Category

Quantitative Analysis

Oct 31
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Oct 28th): Pharmaron and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Oct 28th): Pharmaron, Datang Intl, Shanghai Junshi, Tianqi Lithium
  • Hong Kong Connect Flows (Oct 28th): Tencent, Meituan, Wuxi Biologics, Kuaishou
  • Northbound Flows (Oct 28th): Moutai, Ping An Bank, Wuxi Apptec, Ping An Insurance, CATL
  • HK Short Interest Weekly: BYD, Conch Venture, Shandong Weigao.

A-H Premium Weekly (Oct 28th): Pharmaron, Datang Intl, Shanghai Junshi, 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 135.0% as of Oct 28th.
  • The average A-H premium changed by 7.6ppt weeok on week, led by utilities, financials, information technology and offset by real estate.
  • We highlight weekly changes in A-H premium for Pharmaron, Datang Intl, Shanghai Junshi, Tianqi Lithium.

Hong Kong Connect Flows (Oct 28th): Tencent, Meituan, 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 October 28th.
  • 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 Holding, Meituan, Wuxi Biologics, Kuaishou.

Northbound Flows (Oct 28th): Moutai, Ping An Bank, Wuxi Apptec, Ping An Insurance, CATL

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of October 28th.
  • We estimate the weekly outflows to be US$1,807.3 million, led by consumer staples, financials, and offset by information technology, energy, real estate.
  • We highlight flows for Tianqi Lithium, Longi Green, Shenzhen Mindray, Moutai, Ping An Bank, Wuxi Apptec, Ping An Insurance, CATL. 

HK Short Interest Weekly: BYD, Conch Venture, Shandong Weigao.

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Oct 21st.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in BYD, Conch Venture, Shandong Weigao.

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Oct 30
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Oct 28th): Mediatek and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Oct 28th): Mediatek, Global Unichip, Alchip, Wiwynn Corp

TWSE Short Interest Weekly (Oct 28th): Mediatek, Global Unichip, Alchip, Wiwynn Corp

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Oct 28th which has an aggregated short interest worth USD11.7bn.
  • 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 analyzed TWSE short interest report for the past week and highlight short interest changes in Mediatek, Global Unichip, Alchip, Wiwynn Corp.

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Oct 29
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Oct 28th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Oct 28th): Aia, Great Wall Motor, Wuxi Biologics

Hong Kong Buybacks Weekly (Oct 28th): Aia, Great Wall Motor, Wuxi Biologics

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Oct 28th 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), Great Wall Motor (2333 HK), Wuxi Biologics (2269 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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Oct 28
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Oct 21st): Telstra and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Oct 21st): Telstra, BHP, Woolworth, Rio Tinto, Santos

ASX Short Interest Weekly (Oct 21st): Telstra, BHP, Woolworth, Rio Tinto, Santos

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Oct 21st (reported today) which has an aggregated short interest worth USD17.5bn.
  • 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 Fortescue, Woodside, ANZ, Telstra, BHP, Woolworth, Rio Tinto, Santos.

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Oct 26
0

Daily Brief Quantitative Analysis: Thematic Versus Momentum Investing and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Thematic Versus Momentum Investing

Thematic Versus Momentum Investing

By Nicolas Rabener

  • The thematic products underperform the stock market on an average
  • The exposure to the momentum factor was low to negative recently
  • And Systematic performance chasing beats performance chasing with a narrative

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Oct 24
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Oct 21st): Remegen and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Oct 21st): Remegen, Pharmaron, Flat Glass, Shanghai Fudan, GWM, China Life

A-H Premium Weekly (Oct 21st): Remegen, Pharmaron, Flat Glass, Shanghai Fudan, GWM, China Life

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 127.4% as of Oct 21st.
  • The average A-H premium changed by -2.8ppt weeok on week, led by consumer staples, consumer discretionary, energy and offset by financials.
  • We highlight weekly changes in A-H premium for Remegen, Pharmaron, Flat Glass, Shanghai Fudan, GWM, China Life.

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Oct 23
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Oct 21st): $3.2bn Inflows and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Oct 21st): $3.2bn Inflows
  • TWSE Short Interest Weekly (Oct 21st): AUO Corp, Innolux, Hon Hai, Taiwan Cement, Wiwynn
  • HK Short Interest Weekly: AIA, Li Auto, Wuxi Biologics, SHK PPT, CMB
  • Northbound Flows (Oct 21st): BOE, Moutai, Ping An, Yili, China Tourism, Longi Green

Hong Kong Connect Flows (Oct 21st): $3.2bn Inflows

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of October 21st.
  • 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 Holding Limited, Meituan, Wuxi Biologics.

TWSE Short Interest Weekly (Oct 21st): AUO Corp, Innolux, Hon Hai, Taiwan Cement, Wiwynn

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Oct 21st which has an aggregated short interest worth USD11.6bn.
  • 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 AUO Corp, Innolux, Hon Hai, Taiwan Cement, Wiwynn. 

HK Short Interest Weekly: AIA, Li Auto, Wuxi Biologics, SHK PPT, CMB

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Oct 14th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in AIA, Li Auto, Wuxi Biologics, SHK PPT, CMB.

Northbound Flows (Oct 21st): BOE, Moutai, Ping An, Yili, China Tourism, 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 October 21st.
  • We estimate the weekly outflows to be US$4,305.1 million, led by consumer staples, financials, and offset by energy, utilities.
  • We highlight flows for BOE, Moutai, Ping An, Yili,  China Tourism, Longi Green.

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Oct 22
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Oct 21st): AIA and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Oct 21st): AIA, Tencent, Wuxi Biologics

Hong Kong Buybacks Weekly (Oct 21st): AIA, Tencent, Wuxi Biologics

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Oct 21st 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), Wuxi Biologics (2269 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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Oct 19
0

Daily Brief Quantitative Analysis: Is the Carry Trade a Diversifying Strategy? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Is the Carry Trade a Diversifying Strategy?

Is the Carry Trade a Diversifying Strategy?

By Nicolas Rabener

  • The carry trade was positive across most asset classes in YTD 2022
  • And the correlations to the S&P 500 were low historically
  • However, the carry trade crashed when stocks crashed, ie provided limited diversification benefits

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Oct 17
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Oct 14th): CMB and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Oct 14th): CMB, China Pacific, Remegen, Tigermed, Shanghai Fudan, YOFC, GWM, CGS
  • HK Short Interest Weekly: AIA, Yum China
  • Hong Kong Connect Flows (Oct 14th): Tencent, Li Auto
  • Northbound Flows (Oct 14th): Moutai, Wuliangye, Tongwei, CMB, AMEC
  • TWSE Short Interest Weekly (Oct 14th): Largan Precision, Taiwan Cement

A-H Premium Weekly (Oct 14th): CMB, China Pacific, Remegen, Tigermed, Shanghai Fudan, YOFC, GWM, CGS

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 130.2% as of Oct 14th.
  • The average A-H premium changed by 5.3ppt weeok on week, led by information technology, real estate, materials and offset by communication services, energy.
  • We highlight weekly changes in A-H premium for CMB, China Pacific, Remegen, Tigermed, Shanghai Fudan, YOFC, GWM, CGS.

HK Short Interest Weekly: AIA, Yum China

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Oct 7th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in AIA Group and Yum China.

Hong Kong Connect Flows (Oct 14th): Tencent, Li Auto

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of October 14th.
  • 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 Li Auto (2015 HK). 

Northbound Flows (Oct 14th): Moutai, Wuliangye, Tongwei, CMB, AMEC

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of October 14th.
  • We estimate the weekly outflows to be US$886.9 million, led by consumer staples, financials, and offset by communication services, industrials, health care.
  • We highlight flows for CATL, Gigadevice, Moutai, Wuliangye, Tongwei, CMB, Advanced Micro-Fabrication Equipment (AMEC).

TWSE Short Interest Weekly (Oct 14th): Largan Precision, Taiwan Cement

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Oct 14th which has an aggregated short interest worth USD11.8bn.
  • 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 Largan Precision, Taiwan Cement.

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