Category

Quantitative Analysis

Apr 09
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Apr 7th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Apr 7th): Tencent, Aia, CSPC
  • TWSE Short Interest Weekly (Apr 7th): Makalot, Getac, Via Tech

Hong Kong Buybacks Weekly (Apr 7th): Tencent, Aia, CSPC

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 7th 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), Cspc Pharmaceutical (1093 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).

TWSE Short Interest Weekly (Apr 7th): Makalot, Getac, Via Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Apr 7th which has an aggregated short interest worth USD12.1bn.
  • 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 Makalot, Getac Holdings, Via Tech.

đź’ˇ Before it’s here, it’s on Smartkarma

Sign Up for Free

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

  • âś“ Unlimited Research Summaries
  • âś“ Personalised Alerts
  • âś“ Custom Watchlists
  • âś“ Company Data and News
  • âś“ Events & Webinars
Sign Up for Free
Apr 07
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Mar 31st): Woodside Energy and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Mar 31st): Woodside Energy, Brambles, Liontown Resourc, Rio Tinto

ASX Short Interest Weekly (Mar 31st): Woodside Energy, Brambles, Liontown Resourc, Rio Tinto

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 31st (reported today) which has an aggregated short interest worth USD45.3bn.
  • 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 Woodside Energy, Brambles, Liontown Resourc, Rio Tinto, Downer Edi.

đź’ˇ Before it’s here, it’s on Smartkarma

Sign Up for Free

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

  • âś“ Unlimited Research Summaries
  • âś“ Personalised Alerts
  • âś“ Custom Watchlists
  • âś“ Company Data and News
  • âś“ Events & Webinars
Sign Up for Free
Apr 06
0

Daily Brief Quantitative Analysis: Factor Olympics 2023 Q1 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Factor Olympics 2023 Q1

Factor Olympics 2023 Q1

By Nicolas Rabener

  • After a great 2022 for factor investing, this year has started negatively for all traditional factors
  • Perhaps this can be attributed to a revival of the growth theme as growth ETFs have outperformed again
  • Size performed best, low volatility worst. We present the performance of five well-known factors on an annual basis for the last 10 years.

đź’ˇ Before it’s here, it’s on Smartkarma

Sign Up for Free

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

  • âś“ Unlimited Research Summaries
  • âś“ Personalised Alerts
  • âś“ Custom Watchlists
  • âś“ Company Data and News
  • âś“ Events & Webinars
Sign Up for Free
Apr 04
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows Monthly: 1Y High Inflows in March and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows Monthly: 1Y High Inflows in March
  • Screening for GEMs: April 2023
  • Northbound Flows Monthly (Mar): BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao

Hong Kong Connect Flows Monthly: 1Y High Inflows in March

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 highlight inflows into Tencent, Meituan, China Mobile, ICBC, Bilibili, and outflows from CCB, Geely, Sunny Optical.

Screening for GEMs: April 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 nearly 3 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.

Northbound Flows Monthly (Mar): BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Industrials (inflows of $3,132 million), Information Technology (inflows of $2,247 million), Health Care (inflows of $1,021 million) led the inflows.
  • We highlight flows for BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao, CMB, Longi Green, Foxconn, Ping An, Hithink.

đź’ˇ Before it’s here, it’s on Smartkarma

Sign Up for Free

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

  • âś“ Unlimited Research Summaries
  • âś“ Personalised Alerts
  • âś“ Custom Watchlists
  • âś“ Company Data and News
  • âś“ Events & Webinars
Sign Up for Free
Apr 03
0

Daily Brief Quantitative Analysis: Short Interest Movements (Q1 2023): HK and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia
  • A-H Premium Weekly (Mar 31st): Yankuang Energy, CRRC, China Telecom, CCCC
  • HK Short Interest Weekly: Bidu, Baba, Byd Company
  • Hong Kong Connect Flows (Mar 31st): Tencent, Meituan, Bilibili, Lenovo, Kingsoft, CCB
  • Northbound Flows (Mar 31st): Moutai, CATL, Byd, Sinopec, Foxconn, Haier Smart Home

Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia

By Brian Freitas

  • Total short interest in Hong Kong is HK$435.1bn, marginally higher from end-December. Short notional has moved in line with the Hong Kong Hang Seng Index (HSI INDEX). 
  • Total short notional of the KOSPI and KOSDAQ market has moved up since end-December and is in line with the move higher in the KOSPI2 INDEX and KOSDAQ 150 Index.
  • Short notional in Taiwan is lower over the quarter even as the TWSE INDEX has moved higher over the period. There has been big short covering on some stocks.

A-H Premium Weekly (Mar 31st): Yankuang Energy, CRRC, China Telecom, CCCC

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 Mar 31st.
  • The average A-H premium changed by -0.5ppt week on week, led by communication services, energy, utilities and offset by consumer staples, health care.
  • We highlight weekly changes in A-H premium for Yankuang Energy, CRRC, China Telecom, CCCC.

HK Short Interest Weekly: Bidu, Baba, Byd Company

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 24th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We estimate the total short interest to  increase by 1.4% week on week and highlight short changes in Bidu, Baba, Byd Company.

Hong Kong Connect Flows (Mar 31st): Tencent, Meituan, Bilibili, Lenovo, Kingsoft, CCB

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 31st.
  • 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, Meituan, Bilibili, Lenovo, Kingsoft, China Construction Bank.

Northbound Flows (Mar 31st): Moutai, CATL, Byd, Sinopec, Foxconn, Haier Smart Home

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 31st.
  • We estimate the weekly inflows to be US$1,598.1 million, led by consumer staples, industrials, communication services sectors, and offset by financials, materials.
  • We highlight flows for Kweichow Moutai, Contemporary Amperex Technology, Byd, China Petroleum And Chemical, Foxconn Industrial Internet, Haier Smart Home, Beijing Kingsoft Office Software.Inc, East Money Information, Gree Electric Appliances.

đź’ˇ Before it’s here, it’s on Smartkarma

Sign Up for Free

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

  • âś“ Unlimited Research Summaries
  • âś“ Personalised Alerts
  • âś“ Custom Watchlists
  • âś“ Company Data and News
  • âś“ Events & Webinars
Sign Up for Free
Apr 02
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Mar 31st): Walsin Lihwa and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Mar 31st): Walsin Lihwa, Evergreen Marine, Yang Ming Marine, Powerchip

TWSE Short Interest Weekly (Mar 31st): Walsin Lihwa, Evergreen Marine, Yang Ming Marine, Powerchip

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 31st which has an aggregated short interest worth USD12.0bn.
  • 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 Walsin Lihwa, Evergreen Marine, Yang Ming Marine, Powerchip Semico, Alchip Tech, Nan Ya Printed, Unimicron Tech.

đź’ˇ Before it’s here, it’s on Smartkarma

Sign Up for Free

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

  • âś“ Unlimited Research Summaries
  • âś“ Personalised Alerts
  • âś“ Custom Watchlists
  • âś“ Company Data and News
  • âś“ Events & Webinars
Sign Up for Free
Apr 01
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 31st): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 31st): Tencent, AIA, CSPC

Hong Kong Buybacks Weekly (Mar 31st): Tencent, AIA, CSPC

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Mar 31st 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), Cspc Pharmaceutical (1093 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).

đź’ˇ Before it’s here, it’s on Smartkarma

Sign Up for Free

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

  • âś“ Unlimited Research Summaries
  • âś“ Personalised Alerts
  • âś“ Custom Watchlists
  • âś“ Company Data and News
  • âś“ Events & Webinars
Sign Up for Free
Mar 31
0

Daily Brief Quantitative Analysis: Kelun-Biotech (科伦博泰) Pre-IPO: Candidates Are Differentiated and Promising and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Kelun-Biotech (科伦博泰) Pre-IPO: Candidates Are Differentiated and Promising
  • ASX Short Interest Weekly (Mar 24th): Pilbara Minerals, Aurizon, Arafura Rare Ear, New Hope
  • Global Emerging Markets: Reporting Season Summary, 4Q2022

Kelun-Biotech (科伦博泰) Pre-IPO: Candidates Are Differentiated and Promising

By Ke Yan, CFA, FRM

  • Kelun-Biotech, a China-based integrated innovative biopharmaceutical company, plans to raise up to US$ 300m via a Hong Kong listing.
  • In this note, we examine the company’s two core products, namely SKB264, a TROP2-ADC, and A166, a HER2-ADC. We also look at the company’s management and pre-IPO investors.
  • We think the company is worth investors attention with promising candidates. Its pre-IPO investor line-up is decent.

ASX Short Interest Weekly (Mar 24th): Pilbara Minerals, Aurizon, Arafura Rare Ear, New Hope

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Mar 24th (reported today) which has an aggregated short interest worth USD44.0bn.
  • 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 Pilbara Minerals, Aurizon, Arafura Rare Ear, New Hope, Medibank Private, De Grey Mining.

Global Emerging Markets: Reporting Season Summary, 4Q2022

By Wium Malan, CFA

  • The 200 largest weighted companies in the GEM index reported average EPS growth of +14.2%y/y for 4Q22-to-date, slightly down from the +15.7% reported for 3Q22.
  • Only 54% of companies delivered positive sales surprises, and only 49% delivered positive EPS surprises, significantly down from the trend seen over the past 2 years.
  • Historically, there has been a significant difference in relative share price performance between the largest positive versus negative surprise generators, for 3 months after the reporting date.

đź’ˇ Before it’s here, it’s on Smartkarma

Sign Up for Free

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

  • âś“ Unlimited Research Summaries
  • âś“ Personalised Alerts
  • âś“ Custom Watchlists
  • âś“ Company Data and News
  • âś“ Events & Webinars
Sign Up for Free
Mar 29
0

Daily Brief Quantitative Analysis: Investing & Unintended Consequences and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Investing & Unintended Consequences

Investing & Unintended Consequences

By Nicolas Rabener

  • Simple equity ETFs often have exposures to other asset classes
  • Gold stocks are bond proxies & growth stocks are short commodities
  • So, the investors may have unintended bets in their portfolios

đź’ˇ Before it’s here, it’s on Smartkarma

Sign Up for Free

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

  • âś“ Unlimited Research Summaries
  • âś“ Personalised Alerts
  • âś“ Custom Watchlists
  • âś“ Company Data and News
  • âś“ Events & Webinars
Sign Up for Free
Mar 27
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Meituan, Gcl Tech, Link Reit, Sensetime, Trip.Com, Hsbc, Baba, Wuxi Apptec
  • A-H Premium Weekly (Mar 24th): Dongfang Electric, CEEC, Great Wall Motor
  • Hong Kong Connect Flows (Mar 24th): Meituan, Tencent, Bilibili
  • Northbound Flows (Mar 24th): Boe, CATL, Moutai, Shenzhen Inovance, Luxshare

HK Short Interest Weekly: Meituan, Gcl Tech, Link Reit, Sensetime, Trip.Com, Hsbc, Baba, Wuxi Apptec

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Mar 17th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Meituan, Gcl Tech, Link Reit, Sensetime, Trip.Com, Hsbc, Baba, Wuxi Apptec.

A-H Premium Weekly (Mar 24th): Dongfang Electric, CEEC, Great Wall Motor

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 114.1% as of Mar 24th.
  • The average A-H premium changed by 0.6ppt week on week, led by information technology, industrials, utilities and offset by communication services, consumer discretionary, energy.
  • We highlight weekly changes in A-H premium for Dongfang Electric, CEEC, Great Wall Motor.

Hong Kong Connect Flows (Mar 24th): Meituan, Tencent, Bilibili

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 24th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We estimate that the total inflows were USD3.3bn last week and highlight flows for Meituan, Tencent, Bilibili.

Northbound Flows (Mar 24th): Boe, CATL, Moutai, Shenzhen Inovance, Luxshare

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 24th.
  • We estimate the weekly inflows to be US$1,685.1 million, led by industrials, information technology, health care sectors, and offset by energy, financials.
  • We highlight flows for Boe Technology, Contemporary Amperex Technology, Kweichow Moutai, Shenzhen Inovance Technology, Luxshare Precision Industry, Hithink Royalflush Information Network, China Shenhua Energy, Foxconn Industrial Internet, Ping An Insurance.

đź’ˇ Before it’s here, it’s on Smartkarma

Sign Up for Free

The Smartkarma Preview Pass is your entry to the Independent Investment Research Network

  • âś“ Unlimited Research Summaries
  • âś“ Personalised Alerts
  • âś“ Custom Watchlists
  • âś“ Company Data and News
  • âś“ Events & Webinars
Sign Up for Free