Category

Quantitative Analysis

Jun 24
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jun 23rd): Tencent’s HKD1.6bn Buybacks and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jun 23rd): Tencent’s HKD1.6bn Buybacks

Hong Kong Buybacks Weekly (Jun 23rd): Tencent’s HKD1.6bn Buybacks

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jun 23rd 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), CK Asset (1113 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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Jun 23
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jun 16th): Pilbara Minerals and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jun 16th): Pilbara Minerals, Cochlear, Worley, Computershare, Suncorp

ASX Short Interest Weekly (Jun 16th): Pilbara Minerals, Cochlear, Worley, Computershare, Suncorp

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jun 16th (reported today) which has an aggregated short interest worth USD16.6bn.
  • 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 Agl Energy, BHP, IDP Education, Pilbara Minerals, Cochlear, Worley, Computershare, Suncorp.

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Jun 21
0

Daily Brief Quantitative Analysis: Global Emerging Markets: Reporting Season Summary and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Global Emerging Markets: Reporting Season Summary, 1Q2023
  • Preferential Times for Preferred Income Strategies?

Global Emerging Markets: Reporting Season Summary, 1Q2023

By Wium Malan, CFA

  • The 200 largest weighted companies in the GEM index reported average EPS growth of +6.3%y/y for 1Q23-to-date, slightly down from the +7.5% reported for 4Q22.
  • Only 51% of companies delivered positive sales surprises, whilst 60% delivered positive EPS surprises, an increase from the trend seen over the past year.
  • Historically, there has been a significant difference in relative share price performance between the largest positive versus negative surprise generators, for 3 months after the reporting date.

Preferential Times for Preferred Income Strategies?

By Nicolas Rabener

  • Preferred income funds are renowned for their ability to provide investors with exceptionally high yields.
  • However, the higher the yield, the lower the total return
  • The extent of diversification benefits offered by these funds was relatively restricted in nature.

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Jun 19
0

Daily Brief Quantitative Analysis: Northbound Flows (Jun 16th): CATL and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows (Jun 16th): CATL, Wuliangye, Moutai, Foxconn Industrial Internet, Midea, Gree
  • A-H Premium Weekly (Jun 9th): BYD, CCB
  • Hong Kong Connect Flows (Jun 16th): CCB
  • HK Short Interest Weekly: Longfor, Yuexiu Property, Pop Mart
  • ASX Short Interest Weekly (Jun 9th): IDP Education, Rio Tinto, Igo, Sayona Mining, BHP, Suncorp
  • TWSE Short Interest Weekly (Jun 16th): Inventec, Quanta Computer, Walsin Lihwa, Asia Vital

Northbound Flows (Jun 16th): CATL, Wuliangye, Moutai, Foxconn Industrial Internet, Midea, Gree

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of June 16th.
  • We estimate the weekly inflows to be US$2,312.7 million, led by industrials, information technology, consumer discretionary sectors, and offset by financials, materials.
  • We highlight flows for CATL, Wuliangye, Moutai, Foxconn Industrial Internet, Midea, BYD, Sany Heavy, Luxshare Precision, Wuxi Apptec, Gree Electric Appliances, Longi Green, Ping An Insurance, Dahua.

A-H Premium Weekly (Jun 9th): BYD, CCB

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 113.9% as of Jun 9th.
  • The average A-H premium changed by -1.9ppt week on week, led by consumer discretionary, materials, industrials and offset by consumer staples, information technology, communication services.
  • We highlight weekly changes in A-H premium for BYD Co Ltd and China Construction Bank.

Hong Kong Connect Flows (Jun 16th): CCB

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of June 16th.
  • 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 1.5bn and highlight flows for CCB.

HK Short Interest Weekly: Longfor, Yuexiu Property, Pop Mart

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jun 9th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Longfor, Yuexiu Property, Pop Mart.

ASX Short Interest Weekly (Jun 9th): IDP Education, Rio Tinto, Igo, Sayona Mining, BHP, Suncorp

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jun 9th (reported today) which has an aggregated short interest worth USD16.2bn.
  • 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 IDP Education, Rio Tinto, Igo, Sayona Mining, BHP, Suncorp.

TWSE Short Interest Weekly (Jun 16th): Inventec, Quanta Computer, Walsin Lihwa, Asia Vital

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jun 16th which has an aggregated short interest worth USD15.6bn.
  • 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 Inventec, Quanta Computer, Walsin Lihwa, Asia Vital, Sanyang Motor, Winbond Elec, Synnex Tech Intl.

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Jun 18
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jun 16th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jun 16th): Tencent, Aia, Ck Asset

Hong Kong Buybacks Weekly (Jun 16th): Tencent, Aia, Ck Asset

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jun 16th 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), CK Asset (1113 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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Jun 17
0

Daily Brief Quantitative Analysis: China A-Shares: Stock Positioning Chart Pack and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • China A-Shares: Stock Positioning Chart Pack
  • Diversification Versus Hedging II

China A-Shares: Stock Positioning Chart Pack

By Steven Holden

Diversification Versus Hedging II

By Nicolas Rabener

  • In most cases Ideally diversifying funds are uncorrelated and generate positive returns
  • However, identifying such funds is way more challenging than expected
  • Creating a diversified portfolio requires thoughtful fund and asset class selection

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Jun 12
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Jun 9th): CCB and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Jun 9th): CCB, China Longyuan, BYD
  • Hong Kong Connect Flows (Jun 9th): Tencent, China Mobile, CCB
  • Northbound Flows (Jun 9th): Midea, China Pacific Insurance, Advanced Micro, Huatai Securities, Dahua
  • TWSE Short Interest Weekly (Jun 9th): Alchip Tech, Mediatek, Gigabyte Tech, Walsin Lihwa, Yageo

A-H Premium Weekly (Jun 9th): CCB, China Longyuan, 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 113.9% as of Jun 9th.
  • The average A-H premium changed by -1.9ppt week on week, led by consumer discretionary, materials, industrials and offset by consumer staples, information technology, communication services.
  • We highlight weekly changes in A-H premium for CCB, China Longyuan and BYD.

Hong Kong Connect Flows (Jun 9th): Tencent, China Mobile, CCB

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of June 9th.
  • 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 345 million and highlight flows for Tencent, China Mobile, CCB.

Northbound Flows (Jun 9th): Midea, China Pacific Insurance, Advanced Micro, Huatai Securities, 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 9th.
  • We estimate the weekly inflows to be US$265.3 million, led by financials, consumer discretionary, industrials sectors, and offset by information technology, materials.
  • We highlight flows for Midea, China Pacific Insurance, Advanced Micro, Huatai Securities, Zhejiang Dahua Technology, Anhui Conch Cement, East Money Information, Asr Microelectronics, Wuliangye.

TWSE Short Interest Weekly (Jun 9th): Alchip Tech, Mediatek, Gigabyte Tech, Walsin Lihwa, Yageo

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jun 9th which has an aggregated short interest worth USD14.8bn.
  • 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 Alchip Tech, Mediatek, Gigabyte Tech, Walsin Lihwa, Yageo, Unimicron Tech, Eva Airways, Nanya Tech.

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Jun 11
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jun 2nd): Woodside Energy and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jun 2nd): Woodside Energy, IDP Education, Northern Star, Sonic Healthcare
  • HK Short Interest Weekly: Baba, BYD, Jd, Kuaishou, Jd Logistics, CCB, Ntes
  • Hong Kong Buybacks Weekly (Jun 9th): Tencent, Aia, Gcl Technology

ASX Short Interest Weekly (Jun 2nd): Woodside Energy, IDP Education, Northern Star, Sonic Healthcare

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jun 2nd (reported today) which has an aggregated short interest worth USD16.2bn.
  • 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 Woodside Energy, IDP Education, Northern Star Re, Sonic Healthcare, Commonw Bk Austr, Macquarie, BHP, Nextdc.

HK Short Interest Weekly: Baba, BYD, Jd, Kuaishou, Jd Logistics, CCB, Ntes

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jun 2nd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Baba, Byd Company, Jd, Kuaishou, Jd Logistics, Ccb, Ntes.

Hong Kong Buybacks Weekly (Jun 9th): Tencent, Aia, Gcl 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 Jun 9th 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), Gcl Technology (3800 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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Jun 10
0

Daily Brief Quantitative Analysis: Diversification Versus Hedging and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Diversification Versus Hedging

Diversification Versus Hedging

By Nicolas Rabener

  • Same, same, but different? Hedging and diversifying strategies have different objectives
  • Downside betas have the potential to distinguish between these factors.
  • Alternative strategies have overtaken bonds as the most diversifying strategies

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Jun 05
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: CK Asset and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: CK Asset, Baba
  • A-H Premium Weekly (Jun 2nd): Conch Cement, China Vanke, China Southern, CSC Financial, COSCO Ship
  • Northbound Flows (Jun 2nd): Moutai, Wuliangye, China Tourism, Ping An Insurance, Sany Heavy
  • Northbound Flows Monthly (May): $1.7bn Outflows
  • TWSE Short Interest Weekly (Jun 2nd): Wistron, Mediatek, Gigabyte Tech, Lite-On Tech, Yageo
  • Hong Kong Connect Flows Monthly: $2.7 Bn of Inflows in May
  • Hong Kong Connect Flows (Jun 2nd): Meituan, China Construction Bank, Cnooc

HK Short Interest Weekly: CK Asset, Baba

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of May 25th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We estimate the total short interest to decrease by 4.2% WoW and highlight short changes in CK Asset, Alibaba.

A-H Premium Weekly (Jun 2nd): Conch Cement, China Vanke, China Southern, CSC Financial, COSCO Ship

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 116.5% as of Jun 2nd.
  • The average A-H premium changed by 3.0ppt week on week, led by communication services, financials, industrials and offset by consumer discretionary.
  • We highlight weekly changes in A-H premium for Conch Cement, China Vanke, China Southern, CSC Financial, COSCO Ship, China Longyuan.

Northbound Flows (Jun 2nd): Moutai, Wuliangye, China Tourism, Ping An Insurance, Sany Heavy

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of June 2nd.
  • We estimate the weekly inflows to be US$899.7 million, led by information technology, materials, health care sectors, and offset by financials, consumer staples.
  • We highlight flows for Nantong Fujitsu Microelectronics, Xinjiang Daqo New Energy, Zhejiang Dahua Technology, Moutai, Wuliangye, China Tourism, Ping An Insurance, Sany Heavy Industry, Foxconn Industrial Internet, Haitian Flavouring.

Northbound Flows Monthly (May): $1.7bn Outflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • We tabulate the top stocks by inflows, outlfows, and holding by foreign investors.
  • We highlight inflows  for CATL, Kunlun Tech, BJ-SH HSR, CCB, Mindray, Longi, Wuliangye, Gree, Moutai, Midea.

TWSE Short Interest Weekly (Jun 2nd): Wistron, Mediatek, Gigabyte Tech, Lite-On Tech, Yageo

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jun 2nd which has an aggregated short interest worth USD14.5bn.
  • 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, Mediatek, Gigabyte Tech, Lite-On Tech, Yageo, Global Unichip, Chunghwa Telecom, Eva Airways, Nanya Tech.

Hong Kong Connect Flows Monthly: $2.7 Bn of Inflows in May

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 Tencent, CNPC, CNOOC, Meituan, CCB, HKEX, BYD, ABC, CR Beer.

Hong Kong Connect Flows (Jun 2nd): Meituan, China Construction Bank, Cnooc

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of June 2nd.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Meituan, China Construction Bank, and Cnooc.

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