Category

Quantitative Analysis

Aug 27
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly: Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly: Tencent, Xiaomi, Swire Pacific

Hong Kong Buybacks Weekly: Tencent, Xiaomi, 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 Aug 26th 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), Xiaomi (1810 HK), Swire Pacific (19 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Ck Asset Holdings(1113 HK), Great Wall Motor (2333 HK).

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Aug 26
0

Daily Brief Quantitative Analysis: Hong Kong: Where Have Shorts Been Building Up? and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong: Where Have Shorts Been Building Up?

Hong Kong: Where Have Shorts Been Building Up?

By Brian Freitas

  • Short notional in Hong Kong is HK$439bn and has been falling over the last 18 months due to a drop in the market.
  • In terms of short notional to issue market cap, the Information Technology, Materials, Health Care and Consumer Discretionary sectors are up there, with Communication Services, Real Estate the least shorted.
  • Over the year, the largest shorts in terms of notional have been built on Xiaomi Corp, Meituan, JD.com, AIA Group Ltd, Postal Savings Bank of China, Orient Overseas, Techtronic Industries.

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Aug 24
0

Daily Brief Quantitative Analysis: Long Volatility Strategies Versus Tactical Asset Allocation and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Long Volatility Strategies Versus Tactical Asset Allocation

Long Volatility Strategies Versus Tactical Asset Allocation

By Nicolas Rabener

  • Long volatility strategies are attractive diversifiers, but complex and not easily accessible.
  • Tactical asset allocation for equities may be considered as an alternative.
  • And there is no clear winner between these two options.

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Aug 22
0

Daily Brief Quantitative Analysis: A-H Premium Weekly (Aug 19th): Zoomlion and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly (Aug 19th): Zoomlion, Cansino, China Telecom, Tianqi Lithium
  • HK Short Interest: Sunny Optical, Xpeng, and Hua Hong Semiconductor
  • TWSE Short Interest Weekly (Aug 19th): Yang Ming Marine, Silergy, Nan Ya
  • Hong Kong Connect Flows: Meituan, Kuaishou
  • Northbound Flows: CATL, Longi Green

A-H Premium Weekly (Aug 19th): Zoomlion, Cansino, China Telecom, Tianqi Lithium

By Ke Yan, CFA, FRM

  • We analyse the changes of A/H premium on 142 stocks over the last week.
  • A-H premium declined by 0.6ppt wow, led by health care, communication services and real estate sector, and offset by the increase in consumer staple and consumer discretionary. 
  • We highlight A-H premium changes for Zoomlion, Cansino, China Telecom, Tianqi Lithium, YOFC, Flat Glass, CSSC Offshore and Shanghai Fudan Microelectronics.

HK Short Interest: Sunny Optical, Xpeng, and Hua Hong Semiconductor

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Aug 12th. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight changes of short interest for Sunny Optical, Xpeng, and Hua Hong Semiconductor.

TWSE Short Interest Weekly (Aug 19th): Yang Ming Marine, Silergy, Nan Ya

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE stocks last week which has an aggregated short interest worth USD 13.3bn. 
  • We highlight short interest changes in Yang Ming Marine, Silergy, Nan Ya Printed, Powerchip, Unimicron, and Evergreen Marine.
  • Top shorts in the market were UMC, Taiwan Cement, and Yang Ming Marine. 

Hong Kong Connect Flows: Meituan, Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding as of Aug 19th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight weekly outflows from Meituan (3690 HK) and Kuaishou Technology (1024 HK).

Northbound Flows: CATL, Longi Green

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding as of Aug 19th.
  • We estimate the inflows were $940m, led by industrial, financial and material led the inflow, and offset by outflows in from health care stocks.
  • We highlight northbound inflows into CATL and Longi Green from offshore investors. 

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Aug 20
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly: CK Asset and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly: CK Asset, ASMPT

Hong Kong Buybacks Weekly: CK Asset, ASMPT

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Aug 19th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Ck Asset (1113 HK), ASMPT (522 HK), FIH Mobile Limited (2038 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were AIA(1299 HK), Great Wall Motor (2333 HK), CK Asset (1113 HK).

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Aug 18
0

Daily Brief Quantitative Analysis: Outperformance Ain’t Alpha and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Outperformance Ain’t Alpha

Outperformance Ain’t Alpha

By Nicolas Rabener

  • Do we know outperformance and alpha are not the same?
  • One is the difference from a benchmark, the other is the unexplained return
  • A contribution analysis helps understand the return drivers, let’s dive in deeper!

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Aug 15
0

Daily Brief Quantitative Analysis: A-H Premium Weekly: Tianqi Lithium at New Lost Post H-Share IPO and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly: Tianqi Lithium at New Lost Post H-Share IPO
  • Hong Kong Connect Flows: Tencent, China Mobile, Meituan and Kuaishou
  • HK Short Interest: Alibaba, AIA, Country Garden Short Covers
  • Northbound Flows: Longi Green, Yili, BYD, Moutai

A-H Premium Weekly: Tianqi Lithium at New Lost Post H-Share IPO

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 of 142 A/H stocks are 116.5%, increased by 3.0ppt over last week.
  • The average A/H premium changed by 3.0ppt week on week, led by Real Estate, financials, and consumer discretionary sectors.
  • We highlight A/H premium changes of Great Wall Motor, Guangzhou Auto, Hisense Home, Tianqi Lithium, Jiangxi Copper, Angang Steel, Maanshan Iron, BBMG, Alcoa, Zoomlion, Cansino, Holly Futures, and ABC. 

Hong Kong Connect Flows: Tencent, China Mobile, Meituan and Kuaishou

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for connect holding position as of Aug 12th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight weekly inflows into Tencent, China Mobile and outflows from Meituan and Kuaishou.

HK Short Interest: Alibaba, AIA, Country Garden Short Covers

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Aug 5th. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short covers for Alibaba, AIA and Country Garden.

Northbound Flows: Longi Green, Yili, BYD, Moutai

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for connect holding as of Aug 12th.
  • Information, financials, and consumer discretionary sectors led the inflows of USD 1.2bn last week. 
  • We highlight inflows into Longi Green, Yili, BYD, Moutai, and outflows from Tongwei, Sanhua, TBEA, TCL Zhonghuan.

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Aug 13
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks: CK Asset and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks: CK Asset

Hong Kong Buybacks: CK Asset

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Aug 12th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were CK Asset Holdings (1113 HK), Yeebo (259 HK), Fih Mobile(2038 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Aia (1299 HK), Great Wall Motor (2333 HK), Tencent (700 HK).

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Aug 10
0

Daily Brief Quantitative Analysis: Revisiting the Performance of TAA ETFs and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Revisiting the Performance of TAA ETFs

Revisiting the Performance of TAA ETFs

By Nicolas Rabener

  • There has been a boom in launching tactical asset allocation ETFs
  • However, the recent track record of these has been poor
  • Declining stock and bond markets have created a challenging environment for these

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Aug 08
0

Daily Brief Quantitative Analysis: A-H Premium Weekly: Joinn Lab and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly: Joinn Lab, Zoomlion, Shandong Xinhua, Zheshang Bank, Sinopec Shanghai Petrochem
  • Northbound Flows: Sanhua, Baoshan Iron, Sungrow, Han’s Laser, Changchun High
  • Hong Kong Connect Flows: Tencent, Ganfeng Lithium, Meituan, Kuaishou, Wuxi Biologics
  • HK Short Interest: Kuaishou, Alibaba, Cifi, Netease

A-H Premium Weekly: Joinn Lab, Zoomlion, Shandong Xinhua, Zheshang Bank, Sinopec Shanghai Petrochem

By Ke Yan, CFA, FRM

  • We analyse the changes of A/H premium on 141 stocks over the last week. The average A/H premium changed by -1.7ppt over the past one week.
  • A-H Premium decline was led by consumer discretionary, consumer staples, and real estates, offset by the A-H premium increase of health care sector.
  • We highlight changes in A-H premium for Angang Steel, Chongqing Ireon, China Merchants Securities, COSCO Ship Eng, Joinn Lab, Zoomlion, Shandong Xinhua, Zheshang Bank, Sinopec Shanghai Petrochem.

Northbound Flows: Sanhua, Baoshan Iron, Sungrow, Han’s Laser, Changchun High

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for record date as of Aug 5th.
  • Outflows from financials, industrials, materials were offset by inflows into information technology, consumer staples and health care.
  • We highlight outflows from Sanhua, Baoshan Iron, Sungrow, Han’s Laser, Changchun High & New Tech.

Hong Kong Connect Flows: Tencent, Ganfeng Lithium, Meituan, Kuaishou, Wuxi Biologics

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for record date as of August 5th.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight flows for Tencent, Ganfeng Lithium, Meituan, Kuaishou, Wuxi Biologics.

HK Short Interest: Kuaishou, Alibaba, Cifi, Netease

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 29th. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short interest changes in Kuaishou, Alibaba, Cifi, and Netease.

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