Category

Quantitative Analysis

Jun 04
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jun 2nd): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jun 2nd): Tencent, AIA, CK Asset

Hong Kong Buybacks Weekly (Jun 2nd): 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 2nd 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 03
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: June 2023

Screening for GEMs: June 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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Jun 02
0

Daily Brief Quantitative Analysis: Alpha Generation: Equity Generalists Vs Sector Specialists and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Alpha Generation: Equity Generalists Vs Sector Specialists
  • ASX Short Interest Weekly (May 26th): Westpac, Suncorp, Aristocrat, Megaport, BHP, Woodside Energy

Alpha Generation: Equity Generalists Vs Sector Specialists

By Nicolas Rabener

  • Neither equity generalists nor sector specialists have generated alpha on average
  • There is no consistency in alpha generation by either type of fund manager
  • It is seen that the most consistent alpha generators produced no alpha out-of-sample

ASX Short Interest Weekly (May 26th): Westpac, Suncorp, Aristocrat, Megaport, BHP, Woodside Energy

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of May 26th (reported today) which has an aggregated short interest worth USD15.9bn.
  • 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 Westpac, Suncorp, Aristocrat Leisu, Megaport, BHP, Woodside Energy, Idp Education.

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May 29
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (May 25th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (May 25th): Tencent, China Mobile, Li Ning, China Construction Bank
  • Northbound Flows (May 25th): CATL, Luxshare Precision, Longi Green, CMB, Wuliangye, East Money
  • TWSE Short Interest Weekly (May 26th): Wistron, Yageo, Chunghwa Telecom, Wiwynn, Global Unichip

Hong Kong Connect Flows (May 25th): Tencent, China Mobile, Li Ning, China Construction Bank

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of May 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, China Mobile, Li Ning, China Construction Bank.

Northbound Flows (May 25th): CATL, Luxshare Precision, Longi Green, CMB, Wuliangye, East Money

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of May 25th.
  • We estimate the weekly outflows to be US$2,561.1 million, led by materials, financials, and offset by communication services, utilities, energy.
  • We highlight flows for CATL, Luxshare Precision Industry, Longi Green, China Merchants Bank, Wuliangye Yibin, Ping An Insurance, Ping An Bank, East Money Information.

TWSE Short Interest Weekly (May 26th): Wistron, Yageo, Chunghwa Telecom, Wiwynn, Global Unichip

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of May 26th which has an aggregated short interest worth USD14.1bn.
  • 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 Wistron, Yageo, Chunghwa Telecom, Wiwynn, Global Unichip, Genius Elec, Nan Ya Printed, Lotus, Silergy.

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May 28
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (May 26th): Shandong Gold and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (May 26th): Shandong Gold, China Longyuan, BYD, Shenhua, China Minsheng

A-H Premium Weekly (May 26th): Shandong Gold, China Longyuan, BYD, Shenhua, China Minsheng

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 113.6% as of May 26th.
  • The average A-H premium changed by 2.3ppt week on week, led by information technology, utilities, consumer discretionary and offset by financials.
  • We highlight weekly changes in A-H premium for Shandong Gold, China Longyuan, BYD, Shenhua, China Minsheng, CSSC Offshore, Shanghai Fudan, China Life, Flat Glass, CCCC.

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May 26
0

Daily Brief Quantitative Analysis: Trend Following in Equities and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Trend Following in Equities
  • ASX Short Interest Weekly (May 19th): Wesfarmers, Coles, Xero, ANZ, Bhp, Woolworths, Newcrest
  • Hong Kong Buybacks Weekly (May 26th): Tencent, AIA, CK Asset

Trend Following in Equities

By Nicolas Rabener

  • Long-Only trend following in equities was more effective than long-short trend following in the US
  • Same for European and Asian stock markets. Perhaps explained by the negative skewness of stock markets.
  • The trend is my friend, right? May 2023 Reading Time: 10 Minutes. Author: Nicolas Rabener.

ASX Short Interest Weekly (May 19th): Wesfarmers, Coles, Xero, ANZ, Bhp, Woolworths, Newcrest

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of May 19th (reported today) which has an aggregated short interest worth USD16.8bn.
  • 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 Wesfarmers, Coles, Xero, ANZ, Bhp, Woolworths, Newcrest Mining.

Hong Kong Buybacks Weekly (May 26th): 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 May 26th 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 Aia (1299 HK), Tencent (700 HK), Yihai International (1579 HK).

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May 22
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (May 19th): China Zheshang and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (May 19th): China Zheshang, Shandong Gold, China Longyuan, BYD, Shenhua
  • Hong Kong Connect Flows (May 19th): Tencent, China Construction Bank, China Mobile, Li Auto
  • Northbound Flows (May 19th): CATL, Advanced Micro, Kunlun Tech, Tianqi Lithium, Sungrow
  • HK Short Interest Weekly: Longfor, Cosco Ship Holding, CCB

A-H Premium Weekly (May 19th): China Zheshang, Shandong Gold, China Longyuan, BYD, Shenhua

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 111.4% as of May 19th.
  • The average A-H premium changed by -0.0ppt week on week, led by communication services, utilities, financials and offset by health care, information technology, energy.
  • We highlight weekly changes in A-H premium for China Zheshang, Shandong Gold, China Longyuan, BYD, Shenhua, China Life, Citic Bank, CEEC, China Telecom.

Hong Kong Connect Flows (May 19th): Tencent, China Construction Bank, China Mobile, Li Auto

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of May 19th.
  • 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 Construction Bank, China Mobile, Li Auto.

Northbound Flows (May 19th): CATL, Advanced Micro, Kunlun Tech, Tianqi Lithium, Sungrow

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of May 19th.
  • We estimate the weekly outflows to be US$152.9 million, led by financials, consumer staples, and offset by industrials, information technology, health care.
  • We highlight flows for CATL, Advanced Micro, Kunlun Tech, Tianqi Lithium, Sungrow Power Supply, Moutai, Longi Green, Ping An Insurance, Haitian Flavouring.

HK Short Interest Weekly: Longfor, Cosco Ship Holding, CCB

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of May 12th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Longfor, Cosco Ship Holding, CCB.

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May 21
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (May 19th): Wistron and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (May 19th): Wistron, Lotus, Yageo, Mediatek, Tatung, Cathay Financial

TWSE Short Interest Weekly (May 19th): Wistron, Lotus, Yageo, Mediatek, Tatung, Cathay Financial

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of May 19th 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 Wistron, Lotus, Yageo, Mediatek, Tatung, Cathay Financial, Giant Manufacture.

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May 20
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (May 19th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (May 19th): Aia, Man Wah, Yihai International

Hong Kong Buybacks Weekly (May 19th): Aia, Man Wah, Yihai International

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on May 19th 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), Man Wah (1999 HK), Yihai International (1579 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), Esr (1821 HK), China Mengniu Dairy (2319 HK).

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May 19
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (May 12th): ANZ and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (May 12th): ANZ, Worley, Lynas, Macquarie, BHP, NAB, Medibank, South32
  • Emerging Market Funds: Same, Same, but Different?

ASX Short Interest Weekly (May 12th): ANZ, Worley, Lynas, Macquarie, BHP, NAB, Medibank, South32

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of May 12th (reported today) which has an aggregated short interest worth USD17.0bn.
  • 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 Anz Group Holdin, Worley, Lynas Rare Earth, Macquarie, Bhp, Natl Aust Bank, Medibank Private, South32, Woolworths.

Emerging Market Funds: Same, Same, but Different?

By Nicolas Rabener

  • Emerging markets offer divergent factor exposures across and within regions
  • And Smart beta ETFs do not necessarily offer high-factor exposures. 
  • It is all about fund selection. This research article was originally published at ETF Stream.

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