Category

Quantitative Analysis

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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Feb 17
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Feb 10th): Newcrest and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Feb 10th): Newcrest, Rio Tinto, Suncorp, Insurance Australia,

ASX Short Interest Weekly (Feb 10th): Newcrest, Rio Tinto, Suncorp, Insurance Australia,

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Feb 10th (reported today) which has an aggregated short interest worth USD15.6bn.
  • 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 Newcrest Mining, Rio Tinto, Suncorp, Insurance Australia, Woodside Energy, Wesfarmer.

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Feb 15
0

Daily Brief Quantitative Analysis: What’s My International Exposure? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • What’s My International Exposure?

What’s My International Exposure?

By Nicolas Rabener

  • The S&P 500 has meaningful exposure to the international markets.
  • And measuring geographical exposure can be done top-down or bottom-up
  • Comparing top-down vs bottom-up approaches. However, both approaches have flaws

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Feb 13
0

Daily Brief Quantitative Analysis: Northbound Flows (Feb 10th): Ping An Insurance and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows (Feb 10th): Ping An Insurance, CATL, Moutai, Luzhou Lao Jiao, Hundsun
  • HK Short Interest Weekly: Short Covers for Tencent, Baba, Anta, Wuxi Biologics
  • Hong Kong Connect Flows (Feb 10th): Meituan, HKEx, ICBC, CCB, Kuaishou, Tencent, Li Ning
  • A-H Premium Weekly (Feb 10th): Premium Compressed for Utilities
  • TWSE Short Interest Weekly (Feb 10th): Evergreen Marine, Unimicron Tech, Novatek

Northbound Flows (Feb 10th): Ping An Insurance, CATL, Moutai, Luzhou Lao Jiao, Hundsun

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of February 10th.
  • We estimate the weekly inflows to be US$456.0 million, led by financials, information technology, utilities sectors, and offset by materials, consumer discretionary.
  • We highlight flows for Ping An Insurance, Contemporary Amperex Technology, Kweichow Moutai, Luzhou Lao Jiao, Hundsun Technologies, Byd, Midea, Tongwei, Trina Solar

HK Short Interest Weekly: Short Covers for Tencent, Baba, Anta, Wuxi Biologics

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Feb 3rd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Bidu, Manulife, Mengniu Dairy, CDF, Tencent, Baba, Anta Sports, Wuxi Bio.

Hong Kong Connect Flows (Feb 10th): Meituan, HKEx, ICBC, CCB, Kuaishou, Tencent, Li Ning

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of February 10th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Meituan, Hong Kong Exchanges And Clearing, Industrial And Commercial Bank Of China, China Construction Bank, Kuaishou Technology, Tencent, Li Ning.

A-H Premium Weekly (Feb 10th): Premium Compressed for Utilities

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 Feb 10th.
  • The average A-H premium changed by 3.6ppt week on week, led by health care, consumer discretionary, information technology and offset by real estate.
  • We highlight weekly changes in A-H premium for Great Wall Motor, Huadian, Huaneng, Datang Intl.

TWSE Short Interest Weekly (Feb 10th): Evergreen Marine, Unimicron Tech, Novatek

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Feb 10th 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 Evergreen Marine, Unimicron Tech, Novatek.

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Feb 11
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Feb 10th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Feb 10th): Aia, Esr, Sunshine Paper

Hong Kong Buybacks Weekly (Feb 10th): Aia, 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 10th 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), 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), Esr (1821 HK).

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Feb 10
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Feb 3rd): Coles and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Feb 3rd): Coles, Bhp, Northern Star, Macquarie, Xero

ASX Short Interest Weekly (Feb 3rd): Coles, Bhp, Northern Star, Macquarie, Xero

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Feb 3rd (reported today) which has an aggregated short interest worth USD16.3bn.
  • 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 Coles, Bhp, Northern Star, Macquarie, Xero.

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Feb 09
0

Daily Brief Quantitative Analysis: Growth ETFs: Performance & Factor Exposures and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Growth ETFs: Performance & Factor Exposures

Growth ETFs: Performance & Factor Exposures

By Nicolas Rabener

  • Growth ETFs are not very differentiated, despite growth having various interpretations
  • 34 out of 40 growth ETFs underperformed the stock market over the last 3 years
  • And neither performance nor factor exposures are desirable. Also, long-term performance attractive not attractive.

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Feb 06
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Li Ning and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Li Ning, Ccb, Beigene, Hworld, Hutchmed
  • A-H Premium Weekly (Feb 3rd): Great Wall Motor, CICC, Shanghai Haohai, Chalieco, Cosco Ship
  • Hong Kong Connect Flows (Feb 3rd): Meituan, Sensetime, Tencent, CCB, HKEx
  • Northbound Flows (Feb 3rd): CATL, CMB, Longi Green, Ping An Insurance, Byd, Kweichow Moutai
  • TWSE Short Interest Weekly (Feb 3rd): Cathay Financial, Novatek, Evergreen Marine, Mediatek

HK Short Interest Weekly: Li Ning, Ccb, Beigene, Hworld, Hutchmed

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jan 27th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Li Ning, Ccb, Beigene, Hworld, Hutchmed.

A-H Premium Weekly (Feb 3rd): Great Wall Motor, CICC, Shanghai Haohai, Chalieco, Cosco Ship

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 109.4% as of Feb 3rd.
  • The average A-H premium changed by 6.3ppt week on week, led by consumer staples, real estate, materials.
  • We highlight weekly changes in A-H premium for Great Wall Motor, CICC, Shanghai Haohai, Chalieco, Cosco Ship.

Hong Kong Connect Flows (Feb 3rd): Meituan, Sensetime, Tencent, CCB, HKEx

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of February 3rd.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Meituan, Sensetime, Tencent, China Construction Bank, Hong Kong Exchanges And Clearing.

Northbound Flows (Feb 3rd): CATL, CMB, Longi Green, Ping An Insurance, Byd, Kweichow Moutai

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of February 3rd.
  • We estimate the weekly inflows to be US$5,078.8 million, led by industrials, financials, information technology sectors, and offset by utilities, real estate.
  • We highlight flows for CATL, CMB, Longi Green, Ping An Insurance, Byd, Kweichow Moutai.

TWSE Short Interest Weekly (Feb 3rd): Cathay Financial, Novatek, Evergreen Marine, Mediatek

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Feb 3rd 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 Cathay Financial, Novatek, Evergreen Marine, Mediatek, China Devt.

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Feb 04
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Feb 3rd): AIA and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Feb 3rd): AIA, ESR, Sunshine Paper

Hong Kong Buybacks Weekly (Feb 3rd): AIA, 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 3rd 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), 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), Esr (1821 HK).

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Feb 03
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: CMB, Baba, Wuxi Apptec
  • ASX Short Interest Weekly (Jan 27th): Anz, Metcash, Seek, Perpetual
  • Screening for GEMs: February 2023
  • Hong Kong Connect Flows Monthly: Health Care Led Inflows in Jan
  • Northbound Flows Monthly: $21bn Inflows in January

HK Short Interest Weekly: CMB, Baba, Wuxi Apptec

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jan 20th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Cm Bank, Baba, Wuxi Apptec.

ASX Short Interest Weekly (Jan 27th): Anz, Metcash, Seek, Perpetual

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jan 27th (reported today) which has an aggregated short interest worth USD16.9bn.
  • 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 Anz Group Holding, Westpac Banking, Metcash, Seek, Idp Education, Perpetual, Pilbara Minerals, Qbe Insurance, Nickel Industries.

Screening for GEMs: February 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.

Hong Kong Connect Flows Monthly: Health Care Led Inflows in Jan

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 flows of China Mobile, BYD, Simcere, ICBC, CNOOC, Meituan, Geely, CCB, Country Garden Services, Anta. 

Northbound Flows Monthly: $21bn Inflows in January

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine. 
  • Financial, information technology and industrials led the inflow in Jan.
  • We highlight inflows into CATL, Moutai, Ping An Insurance, Longi Green, Wuliangye.

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