Category

Quantitative Analysis

Feb 01
0

Daily Brief Quantitative Analysis: Equity & Bond Correlations – Higher than Assumed? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Equity & Bond Correlations – Higher than Assumed?

Equity & Bond Correlations – Higher than Assumed?

By Nicolas Rabener

  • Using monthly versus daily returns when calculating correlations can change the perspective
  • Foreign stock markets and US bond markets were highly correlated to US stocks using monthly returns
  • Diversification benefits may have been significantly overstated using daily returns

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Jan 28
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jan 27th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jan 27th): Aia, Esr, China Yongda

Hong Kong Buybacks Weekly (Jan 27th): Aia, Esr, China Yongda

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jan 27th 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), China Yongda Automobiles Services (3669 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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Jan 27
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jan 20th): Pilbara and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jan 20th): Pilbara, Seek, Coles, Northern Star, Mineral Resource

ASX Short Interest Weekly (Jan 20th): Pilbara, Seek, Coles, Northern Star, Mineral Resource

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jan 20th (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 Pilbara Minerals, Seek, Coles, Northern Star Re, Mineral Resource.

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Jan 26
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Jan 20th): Haier Smart Home and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Jan 20th): Haier Smart Home, Weichai Power, Fuyao Glass, China Shenhua
  • Hong Kong Connect Flows (Jan 20th): China Mobile, Tencent, Meituan, CCB, HKEX
  • Northbound Flows (Jan 20th): $7.1bn Inflows Before CNY

A-H Premium Weekly (Jan 20th): Haier Smart Home, Weichai Power, Fuyao Glass, China Shenhua

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 106.3% as of Jan 20th.
  • The average A-H premium changed by -2.6ppt week on week, led by financials, consumer staples, energy and offset by health care.
  • We highlight weekly changes in A-H premium for Haier Smart Home, Weichai Power, Fuyao Glass, China Shenhua, CSSC Offshore, Huaxin Cement, China Oilfield, CICC, China Life.

Hong Kong Connect Flows (Jan 20th): China Mobile, Tencent, Meituan, CCB, HKEX

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of January 20th.
  • 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, Meituan, China Construction Bank, Hong Kong Exchanges And Clearing.

Northbound Flows (Jan 20th): $7.1bn Inflows Before CNY

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of January 20th.
  • We estimate the weekly inflows to be US$7,139.5 million, led by information technology, industrials, materials sectors, and offset by real estate.
  • We highlight flows for Kweichow Moutai, CATL, Wuliangye, Ping An Insurance, BOE.

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Jan 25
0

Daily Brief Quantitative Analysis: What Are Growth Stocks? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • What Are Growth Stocks?
  • HK Short Interest Weekly: Ping An, Li Ning, Icbc, Jiumaojiu

What Are Growth Stocks?

By Nicolas Rabener

  • Growth stocks can be defined via valuations, fundamentals, or performance
  • These stocks have generated essentially zero excess returns since 2005
  • Neither has the inverse basket (low valuations, low growth, low momentum

HK Short Interest Weekly: Ping An, Li Ning, Icbc, Jiumaojiu

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jan 13th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Ping An, Li Ning, Icbc, Jiumaojiu.

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Jan 23
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Jan 20th): Alexander Marine and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Jan 20th): Alexander Marine

TWSE Short Interest Weekly (Jan 20th): Alexander Marine

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jan 20th 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.
  • Short interest decreased by 0.4% last week. We highlight short interest changes in Alexander Marine.

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Jan 20
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jan 13th): Anz and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jan 13th): Anz, Woodside, Northern Star, BHP
  • Hong Kong Buybacks Weekly (Jan 20th): Tencent, Aia, China Agri-Industries

ASX Short Interest Weekly (Jan 13th): Anz, Woodside, Northern Star, BHP

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jan 13th (reported today) which has an aggregated short interest worth USD17.4bn.
  • 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 Anz, Woodside Energy, Northern Star, Bhp, Pexa, Lynas Rare Earth, Champion Iron, Macquarie, Qbe Insurance.

Hong Kong Buybacks Weekly (Jan 20th): Tencent, Aia, China Agri-Industries

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jan 20th 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), China Agri-Industries (606 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), Great Wall Motor (2333 HK).

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Jan 18
0

Daily Brief Quantitative Analysis: Beta in Beta-Neutral Factors? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Beta in Beta-Neutral Factors?

Beta in Beta-Neutral Factors?

By Nicolas Rabener

  • Beta-Neutral value, momentum, and low volatility factors are currently highly correlated to the S&P 500
  • The illusion of uncorrelated returns is temporary rather than structural.
  • Likely explained by the downturn in tech stocks that benefits these factors

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Jan 16
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Jan 13th): Fuyao Glass and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Jan 13th): Fuyao Glass, Shenhua, Minsheng, Yankuang Energy, China Longyuan
  • HK Short Interest Weekly: Tencent, Baba, CMB, Bidu, Meituan, HSBC, Differ, Li Auto
  • Hong Kong Connect Flows (Jan 13th): Tencent Profit Taking
  • TWSE Short Interest Weekly (Jan 13th): Delta Elec, Cathay Financial, Gigabyte Tech
  • Northbound Flows (Jan 13th): 1Y High Weekly Inflows

A-H Premium Weekly (Jan 13th): Fuyao Glass, Shenhua, Minsheng, Yankuang Energy, China Longyuan

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 142 stocks over the last week. The average A-H premium was 109.1% as of Jan 13th.
  • The average A-H premium changed by -0.1ppt week on week, led by real estate, information technology, communication services and offset by utilities, financials, health care.
  • We highlight weekly changes in A-H premium for Fuyao Glass, Shenhua, Minsheng, Yankuang Energy, China Longyuan, Flat Glass.

HK Short Interest Weekly: Tencent, Baba, CMB, Bidu, Meituan, HSBC, Differ, Li Auto

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jan 6th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Tencent, Baba, Cm Bank, Bidu, Meituan, HSBC, Differ Gp Auto, Li Auto-W.

Hong Kong Connect Flows (Jan 13th): Tencent Profit Taking

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of January 13th.
  • 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, Simcere Pharmaceutical, Tencent, Geely Automobile.

TWSE Short Interest Weekly (Jan 13th): Delta Elec, Cathay Financial, Gigabyte Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jan 13th 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 Delta Elec, Cathay Financial, Gigabyte Tech.

Northbound Flows (Jan 13th): 1Y High Weekly Inflows

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of January 13th.
  • We estimate the weekly inflows to be US$6,510.6 million, led by financials, consumer staples, information technology sectors, and offset by energy, real estate.
  • We highlight flows for CATL, Ping An Insurance, Moutai, Wuliangye, Longi Green Energy Technology, Jiangsu Hengrui Medicine.

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Jan 13
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jan 6th): ANZ and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jan 6th): ANZ, Bhp, Yancoal Australi, Brambles
  • Hong Kong Buybacks Weekly (Jan 13th): Aia, Tencent, ESR

ASX Short Interest Weekly (Jan 6th): ANZ, Bhp, Yancoal Australi, Brambles

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jan 6th (reported today) which has an aggregated short interest worth USD16.0bn.
  • 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 Anz, Bhp, Yancoal Australia, Brambles.

Hong Kong Buybacks Weekly (Jan 13th): Aia, Tencent, 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 Jan 13th 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), Tencent (700 HK), Esr (1821 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), Great Wall Motor (2333 HK).

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