Category

Quantitative Analysis

Nov 24
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Nov 22nd): InnoCare and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Nov 22nd): InnoCare, Shanghai Pharma, First Tractor, Air China

A-H Premium Weekly (Nov 22nd): InnoCare, Shanghai Pharma, First Tractor, Air China

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 150 stocks over the last week. The average A-H premium was 103.7% as of Nov 22nd.
  • The average A-H premium changed by -1.0ppt week-on-week, led by communication services, industrials, financials and offset by consumer staples, health care, utilities.
  • We highlight weekly changes in A-H premium for InnoCare, Shanghai Pharma, First Tractor, Air China.

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Nov 22
0

Daily Brief Quantitative Analysis: EQD | HKEX Weekly Equity Options off to a Strong Start and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • EQD | HKEX Weekly Equity Options off to a Strong Start
  • ASX Short Interest Weekly (Nov 15th): ANZ, James Hardie Industries, Endeavour, Goodman
  • Hong Kong Buybacks Weekly (Nov 22nd): Tencent, AIA, Kuaishou Technology

EQD | HKEX Weekly Equity Options off to a Strong Start

By Nicholas Pezolano

  • HKEX has launched weekly stock options for 10 listed equities on 2024-11-04.
  • We explore recent HKEX volume trends and believe this may be a positive catalyst for HKEX.
  • HKEX may prove to be a catalyst for more equity option product development in the region.

ASX Short Interest Weekly (Nov 15th): ANZ, James Hardie Industries, Endeavour, Goodman

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Nov 15th (reported today) which has an aggregated short interest worth USD24.6bn.
  • 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 ANZ, James Hardie Industries, Endeavour, Goodman.

Hong Kong Buybacks Weekly (Nov 22nd): 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 Nov 22nd 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), Cosco Shipping (1919 HK).

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Nov 20
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Nov 15th): Korzinc and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Nov 15th): Korzinc, Posco, Alteogen, Doosan Enerbility

KRX Short Interest Weekly (Nov 15th): Korzinc, Posco, Alteogen, Doosan Enerbility

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Nov 15th which has an aggregated short interest worth USD4.1bn.
  • 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 Korzinc, Posco, Alteogen, Doosan Enerbility .

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Nov 18
0

Daily Brief Quantitative Analysis: KRX Foreign Holding Weekly (Nov 15th): Naver and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Foreign Holding Weekly (Nov 15th): Naver, Samsung Electronics
  • TWSE Short Interest Weekly (Nov 15th): Wiwynn, Hon Hai Precision Industry, Ase Industrial, Mitac
  • Thailand Short Interest Weekly (Nov 15th): Delta Electronics, Bumrungrad Hospital, CP ALL, SCC
  • TWSE Foreign Holding Weekly (Nov 15th): Eva Airways, Mitac, TSMC, Quanta Computer

KRX Foreign Holding Weekly (Nov 15th): Naver, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Nov 15th which has an aggregated holding worth USD468.9bn.
  • We estimate that foreign flows to be outflows of USD937mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Naver, Samsung Electronics.

TWSE Short Interest Weekly (Nov 15th): Wiwynn, Hon Hai Precision Industry, Ase Industrial, Mitac

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Nov 15th which has an aggregated short interest worth USD21.5bn.
  • 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 Wiwynn, Hon Hai Precision Industry, Ase Industrial, Mitac, Bizlink, Wistron, Alchip Technologies, Lite-On Technology.

Thailand Short Interest Weekly (Nov 15th): Delta Electronics, Bumrungrad Hospital, CP ALL, SCC

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of Stock Exchange of Thailand as of Nov 15th.We estimate that they had an aggregated short interest worth USD2.3bn.
  • 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 Delta Electronics, Bumrungrad Hospital, CP ALL, SCC.

TWSE Foreign Holding Weekly (Nov 15th): Eva Airways, Mitac, TSMC, Quanta Computer

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Nov 15th which has an aggregated holding worth USD999.2bn.
  • We estimate that foreign flows to be outflows of USD2,830mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Eva Airways, Mitac, TSMC, Quanta Computer, Hon Hai Precision Industry, Chailease, UMC.

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Nov 17
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Nov 15th):Chalco and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Nov 15th):Chalco, CICC, HUAHONG GROUP, CanSinoBIO
  • HK Short Interest Weekly: Xpeng, Citic Sec, Anta Sports, HSBC, Mnso
  • Hong Kong Connect Flows (Nov 15th): Alibaba, Xiaomi, SMIC, Tencent, Ping An Insurance, HKEx, CNOOC

A-H Premium Weekly (Nov 15th):Chalco, CICC, HUAHONG GROUP, CanSinoBIO

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 150 stocks over the last week. The average A-H premium was 104.8% as of Nov 15th.
  • The average A-H premium changed by 6.9ppt week-on-week, led by financials, information technology, consumer discretionary and offset by communication services.
  • We highlight weekly changes in A-H premium for Chalco, CICC, HUAHONG GROUP, CanSinoBIO.

HK Short Interest Weekly: Xpeng, Citic Sec, Anta Sports, HSBC, Mnso

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Nov 8th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Xpeng, Citic Sec, Anta Sports, HSBC, Mnso.

Hong Kong Connect Flows (Nov 15th): Alibaba, Xiaomi, SMIC, Tencent, Ping An Insurance, HKEx, CNOOC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of November 15th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Alibaba, Xiaomi, SMIC, Tencent, Ping An Insurance, HKEx, CNOOC.

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Nov 16
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Nov 15th): AIA and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Nov 15th): AIA, Cosco Shipping, Sinopec

Hong Kong Buybacks Weekly (Nov 15th): AIA, Cosco Shipping, Sinopec

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Nov 15th 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), Cosco Shipping (1919 HK), Sinopec (386 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were AIA (1299 HK), Cosco Shipping (1919 HK), Swire Pacific (19 HK).

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Nov 15
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Nov 8th): National Australia Bank and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Nov 8th): National Australia Bank, Sigma Pharmaceuticals, Macquarie

ASX Short Interest Weekly (Nov 8th): National Australia Bank, Sigma Pharmaceuticals, Macquarie

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Nov 8th (reported today) which has an aggregated short interest worth USD25.2bn.
  • 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 National Australia Bank, Sigma Pharmaceuticals, Macquarie, Aristocrat Leisure, Evolution Mining.

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Oct 23
0

Daily Brief Quantitative Analysis: Quantamental LLM Primer 3: Quality-Control 2 AI-designed Portfolios to Devise a Final Portfolio and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Quantamental LLM Primer 3: Quality-Control 2 AI-designed Portfolios to Devise a Final Portfolio
  • KRX Short Interest Weekly (Oct 18th): Samsung Electronics, Sk Hynix, KB Financial, Shinhan Group

Quantamental LLM Primer 3: Quality-Control 2 AI-designed Portfolios to Devise a Final Portfolio

By William Mann

  • This report outlines a Quality-Control step: comparing output recommendations from two AIs: ChatGPT 4.o and o1-preview, to identify and analyze inconsistencies between the AI’s interpretation of the same Inputs/Prompts. 
  • The report from Primer 2 is uploaded to each AI with the same prompts: to compare and analyze the outputs and settle on a portfolio weighted with relative ETF convictions.
  • We analyze and adjust the merged AI-driven portfolio where we disagree with the AI’s conclusions. Our logic is shared with the AI to derive a final conviction-weighted market-neutral portfolio.  

KRX Short Interest Weekly (Oct 18th): Samsung Electronics, Sk Hynix, KB Financial, Shinhan Group

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Oct 18th which has an aggregated short interest worth USD5.0bn.
  • 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 Samsung Electronics, Sk Hynix, KB Financial, Shinhan Group, Hana Financial.

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Oct 21
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Oct 18th): Ase Industrial and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Oct 18th): Ase Industrial, Asia Vital Components, Taishin Financial
  • TWSE Foreign Holding Weekly (Oct 18th): Hon Hai Precision Industry, TSMC, Quanta Computer
  • KRX Foreign Holding Weekly (Oct 18th): Sk Hynix, Samsung Electronics, Korzinc, Kia
  • Northbound Flows (3Q2024): Wait and See Mode

TWSE Short Interest Weekly (Oct 18th): Ase Industrial, Asia Vital Components, Taishin Financial

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Oct 18th which has an aggregated short interest worth USD20.7bn.
  • 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 Ase Industrial, Asia Vital Components, Taishin Financial, Century Iron And Steel Industrial, Quanta Computer, Wistron, Via Technologies, Mediatek.

TWSE Foreign Holding Weekly (Oct 18th): Hon Hai Precision Industry, TSMC, Quanta Computer

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Oct 18th which has an aggregated holding worth USD1,053.9bn.
  • We estimate that foreign flows to be inflows of USD1,488mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Hon Hai Precision Industry, TSMC, Quanta Computer, Delta Electronics, Fubon Financial, United Microelectronics.

KRX Foreign Holding Weekly (Oct 18th): Sk Hynix, Samsung Electronics, Korzinc, Kia

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Oct 18th which has an aggregated holding worth USD524.8bn.
  • We estimate that foreign flows to be outflows of USD1,097mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Sk Hynix, Samsung Electronics, Korzinc, Kia.

Northbound Flows (3Q2024): Wait and See Mode

By Ke Yan, CFA, FRM

  • We analyze the 3Q2024 Shanghai/Shenzhen northbound Connect flows with our data engine as the exchange changed the rule to only disclose north bound position once a quarter.
  • We estimate that the inflows in 3Q were US$7,684 million and holdings were USD340bn.
  • We highlight flows for Midea, Moutai, Ping An Insurance, Catl, Yangtze Power.

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Oct 20
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Oct 18th):TSINGTAO and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Oct 18th):TSINGTAO, Goldwind, HAITONG, Guotai Junan Securities, Haohai, FMSH
  • HK Short Interest Weekly: Smic, Anta Sports, Cspc Pharma, Nci, Meituan, Tencent, Baba
  • Hong Kong Connect Flows (Oct 18th): Alibaba, CCB, SMIC, China Mobile, ICBC, Meituan, HKEx

A-H Premium Weekly (Oct 18th):TSINGTAO, Goldwind, HAITONG, Guotai Junan Securities, Haohai, FMSH

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 149 stocks over the last week. The average A-H premium was 98.3% as of Oct 18th.
  • The average A-H premium changed by 3.8ppt week-on-week, led by consumer discretionary, consumer staples, financials and offset by health care.
  • We highlight weekly changes in A-H premium for TSINGTAO, Goldwind, HAITONG, Guotai Junan Securities, Haohai, FMSH.

HK Short Interest Weekly: Smic, Anta Sports, Cspc Pharma, Nci, Meituan, Tencent, Baba

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Oct 10th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Smic, Anta Sports, Cspc Pharma, Nci, Meituan, Tencent, Baba.

Hong Kong Connect Flows (Oct 18th): Alibaba, CCB, SMIC, China Mobile, ICBC, Meituan, HKEx

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of October 18th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Alibaba, CCB, SMIC, China Mobile, ICBC, Meituan, HKEx, Kuaishou Technology, CICC, Citic Securities.

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