Category

Quantitative Analysis

Jan 09
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Jan 6th): Weichai Power and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Jan 6th): Weichai Power, Tigermed, Pharmaron, Minsheng, Junshi, YOFC
  • Hong Kong Connect Flows (Jan 6th): Tencent, China Mobile, Wuxi Biologics, Kuaishou
  • Northbound Flows (Jan 6th): Ping An Insurance, CATL, Wuliangye, Moutai, East Money
  • TWSE Short Interest Weekly (Jan 6th): Cathay Financial, Walsin Lihwa, China Devt

A-H Premium Weekly (Jan 6th): Weichai Power, Tigermed, Pharmaron, Minsheng, Junshi, YOFC

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 109.2% as of Jan 6th.
  • The average A-H premium changed by -2.6ppt week on week, led by utilities, real estate, financials and offset by health care, consumer discretionary.
  • We highlight weekly changes in A-H premium for Weichai Power, Tigermed, Pharmaron, Minsheng, Junshi, YOFC, Huaneng Power, China Longyuan.

Hong Kong Connect Flows (Jan 6th): Tencent, China Mobile, Wuxi Biologics, Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of January 6th.
  • 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, China Mobile, Wuxi Biologics, Kuaishou Technology.

Northbound Flows (Jan 6th): Ping An Insurance, CATL, Wuliangye, Moutai, 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 January 6th.
  • We estimate the weekly inflows to be US$2,907.9 million, led by financials, materials, information technology sectors.
  • We highlight flows for Ping An Insurance, Contemporary Amperex Technology Co.,, Wuliangye Yibin, Kweichow Moutai, East Money Information, Shenzhen Mindray Bio-Medical Electronics, Wuxi Lead Intelligent Equipment

TWSE Short Interest Weekly (Jan 6th): Cathay Financial, Walsin Lihwa, China Devt

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jan 6th which has an aggregated short interest worth USD12.2bn.
  • 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, Walsin Lihwa, China Devt.

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Jan 07
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jan 6th): AIA and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jan 6th): AIA, Tencent, AAC Technologies
  • ASX Short Interest Weekly (Dec 30th):CAB, Fortescue Metals, Westpac, NAB, CSL

Hong Kong Buybacks Weekly (Jan 6th): AIA, Tencent, AAC Technologies

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 6th 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), Aac Technologies (2018 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).

ASX Short Interest Weekly (Dec 30th):CAB, Fortescue Metals, Westpac, NAB, CSL

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Dec 30th (reported today) which has an aggregated short interest worth USD15.4bn.
  • 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 CAB, Fortescue Metals, Westpac, NAB, CSL, Yancoal, Washington H.Soul, Blackmores, De Grey Mining.

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Jan 05
0

Daily Brief Quantitative Analysis: Factor Olympics 2022 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Factor Olympics 2022
  • Hong Kong Connect Flows Monthly: 12 Months of Inflows
  • Northbound Flows Monthly: $4.6bn of Inflows
  • HK Short Interest Weekly: Li Ning, Country Garden, HKEX, JD.com, Longfor

Factor Olympics 2022

By Nicolas Rabener

  • 2022 is the best year for factor investing over the last decade
  • The value generated the best and size the worst return in 2022
  • Despite the strong returns, investors remain cautious on factor investing 

Hong Kong Connect Flows Monthly: 12 Months of Inflows

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 Meituan, HKEX, China Unicom, Shenzhou Intl, Sensetime, and outflows from Xiaomi, HSBC, Anta Sports, China Pacific.

Northbound Flows Monthly: $4.6bn of Inflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Consumer Staples, Financials, Health Care led the inflows while Industrials , Information Technology led the outflows.
  • We highlight inflows into Wuliangye, Moutai, Ping An Insurance, China Tourism, Shenzhen Mindray,  and outflows from Yunnan Energy New Material, BJ-SH HSR, Nari Technology, Goertek.

HK Short Interest Weekly: Li Ning, Country Garden, HKEX, JD.com, Longfor

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Dec 23rd. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Li Ning, Country Garden, HKEX, JD.com, Longfor. 

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Jan 04
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: January 2023

Screening for GEMs: January 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 over 2.5 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.

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Jan 03
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Dec 30th): Xinjiang Goldwind and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Dec 30th): Xinjiang Goldwind, Weichai Power, Baiyunshan
  • Hong Kong Connect Flows (Dec 30th): Tencent, Meituan
  • TWSE Short Interest Weekly (Dec 30th): Biggest Short Covers in a Year
  • Northbound Flows (Dec 30th): Ping An, Wuliangye, CATL

A-H Premium Weekly (Dec 30th): Xinjiang Goldwind, Weichai Power, Baiyunshan

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 111.8% as of Dec 30th.
  • The average A-H premium changed by -0.0ppt weeok on week, led by utilities, real estate, consumer discretionary and offset by communication services, consumer staples, energy.
  • We highlight weekly changes in A-H premium for Xinjiang Goldwind, Weichai Power, Baiyunshan, China Telecom, Sinopec Oilfield, Cosco Shipping.

Hong Kong Connect Flows (Dec 30th): Tencent, Meituan

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 30th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight inflows into Tencent (700 HK) and Meituan (3690 HK).

TWSE Short Interest Weekly (Dec 30th): Biggest Short Covers in a Year

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Dec 30th 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 China Steel, Taiwan Cement, Cathay Financial, Yang Ming Marine.

Northbound Flows (Dec 30th): Ping An, Wuliangye, CATL

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 30th.
  • We estimate the weekly inflows to be US$457.7 million, led by financials, consumer staples, utilities sectors, and offset by industrials, materials.
  • We highlight flows for Ping An Insurance, Yibin Wuliangye, CATL. 

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Dec 31
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Dec 30th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Dec 30th): Tencent, AIA, Productive Technologies

Hong Kong Buybacks Weekly (Dec 30th): Tencent, AIA, Productive Technologies

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Dec 30th 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), Productive Technologies (650 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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Dec 30
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Dec 23rd): Short Covering for Banks and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Dec 23rd): Short Covering for Banks

ASX Short Interest Weekly (Dec 23rd): Short Covering for Banks

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Dec 23rd (reported today) which has an aggregated short interest worth USD14.1bn.
  • 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 CBA, Pilbara Minerals, Fortescue Metals, ANZ, NAB.

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Dec 29
0

Daily Brief Quantitative Analysis: “Buy the Worst” HSI Strategy: Big Win in 2022 and Let’s See if It Can Sustain in 2023 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • “Buy the Worst” HSI Strategy: Big Win in 2022 and Let’s See if It Can Sustain in 2023

“Buy the Worst” HSI Strategy: Big Win in 2022 and Let’s See if It Can Sustain in 2023

By Osbert Tang, CFA

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Dec 27
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Dec 23rd): Xinjiang Gold Wind and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Dec 23rd): Xinjiang Gold Wind, Haier Smart Home
  • HK Short Interest Weekly: SITC, CMB, Hua Hong Semiconductor, Yum China, Wharf Real Estate
  • Hong Kong Connect Flows (Dec 23rd): Tencent, Kuaishou
  • Northbound Flows (Dec 23rd): Inflows into Liquor Names

A-H Premium Weekly (Dec 23rd): Xinjiang Gold Wind, Haier Smart Home

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 111.8% as of Dec 23rd.
  • The average A-H premium changed by -1.6ppt weeok on week, led by consumer staples, communication services, energy and offset by information technology, real estate.
  • We highlight weekly changes in A-H premium for Xinjiang Gold Wind, Haier Smart Home, Weichai Power, Fuyao Glass, Shenhua, China Minsheng, Shanghai Junshi, Luoyang Glass.

HK Short Interest Weekly: SITC, CMB, Hua Hong Semiconductor, Yum China, Wharf Real Estate

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Dec 16th. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in SITC, CMB, Hua Hong Semiconductor, Yum China, Wharf Real Estate.

Hong Kong Connect Flows (Dec 23rd): Tencent, Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 23rd.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We estimate that the outflow last week was USD 258m. Tencent, Kuaishou led the outflows.

Northbound Flows (Dec 23rd): Inflows into Liquor Names

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 23rd. 
  • We estimate the weekly inflows to be US$680.7 million, led by consumer staples, health care, financials sectors, and offset by information technology, materials.
  • We highlight flows for Wulianye, Moutai, Sichuan Swell, Ping An, Yiling, China Tourism, CATL, Goertek, BYD.

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Dec 26
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Dec 23rd): Taiwan Cement and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Dec 23rd): Taiwan Cement, Yang Ming Marine, Wiwynn, Chna Steel

TWSE Short Interest Weekly (Dec 23rd): Taiwan Cement, Yang Ming Marine, Wiwynn, Chna Steel

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Dec 23rd which has an aggregated short interest worth USD13.2bn.
  • 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 analyzed TWSE short interest report for the past week and highlight short interest changes in Wan Hai, Hon Hai, Realtek, Kinsus, Taiwan Cement, Yang Ming Marine, Wiwynn, Chna Steel.

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