Category

Quantitative Analysis

Oct 02
0

Daily Brief Quantitative Analysis: Screening for GEMs: October 2024 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: October 2024

Screening for GEMs: October 2024

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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Sep 30
0

Daily Brief Quantitative Analysis: KRX Foreign Holding Weekly (Sep 27th): Sk Hynix and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Foreign Holding Weekly (Sep 27th): Sk Hynix, Naver, Hyundai Motor, Samsung Electronics
  • TWSE Foreign Holding Weekly (Sep 27th): TSMC, Evergreen Marine Corp Taiwan
  • TWSE Short Interest Weekly (Sep 27th): Ase Industrial, Mediatek, Alchip Technologies

KRX Foreign Holding Weekly (Sep 27th): Sk Hynix, Naver, Hyundai Motor, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Sep 27th which has an aggregated holding worth USD565.8bn.
  • We estimate that foreign flows to be outflows of USD805mln. 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, Naver, Hyundai Motor, Samsung Electronics.

TWSE Foreign Holding Weekly (Sep 27th): TSMC, Evergreen Marine Corp Taiwan

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Sep 27th which has an aggregated holding worth USD1,017.5bn.
  • We estimate that foreign flows to be inflows of USD3,224mln. 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 TSMC, Evergreen Marine Corp Taiwan, Hon Hai Precision Industry, Wan Hai Lines, Jinan Acetate Chemical, Asmedia Technology, Ase Industrial.

TWSE Short Interest Weekly (Sep 27th): Ase Industrial, Mediatek, Alchip Technologies

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 27th which has an aggregated short interest worth USD21.1bn.
  • 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 Ase Industrial, Mediatek, Alchip Technologies, Quanta Computer, Eva Airways, Realtek Semiconductor.

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Sep 28
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Sep 27th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Sep 27th): Tencent, Meituan, Sinopec

Hong Kong Buybacks Weekly (Sep 27th): Tencent, Meituan, 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 Sep 27th 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), Meituan (3690 HK), Sinopec (386 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Meituan (3690 HK), AIA (1299 HK).

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Sep 27
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Sep 20th): Goodman and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Sep 20th): Goodman, Evolution Mining, Woodside Energy, Macquarie

ASX Short Interest Weekly (Sep 20th): Goodman, Evolution Mining, Woodside Energy, Macquarie

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Sep 20th (reported today) which has an aggregated short interest worth USD26.9bn.
  • 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 Goodman, Evolution Mining, Woodside Energy, Macquarie, Australia And New Zealand Banking, Technology One, Computershare.

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Sep 26
0

Daily Brief Quantitative Analysis: Design a Tactical and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Design a Tactical, Bullish-Tilted ETF Portfolio Expressing Systematic Outlook for Q4 2024 (Part 2)

Design a Tactical, Bullish-Tilted ETF Portfolio Expressing Systematic Outlook for Q4 2024 (Part 2)

By William Mann

  • Systematic quantitative equity strategies have experienced a volatile yet strong year in 2024, led by momentum and reversal factors. See Part1: Systematic Quantitative Equity Strategies Outlook: 9/15/24 – Year-End.
  • Recent market dynamics following the Fed’s 50 bp rate cut on 9/18/24 created a favorable environment for tech growth and AI-related sectors, but concerns about sector overvaluation persist.
  • Given the 9/24/24 announcement of a stimulus package from the People’s Bank of China (PBOC), we need to adjust the portfolio strategy to reflect the improved outlook for Chinese equities.

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Sep 25
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Sep 20th): Samsung Electronics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Sep 20th): Samsung Electronics, KB Financial, Shinhan Group, Posco

KRX Short Interest Weekly (Sep 20th): Samsung Electronics, KB Financial, Shinhan Group, Posco

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Sep 20th 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, KB Financial, Shinhan Group, Posco.

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Sep 23
0

Daily Brief Quantitative Analysis: TWSE Foreign Holding Weekly (Sep 20th): TSMC and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Foreign Holding Weekly (Sep 20th): TSMC, Shin Kong Financial, Evergreen Marine Corp Taiwan
  • KRX Foreign Holding Weekly (Sep 20th): Alteogen, Samsung Electronics, Sk Hynix
  • TWSE Short Interest Weekly (Sep 20th): Ase Industrial, Century Iron And Steel Industrial

TWSE Foreign Holding Weekly (Sep 20th): TSMC, Shin Kong Financial, Evergreen Marine Corp Taiwan

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Sep 20th which has an aggregated holding worth USD971.7bn.
  • We estimate that foreign flows to be inflows of USD1,487mln. 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 TSMC, Shin Kong Financial, Evergreen Marine Corp Taiwan, Mediatek, Hon Hai Precision Industry, Ase Industrial.

KRX Foreign Holding Weekly (Sep 20th): Alteogen, Samsung Electronics, Sk Hynix

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Sep 20th which has an aggregated holding worth USD544.0bn.
  • We estimate that foreign flows to be outflows of USD1,602mln. 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 Alteogen, Samsung Electronics, Sk Hynix.

TWSE Short Interest Weekly (Sep 20th): Ase Industrial, Century Iron And Steel Industrial

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 20th which has an aggregated short interest worth USD20.8bn.
  • 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 Ase Industrial, Century Iron And Steel Industrial, Jentech Precision Industrial, Eva Airways, Shin Kong Financial, King Slide Works.

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Sep 21
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Sep 20th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Sep 20th): Tencent, Meituan, AIA

Hong Kong Buybacks Weekly (Sep 20th): Tencent, Meituan, AIA

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Sep 20th 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), Meituan (3690 HK), AIA (1299 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Meituan (3690 HK), AIA (1299 HK).

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Sep 20
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Sep 13th): Mineral Resources and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Sep 13th): Mineral Resources, Westpac, Gpt, Australian Clinical Labs

ASX Short Interest Weekly (Sep 13th): Mineral Resources, Westpac, Gpt, Australian Clinical Labs

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Sep 13th (reported today) which has an aggregated short interest worth USD25.4bn.
  • 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 Resources, Westpac, Gpt, Australian Clinical Labs, Aristocrat Leisure, James Hardie Industries Plc.

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Sep 19
0

Daily Brief Quantitative Analysis: Systematic Quantitative Equity Strategies Outlook: 9/15/24 – Year-End and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Systematic Quantitative Equity Strategies Outlook: 9/15/24 – Year-End

Systematic Quantitative Equity Strategies Outlook: 9/15/24 – Year-End

By William Mann

  • Strong YTD performance with volatility: Systematic quantitative equity strategies have strong but volatile performance in 2024, with momentum and reversal factors driving returns, particularly in U.S. technology (AI sectors).
  • Key macroeconomic drivers: Interest rate decisions from the Federal Reserve, geopolitical tensions (especially involving China), and the upcoming U.S. Presidential election will be major catalysts influencing equity markets through year-end.
  • Sector-Specific opportunities: AI-driven tech and consumer discretionary stocks benefit from rate cuts, but overvaluation risks persist. Value and quality sectors in Europe and defensive strategies (e.g. reversal) hedge market corrections.

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