Category

Quantitative Analysis

Oct 15
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Oct 14th): Back to 1Y High and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Oct 14th): Back to 1Y High

Hong Kong Buybacks Weekly (Oct 14th): Back to 1Y High

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 14th 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), Wuxi Biologics (2269 HK), Aia (1299 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 12
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: CSPC Pharma and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: CSPC Pharma, Hygeia, GCL Technology, SHK Properties, Techtronic
  • Managed Futures: The Empire Strikes Back

HK Short Interest Weekly: CSPC Pharma, Hygeia, GCL Technology, SHK Properties, Techtronic

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Sep 30th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in CSPC Pharma, Hygeia, GCL Technology, SHK Properties, Techtronic.

Managed Futures: The Empire Strikes Back

By Nicolas Rabener

  • The AUM in managed futures ETFs has increased six-fold to $1.2bn in 2022
  • However, the performance of these ETFs was highly dispersed in the past
  • Some have low correlations to the managed futures benchmark index, which is problematic 

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Oct 10
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Oct 7th): Alchip and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Oct 7th): Alchip, Yageo, ASE Technology, Advantech

TWSE Short Interest Weekly (Oct 7th): Alchip, Yageo, ASE Technology, Advantech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Oct 7th which has an aggregated short interest worth USD12.5bn.
  • 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 Alchip, Yageo, ASE Technology, Advantech.

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Oct 04
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: October 2022
  • Hong Kong Connect Flows Monthly: $4.4bn Inflows in September
  • Northbound Flows Monthly (September): CMB, Gree, CATL, Moutai

Screening for GEMs: October 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.

Hong Kong Connect Flows Monthly: $4.4bn Inflows in September

By Ke Yan, CFA, FRM

  • We analyze the monthly Hong Kong Connect flows with our data engine for the month of September.
  • We tabulate the top stocks by inflows, outlfows, and holding by mainland investors.
  • We highlight inflows into Tencent, Wuxi Biologics, China Mobile, CNOOC, BYD and outflows from Geely, Sunny Optical, Kuaishou, HKEx.

Northbound Flows Monthly (September): CMB, Gree, CATL, Moutai

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows for September with our data engine.
  • We estimate the monthly outflows to be USD 1,383.9 million, led by industrial, financial and consumer staple sectors.
  • We highlight inflows into Gree, Qinghai Salt Lake, Bank of Jiangsu, S.F. Holding, Daqin Railway, and outflows from CMB, CALT, Zhejiang Sanhua, Moutai, BOE.

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Oct 02
0

Daily Brief Quantitative Analysis: HK Short Interest Weekly: Li Auto and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Li Auto, Sunny Optical
  • TWSE Short Interest Weekly (Sep 30th): Evergreen Marine, Quanta, Cathay, Fubon, Largan

HK Short Interest Weekly: Li Auto, Sunny Optical

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Sep 23rd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Li Auto and Sunny Optical.

TWSE Short Interest Weekly (Sep 30th): Evergreen Marine, Quanta, Cathay, Fubon, Largan

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 30th which has an aggregated short interest worth USD12.0bn.
  • 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 Evergreen Marine, Quanta computer, Cathay Financial, Fubon Financial, Largan Precision.

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Oct 01
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Sep 30th): Once More One Year High and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Sep 30th): Once More One Year High

Hong Kong Buybacks Weekly (Sep 30th): Once More One Year High

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Sep 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), Ck Asset (1113 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), Ck Asset (1113 HK).

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Sep 28
0

Daily Brief Quantitative Analysis: How Much Can You Lose with Bonds? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • How Much Can You Lose with Bonds?

How Much Can You Lose with Bonds?

By Nicolas Rabener

  • Bonds are typically considered safe investments. However, there were decades of negative real returns
  • Most investors have portfolios predominantly comprised of bonds and stocks. Drawdowns reached 50% for U.S. Treasuries and Bonds.
  • In this research note, we explore how much money can be lost with bonds. 

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Sep 26
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Sep 23rd): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Sep 23rd): Tencent, CNOOC
  • A-H Premium Weekly (Sep 23rd): China Tourism A-H at All Time Low
  • Northbound Flows (Sep 23rd): Tianqi Lithium, Midea Group, Moutai, Sungrow

Hong Kong Connect Flows (Sep 23rd): Tencent, CNOOC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of September 23rd.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight three weeks of inflows despite weak market sentiment and flows into Tencent and CNOOC.

A-H Premium Weekly (Sep 23rd): China Tourism A-H at All Time Low

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 119.5% as of Sep 23rd.
  • The average A-H premium changed by 3.8ppt weeok on week, led by energy, financials, materials and offset by consumer staples, information technology.
  • We highlight weekly changes in A-H premium for Angang, Flat Glass, Zoomlion, China Tourism, China Telecom.

Northbound Flows (Sep 23rd): Tianqi Lithium, Midea Group, Moutai, Sungrow

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of September 23rd.
  • We estimate the weekly outflows to be US$854.1 million, led by industrials, consumer staples, and offset by communication services, consumer discretionary, real estate.
  • We highlight flows for Tianqi Lithium, Midea Group, Moutai, Sungrow.

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Sep 18
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Sep 16th): Chinese Buying Wuxi Biologics After Biden’s New Executive Order and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Sep 16th): Chinese Buying Wuxi Biologics After Biden’s New Executive Order
  • A-H Premium Weekly (Sep 16th): Angang, CIMC, Zoomlion, Huatai, Tianqi Lithium
  • Northbound Flows (Sep 16th): Ping An Insurance, Shaanxi Coal, CMB and CATL
  • TWSE Short Interest Weekly (Sep 16th): Short Spikes For Formosa Plastics, Hon Hai

Hong Kong Connect Flows (Sep 16th): Chinese Buying Wuxi Biologics After Biden’s New Executive Order

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of September 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 Wuxi Biologics (Cayman) Inc and CNOOC. 

A-H Premium Weekly (Sep 16th): Angang, CIMC, Zoomlion, Huatai, 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 113.9% as of Sep 16th.
  • The average A-H premium changed by -4.6ppt weeok on week, led by financials,  communication services, health care, and offset by consumer staples, consumer discretionary, utilities.
  • We highlight weekly changes in A-H premium for Angang, CIMC, Zoomlion, Huatai securities, Tianqi Lithium, China Telecom.

Northbound Flows (Sep 16th): Ping An Insurance, Shaanxi Coal, CMB and CATL

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of September 16th.
  • We estimate the weekly outflows to be US$850.0 million, led by financials, industrials, and offset by information technology, energy.
  • We highlight flows for Ping An Insurance, Shaanxi Coal, CMB and CATL.

TWSE Short Interest Weekly (Sep 16th): Short Spikes For Formosa Plastics, Hon Hai

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 16th which has an aggregated short interest worth USD12.7bn.
  • 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 China Airlines, Powerchip, Formasa Plastics, Hon Hai, Alchip, Asustek, Yageo, Innolux.

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Sep 17
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Sep 16th): Tencent, AIA, Xiaomi, Swire, Fosun Intl

Hong Kong Buybacks Weekly (Sep 16th): Tencent, AIA, Xiaomi, Swire, Fosun Intl

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Sep 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), Xiaomi (1810 HK).

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