Category

Quantitative Analysis

Mar 08
0

Daily Brief Quantitative Analysis: Shorting Lousy Stocks = Lousy Returns? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Shorting Lousy Stocks = Lousy Returns?

Shorting Lousy Stocks = Lousy Returns?

By Nicolas Rabener

  • Shorting stocks with poor features was unattractive throughout most of the last decade
  • Combining features would not have improved performance.It only started working again in 2022
  • Even the worst stocks have their time in the limelight

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Mar 06
0

Daily Brief Quantitative Analysis: Northbound Flows (Mar 1st): Longi Green Energy Technology and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows (Mar 1st): Longi Green Energy Technology
  • A-H Premium Weekly (Mar 3rd): Xinjiang Goldwind, ZTE, China Southern, CRRC, GWM, China Telecom
  • HK Short Interest Weekly: Greatwall Motor, Yum China, Meitu, Techtronic
  • Hong Kong Connect Flows (Mar 1st): Tencent, Great Wall Motor, CCB, HKEx

Northbound Flows (Mar 1st): Longi Green Energy Technology

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of March 1st.
  • We estimate the weekly inflows to be US$560.9 million, led by information technology, financials, communication services sectors, and offset by materials, energy.
  • We estimate that the inflows was USD 561m and highlight flows for Longi Green Energy Technology.

A-H Premium Weekly (Mar 3rd): Xinjiang Goldwind, ZTE, China Southern, CRRC, GWM, China Telecom

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 111.9% as of Mar 3rd.
  • The average A-H premium changed by 0.3ppt week on week, led by communication services, consumer discretionary, financials and offset by real estate, information technology, industrials.
  • We highlight weekly changes in A-H premium for Xinjiang Goldwind, ZTE, China Southern, CRRC, GWM, China Telecom, CCCC, China Oilfield.

HK Short Interest Weekly: Greatwall Motor, Yum China, Meitu, Techtronic

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Feb 24th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Greatwall Motor, Yum China, Meitu, Techtronic.

Hong Kong Connect Flows (Mar 1st): Tencent, Great Wall Motor, CCB, HKEx

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of March 1st.
  • 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, Great Wall Motor, China Construction Bank, Hong Kong Exchanges And Clearing.

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Mar 05
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Mar 3rd): Silergy and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Mar 3rd): Silergy, Via Tech, Evergreen Marine, Wiwynn

TWSE Short Interest Weekly (Mar 3rd): Silergy, Via Tech, Evergreen Marine, Wiwynn

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Mar 3rd which has an aggregated short interest worth USD11.8bn.
  • 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 Silergy, Via Tech, Evergreen Marine, Wiwynn.

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Mar 04
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Mar 3rd): Great Wall Motor and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Mar 3rd): Great Wall Motor, China Mengniu Dairy, Sino Biopharmaceutical
  • ASX Short Interest Weekly (Feb 24th): Pilbara Minerals, Nine Entertainment, ANZ, Reliance

Hong Kong Buybacks Weekly (Mar 3rd): Great Wall Motor, China Mengniu Dairy, Sino Biopharmaceutical

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 3rd based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were GWM (2333 HK), Mengniu Dairy (2319 HK), Sino Biopharmaceutical (1177 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were GWM (2333 HK), Aia (1299 HK), China Mengniu Dairy (2319 HK).

ASX Short Interest Weekly (Feb 24th): Pilbara Minerals, Nine Entertainment, ANZ, Reliance

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Feb 24th (reported today) which has an aggregated short interest worth USD42.5bn.
  • 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 Pilbara Minerals, Nine Entertainment, ANZ, Reliance.

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Mar 03
0

Daily Brief Quantitative Analysis: Screening for GEMs: March 2023 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: March 2023

Screening for GEMs: March 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.

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Feb 27
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Feb 24th): Xinjiang Gold Wind and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Feb 24th): Xinjiang Gold Wind, China Shenhua, CICC, GWM, Shanghai Fudan
  • Hong Kong Connect Flows (Feb 24th): China Mobile, Tencent, Byd, CCB
  • Northbound Flows (Feb 24th): Muyuan Foods, Shaanxi Coal Industry, Byd, Ping An Insurance
  • TWSE Short Interest Weekly (Feb 24th): Novatek, Unimicron, Realtek, Alchip Tech, Evergreen Marine

A-H Premium Weekly (Feb 24th): Xinjiang Gold Wind, China Shenhua, CICC, GWM, Shanghai Fudan

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 111.6% as of Feb 24th.
  • The average A-H premium changed by 2.0ppt week on week, led by utilities, health care, financials and offset by information technology, industrials.
  • We highlight weekly changes in A-H premium for Xinjiang Gold Wind, China Shenhua, CICC, GWM, Shanghai Fudan.

Hong Kong Connect Flows (Feb 24th): China Mobile, Tencent, Byd, CCB

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of February 24th.
  • 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, Tencent, Byd, China Construction Bank.

Northbound Flows (Feb 24th): Muyuan Foods, Shaanxi Coal Industry, Byd, Ping An Insurance

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of February 24th.
  • We estimate the weekly outflows to be US$582.6 million, led by information technology, health care, and offset by industrials, materials, consumer staples.
  • We highlight flows for Muyuan Foods, Shaanxi Coal Industry, Byd, Ping An Insurance.

TWSE Short Interest Weekly (Feb 24th): Novatek, Unimicron, Realtek, Alchip Tech, Evergreen Marine

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Feb 24th which has an aggregated short interest worth USD11.7bn.
  • 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 Novatek, Unimicron Tech, Realtek Semi, Alchip Tech, Evergreen Marine.

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Feb 24
0

Daily Brief Quantitative Analysis: The Hard-Knock Life of Short Sellers and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • The Hard-Knock Life of Short Sellers
  • Hong Kong Buybacks Weekly (Feb 24th): Great Wall Motor, China Mengniu Dairy, Esr
  • ASX Short Interest Weekly (Feb 17th): Suncorp, Corporate Travel, Incitec Pivot, BHP, Endeavour

The Hard-Knock Life of Short Sellers

By Nicolas Rabener

  • Short-Biased hedge funds provided negative S&P 500 beta until 2011
  • Thereafter returns became less negatively correlated but then worsened overall
  • The strategy has generated limited diversification benefits for investors.  Low-quality stocks can outperform markets.

Hong Kong Buybacks Weekly (Feb 24th): Great Wall Motor, 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 Feb 24th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Great Wall Motor (2333 HK), China Mengniu (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), Great Wall Motor (2333 HK), Esr (1821 HK).

ASX Short Interest Weekly (Feb 17th): Suncorp, Corporate Travel, Incitec Pivot, BHP, Endeavour

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Feb 17th (reported today) which has an aggregated short interest worth USD14.9bn.
  • 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 Suncorp, Corporate Travel, Incitec Pivot, Bhp, Endeavour.

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Feb 23
0

Daily Brief Quantitative Analysis: What Is the Historical HSI Moves in Next Two Months and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • What Is the Historical HSI Moves in Next Two Months, and Will It Follow This Year?

What Is the Historical HSI Moves in Next Two Months, and Will It Follow This Year?

By Osbert Tang, CFA

  • Our Insight Is There a January Effect in Hang Seng Index? correctly pointed to a strong Jan 2023. Based on historical pattern, Mar will be weak while Apr is positive.
  • Macro factors including Russia-Ukraine war, Sino-US tension, disappointing US CPI and potentially weak 4Q22 corporate earnings are negative to HSI performance in Mar.
  • In Apr, focus may shift to positive factors which include improved clarity on US rate after FOMC meeting, better guidances for 1Q23 result and favourable policies after NPC/CPPCC.

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Feb 20
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Baidu, Country Garden, Zhongsheng, Alibaba, Li Ning
  • Hong Kong Connect Flows (Feb 17th): Meituan, Xiaomi, Tencent
  • A-H Premium Weekly (Feb 17th): China Shenhua, PetroChina, GWM, First Tractor
  • Northbound Flows (Feb 17th): CATL, Sany Heavy, Hundsun, Ping An Insurance, CMB, Eve Energy
  • TWSE Short Interest Weekly (Feb 17th): Yageo, Yulon Motor, Nuvoton Tech, Airtac

HK Short Interest Weekly: Baidu, Country Garden, Zhongsheng, Alibaba, Li Ning

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Feb 10th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Bidu, Country Garden, Zhongsheng, Baba, Li Ning.

Hong Kong Connect Flows (Feb 17th): Meituan, Xiaomi, Tencent

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of February 17th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We estimate the total inflows to be USD 960m and  highlight flows for Meituan, Xiaomi, Tencent.

A-H Premium Weekly (Feb 17th): China Shenhua, PetroChina, GWM, First Tractor

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 109.6% as of Feb 17th.
  • The average A-H premium changed by -2.3ppt week on week, led by consumer discretionary, health care, energy and offset by communication services, consumer staples, materials.
  • We highlight weekly changes in A-H premium for China Shenhua, PetroChina, GWM, First Tractor.

Northbound Flows (Feb 17th): CATL, Sany Heavy, Hundsun, Ping An Insurance, CMB, Eve Energy

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of February 17th.
  • We estimate the weekly inflows to be US$1,241.6 million, led by industrials, consumer discretionary, information technology sectors, and offset by financials, utilities.
  • We highlight flows for Contemporary Amperex Technology, Sany Heavy Industry, Hundsun Technologies, Ping An Insurance, China Merchants Bank, Eve Energy.

TWSE Short Interest Weekly (Feb 17th): Yageo, Yulon Motor, Nuvoton Tech, Airtac

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Feb 17th which has an aggregated short interest worth USD11.5bn.
  • 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, Yulon Motor, Nuvoton Tech, Airtac.

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Feb 18
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Feb 17th): Great Wall Motor and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Feb 17th): Great Wall Motor, Esr, Sunshine Paper

Hong Kong Buybacks Weekly (Feb 17th): Great Wall Motor, Esr, Sunshine Paper

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Feb 17th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Great Wall Motor (2333 HK), Esr (1821 HK), Sunshine Paper (2002 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), Great Wall Motor (2333 HK).

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