Category

Quantitative Analysis

May 14
0

Daily Brief Quantitative Analysis: Finding Funds with Diversification Potential and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Finding Funds with Diversification Potential
  • TWSE Short Interest Weekly (May 12th): Wistron, Novatek, Nan Ya Printed

Finding Funds with Diversification Potential

By Nicolas Rabener

  • Downside betas do not help to identify diversifying strategies. These need to be combined with upside betas
  • Betas to the S&P 500 were more useful than betas to the VIX
  • We contrasted the downside and upside betas of eight hedge fund types that are marketed as diversifying strategies. 

TWSE Short Interest Weekly (May 12th): Wistron, Novatek, Nan Ya Printed

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of May 12th which has an aggregated short interest worth USD13.4bn.
  • 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 Wistron, Novatek, Nan Ya Printed.

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May 13
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (May 12th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (May 12th): Aia, China Mengniu Dairy, Haier Smart Home

Hong Kong Buybacks Weekly (May 12th): Aia, China Mengniu Dairy, Haier Smart Home

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 12th 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), Mengniu Dairy (2319 HK), Haier Smart Home (6690 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), Swire Pacific (19 HK).

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May 12
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (May 5th): NAB and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (May 5th): NAB, Pilbara Minerals, Igo, Santos, Qantas

ASX Short Interest Weekly (May 5th): NAB, Pilbara Minerals, Igo, Santos, Qantas

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of May 5th (reported today) which has an aggregated short interest worth USD17.2bn.
  • 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 Natl Aust Bank, Pilbara Minerals, Igo, Santos, Qantas Airways, Mineral Resource.

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May 09
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Genscript Bio and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Genscript Bio, CMB, Alibaba

HK Short Interest Weekly: Genscript Bio, CMB, Alibaba

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Apr 28th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Genscript Bio, China Merchants Bank, Baba.

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May 08
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (May 5th): CCB and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (May 5th): CCB, BOC, Sinopec, China Shenhua, CMOC, CRRC, China Southern Airlines
  • Northbound Flows (May 5th): Kweichow Moutai, Foxconn Industrial Internet, Gree Electric Appliances

A-H Premium Weekly (May 5th): CCB, BOC, Sinopec, China Shenhua, CMOC, CRRC, China Southern Airlines

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 111.2% as of May 5th.
  • The average A-H premium changed by -0.3ppt week on week, led by consumer staples, communication services, health care and offset by real estate, energy, information technology.
  • We highlight weekly changes in A-H premium for CCB, BOC, Sinopec, China Shenhua, CMOC, CRRC, China Southern Airlines, CSC Financials.

Northbound Flows (May 5th): Kweichow Moutai, Foxconn Industrial Internet, Gree Electric Appliances

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of May 5th.
  • We estimate the weekly outflows to be US$75.1 million, led by information technology, materials, and offset by financials, consumer staples, health care.
  • We highlight flows for Kweichow Moutai, Foxconn Industrial Internet, Gree Electric Appliances.

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May 07
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (May 5th): Evergreen Marine and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (May 5th): Evergreen Marine, Mediatek, Wistron, Yang Ming Marine

TWSE Short Interest Weekly (May 5th): Evergreen Marine, Mediatek, Wistron, Yang Ming Marine

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of May 5th which has an aggregated short interest worth USD13.0bn.
  • 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 Evergreen Marine, Mediatek, Wistron, Yang Ming Marine, Unimicron Tech, Largan Precision, Powerchip Semico, Taiwan Mobile.

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May 06
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (May 5th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (May 5th): Aia, China Mengniu Dairy, ESR
  • Upside Versus Downside Stocks

Hong Kong Buybacks Weekly (May 5th): Aia, China Mengniu Dairy, ESR

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 5th 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), China Mengniu Dairy (2319 HK), Esr (1821 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), Swire Pacific (19 HK).

Upside Versus Downside Stocks

By Nicolas Rabener

  • There is more upside in downside and more downside in upside stocks than expected.
  • Stocks can be ranked by their upside and downside betas to the S&P 500
  • Excess returns from upside stocks were negative, zero for downside stocks

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May 05
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Apr 28th): BHP and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Apr 28th): BHP, Pilbara, Newcrest Mining, Macquarie, Rio Tinto, Igo

ASX Short Interest Weekly (Apr 28th): BHP, Pilbara, Newcrest Mining, Macquarie, Rio Tinto, Igo

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Apr 28th (reported today) which has an aggregated short interest worth USD16.5bn.
  • 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 Bhp, Pilbara Minerals, Newcrest Mining, Macquarie, Rio Tinto, Igo, Northern Star Re.

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May 03
0

Daily Brief Quantitative Analysis: HK Connect: Mar ’22 Inclusion Post-Event Analysis and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Connect: Mar ’22 Inclusion Post-Event Analysis
  • Northbound Flows Monthly (April): Inflows into Industrials Offset by Outflows from Financials
  • Hong Kong Connect Flows Monthly: China Mobile, SMIC, PetroChina, Sensetime, CNOOC, CCB, Tencent
  • Screening for GEMs: May 2023

HK Connect: Mar ’22 Inclusion Post-Event Analysis

By Ke Yan, CFA, FRM

  • After one month from the March batch of Hong Kong Connect inclusion, we provide an analysis on the stock inclusion for 24 stocks. 
  • We analysed the inclusion by performance post announcement, performance post inclusion, inflows and analyst coverage.
  • This time we observe outperformance when inclusion took place but not between announcement and inclusion. Southbound trade account for a significant portion of the trading volumes, still.

Northbound Flows Monthly (April): Inflows into Industrials Offset by Outflows from Financials

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Inflows into industrials, energy, and utilities were offset by outflows from financials, and information technology.
  • We highlight flows for COSCO Shipping, Shenzhen Inovance, Zhejiang Jingsheng, Ningbo Tuopu, Wuliangye, Ping An Insurance, Moutai, East Money, CMB, Midea.

Hong Kong Connect Flows Monthly: China Mobile, SMIC, PetroChina, Sensetime, CNOOC, CCB, Tencent

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 analyzed the Hong Kong Connect Scheme for April and highlight flows for China Mobile, SMIC, PetroChina, Sensetime, CNOOC, CCB, Tencent, HKEx.

Screening for GEMs: May 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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May 02
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Apr 28th): Meituan and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Apr 28th): Meituan, China Construction Bank
  • TWSE Short Interest Weekly (Apr 28th): Unimicron Tech, Evergreen, Taiwan Cement, Polaris, Largan
  • A-H Premium Weekly (Apr 28th): Sinopec, China Shenhua, CRRC, Tigermed, GWM
  • Downside Betas Vs Downside Correlations
  • Northbound Flows (Apr 28th): Kweichow Moutai, East Money, CATL, Gree Electric Appliances, CMB

Hong Kong Connect Flows (Apr 28th): Meituan, 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 April 28th.
  • 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 201m and highlight flows for Meituan, China Construction Bank.

TWSE Short Interest Weekly (Apr 28th): Unimicron Tech, Evergreen, Taiwan Cement, Polaris, Largan

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Apr 28th which has an aggregated short interest worth USD12.6bn.
  • 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 Unimicron Tech, Evergreen Marine, Taiwan Cement, Polaris, Largan Precision, Micro-Star Intl, King Yuan Elec, Powertech, Hiwin Tech.

A-H Premium Weekly (Apr 28th): Sinopec, China Shenhua, CRRC, Tigermed, GWM

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 111.3% as of Apr 28th.
  • The average A-H premium changed by 0.8ppt week on week, led by consumer staples, consumer discretionary, health care and offset by information technology, energy, real estate.
  • We highlight weekly changes in A-H premium for Postal Savings, BankComm, CCB, Sinopec, China Shenhua, CRRC, Tigermed, GWM.

Downside Betas Vs Downside Correlations

By Nicolas Rabener

  • Investors typically use correlation to identify diversifying strategies, but the metric can be misleading
  • Upside and downside betas and correlations provide a better perspective
  • Common hedge fund strategies failed to provide attractive diversification benefits

Northbound Flows (Apr 28th): Kweichow Moutai, East Money, CATL, Gree Electric Appliances, CMB

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of April 28th.
  • We estimate the weekly outflows to be US$844.5 million, led by financials, consumer staples, and offset by industrials, information technology.
  • We highlight flows for Kweichow Moutai, East Money Information, Contemporary Amperex Technology, Gree Electric Appliances, China Merchants Bank.

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