Category

Quantitative Analysis

Apr 29
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Apr 28th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Apr 28th): Aia, Swire Pacific, Ck Asset

Hong Kong Buybacks Weekly (Apr 28th): Aia, Swire Pacific, 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 Apr 28th 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), Swire Pacific (19 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), Swire Pacific (19 HK).

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Apr 24
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Apr 21st): Postal Savings Bank and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Apr 21st): Postal Savings Bank, China Rail, CRRC, China Coal, GWM
  • Hong Kong Connect Flows (Apr 21st): China Mobile, Anta, SMIC, Tencent, CCB, Sensetime
  • Northbound Flows (Apr 21st): Cosco Shipping, CATL, Shenzhen Inovance, Shandong Gold, East Money
  • TWSE Short Interest Weekly (Apr 21st): Mediatek, Unimicron Tech, Walsin Lihwa, Alchip Tech, Largan

A-H Premium Weekly (Apr 21st): Postal Savings Bank, China Rail, CRRC, China Coal, 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 110.7% as of Apr 21st.
  • The average A-H premium changed by -1.8ppt week on week, led by communication services, real estate, information technology.
  • We highlight weekly changes in A-H premium for Postal Savings Bank, China Rail, CRRC, China Coal, GWM, Everbright Sec, CSC Financial.

Hong Kong Connect Flows (Apr 21st): China Mobile, Anta, SMIC, Tencent, CCB, Sensetime

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of April 21st.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for China Mobile, Anta Sports Products, Semiconductor Manufacturing International, Meituan, Wuxi Biologics, Petrochina, Tencent, China Construction Bank, Sensetime.

Northbound Flows (Apr 21st): Cosco Shipping, CATL, Shenzhen Inovance, Shandong Gold, 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 April 21st.
  • We estimate the weekly inflows to be US$221.4 million, led by industrials, energy, health care sectors, and offset by information technology, consumer staples.
  • We highlight flows for Cosco Shipping, Contemporary Amperex Technology, Shenzhen Inovance Technology, Shandong Gold Mining, East Money Information, Longi Green Energy Technology, Tongwei, Zhejiang Huayou Cobalt, Ping An Insurance.

TWSE Short Interest Weekly (Apr 21st): Mediatek, Unimicron Tech, Walsin Lihwa, Alchip Tech, Largan

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Apr 21st which has an aggregated short interest worth USD12.3bn.
  • 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 Mediatek, Unimicron Tech, Walsin Lihwa, Alchip Tech, Largan Precision, Quanta Computer, Wiwynn.

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Apr 22
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Apr 21st): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Apr 21st): Aia, Swire Pacific, Shoucheng
  • ASX Short Interest Weekly (Apr 14th): Aurizon, Medibank Private, Coles, Yancoal Australi, Qbe

Hong Kong Buybacks Weekly (Apr 21st): Aia, Swire Pacific, Shoucheng

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Apr 21st 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), Swire Pacific (19 HK), Shoucheng (697 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), Swire Pacific (19 HK).

ASX Short Interest Weekly (Apr 14th): Aurizon, Medibank Private, Coles, Yancoal Australi, Qbe

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Apr 14th (reported today) which has an aggregated short interest worth USD48.6bn.
  • 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 Aurizon, Medibank Private, Coles, Yancoal Australi, Qbe Insurance, Newcrest Mining.

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Apr 21
0

Daily Brief Quantitative Analysis: Portfolio Allocations Vs Risk Contributions and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Portfolio Allocations Vs Risk Contributions

Portfolio Allocations Vs Risk Contributions

By Nicolas Rabener

  • Still most investors analyze investment products based on their holdings
  • However, holdings often misportray of what is determining the risk profile
  • A factor exposure analysis can identify the performance & risk contributors

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Apr 17
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Apr 14th): Remegen and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Apr 14th): Remegen, CREC, Yankuang Energy, CRRC, GWM, CICC
  • Northbound Flows (Apr 14th): Kweichow Moutai, Ping An Insurance, Wuxi Apptec
  • ASX Short Interest Weekly (Apr 7th): Qube Holdings, Woodside Energy, Aurizon
  • Hong Kong Connect Flows (Apr 14th): Sensetime, SMIC, Cnooc, China Mobile, Tencent, Meituan, Kuaishou

A-H Premium Weekly (Apr 14th): Remegen, CREC, Yankuang Energy, CRRC, GWM, CICC

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 112.5% as of Apr 14th.
  • The average A-H premium changed by -4.9ppt week on week, led by consumer discretionary, health care, financials.
  • We highlight weekly changes in A-H premium for Remegen, CREC, Yankuang Energy, CRRC, GWM, CICC.

Northbound Flows (Apr 14th): Kweichow Moutai, Ping An Insurance, Wuxi Apptec

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of April 14th.
  • We estimate the weekly inflows to be US$770.1 million, led by materials, industrials, utilities sectors, and offset by financials, consumer staples.
  • We highlight flows for Kweichow Moutai, Ping An Insurance, Wuxi Apptec.

ASX Short Interest Weekly (Apr 7th): Qube Holdings, Woodside Energy, Aurizon

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Apr 7th (reported today) which has an aggregated short interest worth USD46.5bn.
  • 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 Qube Holdings, Woodside Energy, Aurizon, Gold Road Resour, Brambles.

Hong Kong Connect Flows (Apr 14th): Sensetime, SMIC, Cnooc, China Mobile, Tencent, Meituan, Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of April 14th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Sensetime, Semiconductor Manufacturing International, Cnooc, China Mobile, Tencent, Meituan, Kuaishou Technology.

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Apr 16
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Apr 14th): Yageo and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Apr 14th): Yageo, Taiwan Cement, Mediatek, Wiwynn

TWSE Short Interest Weekly (Apr 14th): Yageo, Taiwan Cement, Mediatek, Wiwynn

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Apr 14th which has an aggregated short interest worth USD12.5bn.
  • 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 Yageo, Taiwan Cement, Mediatek, Wiwynn, Realtek Semi, Compal Elec, Cathay Financial, Chailease.

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Apr 15
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Apr 14th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Apr 14th): Tencent, Aia, Zhongsheng

Hong Kong Buybacks Weekly (Apr 14th): Tencent, Aia, Zhongsheng

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Apr 14th 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), Zhongsheng (881 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), Cspc Pharmaceutical (1093 HK).

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Apr 14
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Jd and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Jd, Petrochina, Kingsoft, Link Reit, Bidu

HK Short Interest Weekly: Jd, Petrochina, Kingsoft, Link Reit, Bidu

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 31st.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Jd, Petrochina, Kingsoft, Link Reit, Bidu.

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Apr 12
0

Daily Brief Quantitative Analysis: The Alpha Games: Technology Funds and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • The Alpha Games: Technology Funds

The Alpha Games: Technology Funds

By Nicolas Rabener

  • US tech funds underperformed their benchmark indices by 4% between 2018 and 2022
  • Searching for alpha is a zero-sum game as for every investor that outperforms the stock market
  • This resulted in a median alpha of -4% over the 5-year period

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Apr 10
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Apr 7th): China Vanke and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Apr 7th): China Vanke, China Rail Group, Huatai Securities, Yankuang Energy
  • Northbound Flows (Apr 6th): East Money, Muyuan Foods, CTG, Ping An Insurance, Hundsun, CMB, Foxconn

A-H Premium Weekly (Apr 7th): China Vanke, China Rail Group, Huatai Securities, Yankuang Energy

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 117.4% as of Apr 7th.
  • The average A-H premium changed by 3.5ppt week on week, led by communication services, health care, real estate and offset by utilities.
  • We highlight weekly changes in A-H premium for China Vanke, China Rail Group, Huatai Securities, Yankuang Energy, CRRC, CICC, GWM.

Northbound Flows (Apr 6th): East Money, Muyuan Foods, CTG, Ping An Insurance, Hundsun, CMB, Foxconn

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of April 6th.
  • We estimate the weekly outflows to be US$412.5 million, led by information technology, materials, and offset by financials, consumer staples, industrials.
  • We highlight flows for East Money Information, Muyuan Foods, China Tourism Group Duty Free, Ping An Insurance, Hundsun Technologies, China Merchants Bank, Foxconn Industrial Internet.

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