Category

Quantitative Analysis

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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Dec 24
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Dec 16th): Woodside and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Dec 16th): Woodside, Pilbara, Macquarie, Inghams, Nufarm, ANZ, CBA
  • Hong Kong Buybacks Weekly (Dec 23rd): Tencent, AIA, GWM

ASX Short Interest Weekly (Dec 16th): Woodside, Pilbara, Macquarie, Inghams, Nufarm, ANZ, CBA

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Dec 16th (reported today) which has an aggregated short interest worth USD15.7bn.
  • 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 Woodside, Pilbara, Macquarie, Inghams, Nufarm, ANZ, CBA.

Hong Kong Buybacks Weekly (Dec 23rd): Tencent, AIA, GWM

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 23rd 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), Great Wall Motor (2333 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 19
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Dec 16th): Wiwynn Corp and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Dec 16th): Wiwynn Corp
  • A-H Premium Weekly (Dec 16th): Weichai Power, Fuyao Glass, Tianqi Lithium
  • Northbound Flows (Dec 16th): CMB, Shanghai Intl Airport, Tongwei
  • Hong Kong Connect Flows (Dec 16th): Meituan, Tencent, China Mobile

TWSE Short Interest Weekly (Dec 16th): Wiwynn Corp

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Dec 16th which has an aggregated short interest worth USD14.0bn.
  • 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.
  • Overall short interests decreased by 1.5% WOW. We highlight short interest changes in Wiwynn Corp.

A-H Premium Weekly (Dec 16th): Weichai Power, Fuyao Glass, Tianqi Lithium

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 113.5% as of Dec 16th.
  • The average A-H premium changed by -1.9ppt weeok on week, led by health care, consumer discretionary, energy and offset by consumer staples, real estate.
  • We highlight weekly changes in A-H premium for Weichai Power, Fuyao Glass, Tianqi Lithium, Cansino Biologics, Air China, Cosco Ship Holding.

Northbound Flows (Dec 16th): CMB, Shanghai Intl Airport, Tongwei

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 16th.
  • We estimate the weekly inflows to be US$101.5 million, led by financials, consumer staples, communication services sectors, and offset by industrials, materials.
  • We highlight flows for China Merchants Bank, Shanghai Intl Airport, Tongwei.

Hong Kong Connect Flows (Dec 16th): Meituan, Tencent, China Mobile

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 16th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight inflows into Meituan, Tencent, and outflows from China Mobile.

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Dec 18
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Tencent, Ping An H&T, Xiaomi, Jiumaojiu, Wuxi Biologics, XPeng

HK Short Interest Weekly: Tencent, Ping An H&T, Xiaomi, Jiumaojiu, Wuxi Biologics, XPeng

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Dec 9th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Tencent, Ping An H&T, Xiaomi, Jiumaojiu, Wuxi Biologics, XPeng.

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Dec 17
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Dec 16th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Dec 16th): Tencent, AIA, Great Wall Motor

Hong Kong Buybacks Weekly (Dec 16th): Tencent, AIA, Great Wall Motor

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 16th 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), Great Wall Motor (2333 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 16
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Dec 9th): QBE Insurance and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Dec 9th): QBE Insurance, Bluescope Steel, Woodside Energy, BHP, CSL

ASX Short Interest Weekly (Dec 9th): QBE Insurance, Bluescope Steel, Woodside Energy, BHP, CSL

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Dec 9th (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 QBE Insurance, Bluescope Steel, Woodside Energy, BHP, CSL.

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Dec 14
0

Daily Brief Quantitative Analysis: Is There a January Effect in Hang Seng Index? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Is There a January Effect in Hang Seng Index?

Is There a January Effect in Hang Seng Index?

By Osbert Tang, CFA

  • We observed an interesting January effect for HSI in recent years. The Index posted the best monthly return in a year in four out of six Januarys since 2017.
  • At an average return of 3.9%, January is also the second best month for HSI. If not the super-strong Nov in 2022, January will rank as the best.
  • Conducive factors for a good January in 2023 include encouraging message from Central Economic Work Conference, moderation in US rate hike, rebound in Rmb and more relaxations in COVID measures.

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Dec 12
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Dec 9th):  Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Dec 9th):  Tencent, AIA, PetroChina
  • HK Short Interest Weekly: Kuaishou, GCL, Haidilao
  • ASX Short Interest Weekly (Dec 2nd): IGO, Pilbara Mineral, Seek, Carsales.com, Allkem
  • Northbound Flows (Dec 9th): Midea, Wuliangye, Shenzhen Mindray, CATL, BYD
  • Hong Kong Connect Flows (Dec 9th): HKEx, Ping An H&T, Tencent, Xiaomi, Li Ning, Meituan
  • A-H Premium Weekly (Dec 9th): Weichai Power, Shanghai Fudan, Guolian, Joinn Lab, GWC, Tsingtao
  • TWSE Short Interest Weekly (Dec 9th): Yageo, Walsin Lihwa, Evergreen Marine

Hong Kong Buybacks Weekly (Dec 9th):  Tencent, AIA, PetroChina

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 9th 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 Petroleum & Chemical (386 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), China Petroleum & Chemical (386 HK).

HK Short Interest Weekly: Kuaishou, GCL, Haidilao

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Dec 2nd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Kuaishou, GCL, Haidilao, Wharf, Haichang Ocean Park, Xiaomi, China Gas, Netease.

ASX Short Interest Weekly (Dec 2nd): IGO, Pilbara Mineral, Seek, Carsales.com, Allkem

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Dec 2nd (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 IGO, Pilbara Mineral, Seek, Carsales.com, Allkem, Woodside Energy, Domino’s Pizza, Westfarmers, Evolution Mining.

Northbound Flows (Dec 9th): Midea, Wuliangye, Shenzhen Mindray, CATL, BYD

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 9th.
  • We estimate the weekly inflows to be US$1,068.5 million, led by consumer staples, consumer discretionary, health care sectors, and offset by information technology, industrials.
  • We highlight flows for  Midea, Wuliangye, Shenzhen Mindray, CATL, BYD, Yunnan Energy New Material, BJ-SH High Speed Rail, Goertek, Goodwe, Nari.

Hong Kong Connect Flows (Dec 9th): HKEx, Ping An H&T, Tencent, Xiaomi, Li Ning, Meituan

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 9th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight inflows into HKEx, Ping An H&T, and outflows from Tencent, Xiaomi, Li Ning, Meituan, Country Garden Service.

A-H Premium Weekly (Dec 9th): Weichai Power, Shanghai Fudan, Guolian, Joinn Lab, GWC, Tsingtao

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 115.3% as of Dec 9th.
  • The average A-H premium changed by -2.6ppt weeok on week, led by health care, real estate, materials and offset by consumer discretionary, information technology.
  • We highlight weekly changes in A-H premium for Weichai Power, Shanghai Fudan, Guolian Securities, Joinn Lab, Great Wall Motor, Tsingtao Brewery.

TWSE Short Interest Weekly (Dec 9th): Yageo, Walsin Lihwa, Evergreen Marine

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Dec 9th which has an aggregated short interest worth USD14.2bn.
  • 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 Yageo, Walsin Lihwa, Evergreen Marine.

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Dec 08
0

Daily Brief Quantitative Analysis: Are Alternative ETFs Good Diversifiers? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Are Alternative ETFs Good Diversifiers?

Are Alternative ETFs Good Diversifiers?

By Nicolas Rabener

  • Alternative products with uncorrelated returns do not necessarily provide diversification benefits
  • Out of 10 alternative ETFs, only one product improved the Sharpe ratio of a 60/40 portfolio
  • And correlations should be regarded carefully in the fund selection process

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Dec 05
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Dec 2nd): Meituan and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Dec 2nd): Meituan, Country Garden, China Mobile, Longfor, Tencent
  • A-H Premium Weekly (Dec 2nd): China Longyuan, Ganfeng Lithium
  • HK Short Interest Weekly: Ganfeng Lithium, Netease, Tencent, Li Ning
  • Northbound Flows (Dec 2nd): Wuliangye, CATL, Mindray, Longi Green

Hong Kong Connect Flows (Dec 2nd): Meituan, Country Garden, China Mobile, Longfor, Tencent

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 2nd.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight inflows into Meituan, Country Garden, China Mobile and outflows from Longfor, Tencent.

A-H Premium Weekly (Dec 2nd): China Longyuan, Ganfeng Lithium

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 118.8% as of Dec 2nd.
  • The average A-H premium changed by 0.6ppt week on week, led by consumer staples, real estate, information technology and offset by consumer discretionary, materials.
  • We highlight weekly changes in A-H premium for China Longyuan, Ganfeng Lithium, China Minsheng, Guolian Securities, Shanghai Fudan, Red Star Macalline, Joinn Lab, Cosco Shipping Energy, Great Wall Mortor.

HK Short Interest Weekly: Ganfeng Lithium, Netease, Tencent, Li Ning

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Nov 25th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Ganfeng Lithium, Netease, Tencent, Li Ning.

Northbound Flows (Dec 2nd): Wuliangye, CATL, Mindray, Longi Green

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 2nd.
  • We estimate the weekly inflows to be US$3,984.1 million, led by information technology, consumer discretionary, industrials sectors, and offset by utilities, energy.
  • We highlight flows for Wuliangye, CATL, Shenzhen Mindray, Longi Green.

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