Category

Quantitative Analysis

Sep 15
0

Daily Brief Quantitative Analysis: Tencent/Netease: September Batch of Game Approval & Thoughts on Trading and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Tencent/Netease: September Batch of Game Approval & Thoughts on Trading
  • Sector Vs Factor-Based Benchmark Selection

Tencent/Netease: September Batch of Game Approval & Thoughts on Trading

By Ke Yan, CFA, FRM

  • China just announced game approval for September batch. More games were approved in September compared to July, June and August.
  • Pace of China game approval continued to pick up albeit at a much slower pace than pre-tightening.
  • Tencent continue to score zero and Netease managed to get one game approved in 14 months. 

Sector Vs Factor-Based Benchmark Selection

By Nicolas Rabener

  • Manager-Selected benchmarks are suboptimal as they are not free of conflict of interests
  • Perhaps, investors can use sectors to identify more appropriate benchmarks
  • However, this ignores factors, which are better at explaining investment returns

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Sep 12
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Sep 9th): Huadian and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Sep 9th): Huadian, CGN Power, GWM
  • Hong Kong Connect Flows (Sep 9th): Tencent, BYD, Sensetime, Meituan
  • Northbound Flows (Sep 9th): Longi Green, Zijin, Aier Eye, Moutai, CMB, Tongwei, Luxshare

A-H Premium Weekly (Sep 9th): Huadian, CGN Power, GWM

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 118.5% as of Sep 9th.
  • The average A-H premium changed by 1.3ppt week-on-week, led by utilities, consumer staples, financials and offset by health Care, consumer discretionary, communication services. 
  • We highlight weekly changes in A-H premium for Huadian, CGN Power, GWM, Tigermed, Angang, CIMC, Zoomlion, Tianqi Lithium, CIMC Vehicles, CNOOC.

Hong Kong Connect Flows (Sep 9th): Tencent, BYD, Sensetime, Meituan

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of September 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 Tencent, BYD, Sensetime and outflows from Meituan.

Northbound Flows (Sep 9th): Longi Green, Zijin, Aier Eye, Moutai, CMB, Tongwei, Luxshare

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of September 9th.
  • We estimate the weekly outflows to be US$32.0 million, led by consumer staples, information technology, and offset by materials, health care, financials.
  • We highlight inflows into Longi Green, Zijin, Aier Eye, and outflows from Moutai, CMB, Tongwei, Luxshare. 

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Sep 11
0

Daily Brief Quantitative Analysis: HK Short Interest: Short Spike for Tech Stocks and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest: Short Spike for Tech Stocks
  • TWSE Short Interest Weekly (Sep 8th): Taiwan Cement, Realtek, Formosa Plastics

HK Short Interest: Short Spike for Tech Stocks

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Sep 2nd.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short spike for Tencent, Meituan, Jd.com, Baidu, and Cosco Shipping.

TWSE Short Interest Weekly (Sep 8th): Taiwan Cement, Realtek, Formosa Plastics

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 8th 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 Taiwan Cement, Realtek, Formosa Plastics, China Airlines, Innolux.

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Sep 10
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Sep 9th): Tencent, AIA, Xiaomi

Hong Kong Buybacks Weekly (Sep 9th): Tencent, AIA, Xiaomi

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 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), Xiaomi (1810 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 07
0

Daily Brief Quantitative Analysis: Mirror and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Mirror, Mirror on the Wall, Which Is the Fairest Benchmark of Them All?

Mirror, Mirror on the Wall, Which Is the Fairest Benchmark of Them All?

By Nicolas Rabener

  • Evaluating manager performance is difficult as it requires an appropriate benchmark
  • The manager’s benchmark selection is often not objective given conflicts of interests
  • Factor exposure analysis can be used to systematically identify the best benchmark

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Sep 05
0

Daily Brief Quantitative Analysis: TWSE Short Interest Weekly (Sep 2nd): Yang Ming and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • TWSE Short Interest Weekly (Sep 2nd): Yang Ming, Evergreen, Largan
  • A-H Premium Weekly (Sep 2nd): Remegen, Huaxin, Huatai, Tianqi Lithium
  • Hong Kong Connect Flows: Tencent, Kuaishou
  • Northbound Flows (Sep 2nd): GREE, CATL, Longi Green, BOE Technology
  • HK Short Interest: BYD, China Power Intl

TWSE Short Interest Weekly (Sep 2nd): Yang Ming, Evergreen, Largan

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 2nd which has an aggregated short interest worth USD12.4bn.
  • 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 Yang Ming, Alchip, Catcher, Faraday, Via Tech, Evergreen Marine, Largan. 

A-H Premium Weekly (Sep 2nd): Remegen, Huaxin, Huatai, Tianqi Lithium

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 116.6% as of Sep 2nd.
  • The average A-H premium changed by 4.9ppt, led by Communication Services, Financials, Health Care and offset by Energy, Consumer Staples.
  • We highlight weekly changes in A-H premium for Remegen, Huaxin, Huatai, Tianqi Lithium, Shandong Gold.

Hong Kong Connect Flows: Tencent, Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of September 2nd.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight inflows for Tencent Holdings and outflows for Kuaishou Technology. 

Northbound Flows (Sep 2nd): GREE, CATL, Longi Green, BOE Technology

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of September 2nd.
  • We estimate inflows to be US D158m, led by information technology, Consumer Discretionary, industrials and offset materials, and consumer staples.
  • We highlight flows for GREE, CATL, Longi Green, BOE Technology, China Tourism, and Xinghuacun.

HK Short Interest: BYD, China Power Intl

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Aug 26th. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short interest changes in BYD and China Power Intl.

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Sep 03
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly: Buyback at 1Y High and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly: Buyback at 1Y High
  • Hong Kong Connect Flows Monthly (August): $1bn into Tencent
  • Northbound Flows Monthly (August): CATL, Longi, Yunnan Energy New Material

Hong Kong Buybacks Weekly: Buyback at 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 Sep 2nd 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 Holdings (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).

Hong Kong Connect Flows Monthly (August): $1bn into Tencent

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 Tencent, Tianqi, Li Auto, Country Garden Services, Li Ning and outflows from Meituan, Kuaishou, HKEx, GWM, Anta. 

Northbound Flows Monthly (August): CATL, Longi, Yunnan Energy New Material

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • We estimate that the inflows were USD 2,169.3 million last month, led by consumer staples and industrials.
  • We highlight flows for CATL, Longi Green, Yunnan Energy New Material, Yili, Moutai, Sanhua, Sungrow, Tbea, CMB, Beijing Oriental Yuhong. 

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Sep 02
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Screening for GEMs: September 2022

Screening for GEMs: September 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.

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Aug 31
0

Daily Brief Quantitative Analysis: What Is Wrong with Inverse ETFs? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • What Is Wrong with Inverse ETFs?

What Is Wrong with Inverse ETFs?

By Nicolas Rabener

  • Inverse ETFs come with significant risk disclosure because they are especially risky
  • And analyzing the performance of these products justifies the warnings
  • There is a significant difference between the performance of inverse ETFs & the underlying inverse indices

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Aug 29
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows: Meituan Outflows Before 1H Results and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows: Meituan Outflows Before 1H Results
  • Northbound Flows (Aug 27th): Longi Green, Xinjiang Goldwind
  • TWSE Short Interest Weekly (Aug 26th): EVA Airways, Alchip, Faraday
  • A-H Premium Weekly (Aug 26th): China Telecom, China Life, Huaneng Power, Chongqing Iron, CICC

Hong Kong Connect Flows: Meituan Outflows Before 1H Results

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of August 26th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for CNOOC, Meituan and Hong Kong Exchange.

Northbound Flows (Aug 27th): Longi Green, Xinjiang Goldwind

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of August 26th. We estimate weekly outflows to be USD644m. 
  • Information technology, financial and health care led the outflows while consumer staples, material and utilities led the inflows.
  • We highlight flows for Tongwei, Moutai, Yunan Energy New Material, Ganfeng Lithium, Longi Green and Xinjiang Goldwind.

TWSE Short Interest Weekly (Aug 26th): EVA Airways, Alchip, Faraday

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Aug 26th, which has an aggregated short interest worth USD 12.9bn. 
  • 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 EVA Airways, Alchip, and Faraday. 

A-H Premium Weekly (Aug 26th): China Telecom, China Life, Huaneng Power, Chongqing Iron, CICC

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 112.0% as of Aug 26th.
  • The average A-H premium changed by 0.4ppt, led by Financials, Utilities and offset by Information Technology, Real Estate, Consumer Discretionary. 
  • We highlight weekly changes in A-H premium for China Telecom, China Life, Huaneng Power, Chongqing Iron, CICC.

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