Category

Quantitative Analysis

Nov 19
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Nov 18th): and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Nov 18th):

Hong Kong Buybacks Weekly (Nov 18th):

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Nov 18th 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), PetroChina (386 HK), Swire Pacific (19 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), PetroChina (386 HK), Wuxi Biologics (2269 HK).

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Nov 18
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Nov 11th): Westpac and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Nov 11th): Westpac, Woodside, Norther Star

ASX Short Interest Weekly (Nov 11th): Westpac, Woodside, Norther Star

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Nov 11th (reported today) which has an aggregated short interest worth USD19.6bn.
  • 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 Westpac, Woodside, Norther Star, ANZ, Aristocrat Leisure, New Hope, Rio Tinto.

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Nov 16
0

Daily Brief Quantitative Analysis: Creating a CTA from Scratch and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Creating a CTA from Scratch

Creating a CTA from Scratch

By Nicolas Rabener

  • CTAs have become popular again given their positive returns in 2022
  • However, they are typically difficult to grasp given their ever-changing portfolios
  • Building a CTA from scratch is not complicated and reduces the opaqueness 

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Nov 14
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Nov 4th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Nov 4th): Tencent, Wuxi Biologics, HKEx, Kuaishou
  • A-H Premium Weekly (Nov 11th): BYD, Dongfang Electric, Pharmaron Beijing, CSC Financial
  • Northbound Flows (Nov 11th): Midea, Zijin Mining, Naura Tech
  • HK Short Interest Weekly: Kuaishou, Li Ning, China Shenhua, BYD Electronic
  • TWSE Short Interest Weekly (Nov 11th): Unimicron, Alchip, Lotes, King Yuan Electronics, Wistron, TXC

Hong Kong Connect Flows (Nov 4th): Tencent, Wuxi Biologics, HKEx, Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of November 11th.
  • 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, Wuxi Biologics, HKEx, Kuaishou Technology.

A-H Premium Weekly (Nov 11th): BYD, Dongfang Electric, Pharmaron Beijing, CSC Financial

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 128.4% as of Nov 11th.
  • The average A-H premium changed by -4.7ppt weeok on week, led by financials, materials, information technology and offset by real estate, communication services.
  • We highlight weekly changes in A-H premium for BYD, Dongfang Electric, Pharmaron Beijing, CSC Financial.

Northbound Flows (Nov 11th): Midea, Zijin Mining, Naura Tech

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of November 11th.
  • We estimate the weekly inflows to be US$845.8 million, led by materials, financials, consumer discretionary sectors, and offset by information technology, utilities.
  • We highlight flows for Midea, Zijin Mining, Naura Tech, TCL Zhonghuan, Yangtze Power, Goertek.

HK Short Interest Weekly: Kuaishou, Li Ning, China Shenhua, BYD Electronic

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Nov 4th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Kuaishou, Li Ning, China Shenhua, BYD Electronic.

TWSE Short Interest Weekly (Nov 11th): Unimicron, Alchip, Lotes, King Yuan Electronics, Wistron, TXC

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Nov 11th which has an aggregated short interest worth USD13.6bn.
  • 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 Unimicron, Alchip, Lotes, King Yuan Electronics, Wistron, TXC. 

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Nov 12
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Nov 11th): AIA and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Nov 11th): AIA, PetroChina, Swire Pacific

Hong Kong Buybacks Weekly (Nov 11th): AIA, PetroChina, Swire Pacific

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Nov 11th 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), PetroChina (386 HK), Swire Pacific (19 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), Wuxi Biologics (2269 HK).

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Nov 11
0

Daily Brief Quantitative Analysis: Sector & Factor Performance During Wartime and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Sector & Factor Performance During Wartime
  • ASX Short Interest Weekly (Nov 4th): Telstra, Macquarie, Wesfarmers

Sector & Factor Performance During Wartime

By Nicolas Rabener

  • The S&P 500 increased during two of the three largest wars of the United States
  • Value, size, and momentum factors had positive returns during WW II
  • The top and worst-performing industries during WW II were diverse

ASX Short Interest Weekly (Nov 4th): Telstra, Macquarie, Wesfarmers

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Nov 4th (reported today) which has an aggregated short interest worth USD18.4bn.
  • 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 Telstra, Macquarie, Wesfarmers, BHP, Newcrest Mining, Nextdc, Coles.

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Nov 10
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: CCB, Alibaba, Trip.com, AIA

HK Short Interest Weekly: CCB, Alibaba, Trip.com, AIA

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Oct 28th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in CCB, Alibaba, trip.com, and AIA.

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Nov 07
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Nov 4th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Nov 4th): Tencent, Meituan, Wuxi Biologics, Li Ning
  • TWSE Short Interest Weekly (Nov 4th): Hon Hai, Evergreen Marine, Wan Hai Lines
  • A-H Premium Weekly (Nov 4th): First Tractor, Maanshan Iron
  • Northbound Flows (Nov 4th): Moutai, Yangtze Power, Yili, East Money, Wintech

Hong Kong Connect Flows (Nov 4th): Tencent, Meituan, Wuxi Biologics, Li Ning

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of November 4th.
  • 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, Meituan, Wuxi Biologics, Li Ning.

TWSE Short Interest Weekly (Nov 4th): Hon Hai, Evergreen Marine, Wan Hai Lines

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Nov 4th 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 Hon Hai, Evergreen Marine, Wan Hai Lines.

A-H Premium Weekly (Nov 4th): First Tractor, Maanshan Iron

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 130.7% as of Nov 4th.
  • The average A-H premium changed by -4.4ppt weeok on week, led by health care, financials, utilities and offset by consumer staples, real estate, consumer discretionary.
  • We highlight weekly changes in A-H premium for First Tractor, Maanshan Iron, Datang Intl, Cansino, Jushi, Fudan Microelectronics.

Northbound Flows (Nov 4th): Moutai, Yangtze Power, Yili, East Money, Wintech

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of November 4th. 
  • We estimate the weekly outflows to be US$727.6 million, led by consumer staples, utilities, and offset by materials, industrials, consumer discretionary.
  • We highlight flows for CATL, BYD, Mindray, Tianqi, Moutai, Yangtze Power, Yili, East Money, Wintech.

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Nov 04
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Oct 28th): CSL and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Oct 28th): CSL, Woodside, Macquarie, Rio Tinto
  • Hong Kong Buybacks Weekly (Nov 4th): AIA, PetroChina, CNOOC

ASX Short Interest Weekly (Oct 28th): CSL, Woodside, Macquarie, Rio Tinto

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Oct 28th (reported today) which has an aggregated short interest worth USD18.0bn.
  • 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 CSL, Woodside, Macquarie, Rio Tinto, New Hope, South32, Medibank.

Hong Kong Buybacks Weekly (Nov 4th): AIA, PetroChina, CNOOC

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Nov 4th 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), China Petroleum & Chemical (386 HK), Cnooc (883 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), Wuxi Biologics (2269 HK).

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Nov 03
0

Daily Brief Quantitative Analysis: Screening for GEMs: November 2022 and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: November 2022
  • Volatility-Based Equity Allocations

Screening for GEMs: November 2022

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 top100 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 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.

Volatility-Based Equity Allocations

By Nicolas Rabener

  • The VIX currently trades within its top quartile since 1990
  • Using volatility to time equity allocations is a widely used strategy
  • However, it is challenging to pursue this over the long-term

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