sunny Optical, Js Global Life, Trip.Com, Meituan.

A-H Premium Weekly (Jun 30th): Healthcare Led Premium Decline

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 114.6% as of Jun 30th.
  • The average A-H premium changed by -5.2ppt week on week, led by health care, information technology, consumer discretionary and offset by consumer staples.
  • We analyzed A-H premium changes in the past week and highlight A-H premium changes for Tianqi Lithium, CQRC Bank, Shanghai Fudan, Joinn Lab, Remegen, Cansino Biologics.

Northbound Flows (Jun 30th): Moutai, Wuliangye, China Tourism, CATL, Longi Green

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of June 30th.
  • We estimate the weekly outflows to be US$1,252.3 million, led by consumer staples, financials, and offset by materials, consumer discretionary, industrials.
  • We highlight flows for Midea, Kunlun Tech, Tcl Technology Group, Moutai, Wuliangye, China Tourism, CATL, Longi Green.

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Jul 02
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Jun 30th): Wiwynn and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Jun 30th): Wiwynn, ASE, Makalot, Pegatron, Walsin Lihwa, Mediatek

TWSE Short Interest Weekly (Jun 30th): Wiwynn, ASE, Makalot, Pegatron, Walsin Lihwa, Mediatek

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jun 30th 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 Wiwynn, Ase Technology H, Makalot, Pegatron, Walsin Lihwa, Mediatek, Evergreen Marine, Macronix Intl, Gigabyte Tech.

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Jun 30
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jun 23rd): Mineral Resource and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jun 23rd): Mineral Resource, Macquarie, Aurizon, Endeavour

ASX Short Interest Weekly (Jun 23rd): Mineral Resource, Macquarie, Aurizon, Endeavour

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jun 23rd (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 Mineral Resource, Macquarie, Aurizon, Endeavour, Flight Centre Tr, Rio Tinto.

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Jun 29
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Baba, Tencent, Meituan, CMB, Yankuang Energy

HK Short Interest Weekly: Baba, Tencent, Meituan, CMB, Yankuang Energy

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jun 16th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Baba, Tencent, Meituan, Cm Bank, Yankuang Energy.

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Jun 26
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Jun 23rd): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Jun 23rd): Tencent, Meituan, ICBC
  • A-H Premium Weekly (Jun 23rd): BYD, CMOC, China Southern, Cansino Biologics, Xinjiang Gold
  • Northbound Flows (Jun 23rd): China Cssc, Dahua

Hong Kong Connect Flows (Jun 23rd): Tencent, Meituan, ICBC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of June 23rd.
  • 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, Meituan, Industrial And Commercial Bank Of China.

A-H Premium Weekly (Jun 23rd): BYD, CMOC, China Southern, Cansino Biologics, Xinjiang Gold

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 119.0% as of Jun 23rd.
  • The average A-H premium changed by 4.9ppt week on week, led by information technology, health care, industrials and offset by communication services, financials.
  • We highlight weekly changes in A-H premium for BYD, CMOC, China Southern, Cansino Biologics, Xinjiang Gold.

Northbound Flows (Jun 23rd): China Cssc, Dahua

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of June 23rd.
  • We estimate the weekly inflows to be US$43.7 million, led by industrials, information technology, communication services sectors, and offset by materials, financials.
  • We estimate the inflows to be USD 43 mil last week and highlight flows for China Cssc, Dahua.

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Jun 25
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Jun 23rd): Mediatek and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Jun 23rd): Mediatek, Walsin Lihwa, Acer, YCY, Quanta Computer

TWSE Short Interest Weekly (Jun 23rd): Mediatek, Walsin Lihwa, Acer, YCY, Quanta Computer

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jun 23rd which has an aggregated short interest worth USD15.2bn.
  • 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 Mediatek, Walsin Lihwa, Acer, Ycy, Quanta Computer, China Airlines.

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