Category

Quantitative Analysis

Aug 06
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks: Town Health and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks: Town Health, Neuedu, Sirnaomics

Hong Kong Buybacks: Town Health, Neuedu, Sirnaomics

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 5th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Town Health International Medical (3886 HK), Neuedu (9616 HK), Sirnaomics-B (2257 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), Great Wall Motor (2333 HK).

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Aug 03
0

Daily Brief Quantitative Analysis: Northbound Flows Monthly (July): Financials and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Northbound Flows Monthly (July): Financials, Industrials and Materials Led Outflows
  • Defining Tactical Asset Allocation
  • Screening for GEMs: August 2022

Northbound Flows Monthly (July): Financials, Industrials and Materials Led Outflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine. Northbound investors are selling A-share stocks worth USD 2.9bn in July.
  • The outflows were led by the financials, industrials, and materials sectors.
  • We highlight flows for Shenzhen Mindray, Zhejiang Huayou, Tianqi Lithium, Yunnan Energy New Material, Moutai, Sungrow, Ping An Bank, Wuxi Lead, Zhejiang Sanhua, Industrial Bank.

Defining Tactical Asset Allocation

By Nicolas Rabener

  • Tactical asset allocation ETFs charge high fees (0.92% pa) that need to be justified
  • The active share of TAA strategies can be measured via regression analysis
  • High active share does not automatically create value, but offers value-creation potential

Screening for GEMs: August 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 02
0

Daily Brief Quantitative Analysis: Hong Kong Connect Flows Monthly (July): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows Monthly (July): Tencent, Li Auto, GCL

Hong Kong Connect Flows Monthly (July): Tencent, Li Auto, GCL

By Ke Yan, CFA, FRM

  • We analyze the monthly Hong Kong Connect flows with our data engine. We estimated that inflows to HK market were USD 1.7bn in July.
  • We tabulate the top stocks by inflows, outflows, and holding by mainland investors. Inflows were driven by real estate, industrials, and communication services.
  • We highlight monthly flows of Tencent, Li Auto, GCL, Xiaomi, Meituan, GWM, Wuxi Biologics, HKEx.

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Aug 01
0

Daily Brief Quantitative Analysis: HK Short Interest: Wuxi Biologics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest: Wuxi Biologics, Techtronic, Tencent, XPeng
  • Hong Kong Connect Flows: Tencent, Wuxi Biologics, China Mobile
  • A-H Premium Weekly: Chalco, Huaxin Cement, Chongqing Iron, CMS, Cosco Ship Eng, QHD Port
  • Northbound Flows: Huayou Cobalt, CMB, Zhongtian Tech, TCL

HK Short Interest: Wuxi Biologics, Techtronic, Tencent, XPeng

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 22nd. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short interests changes in Wuxi Biologics, Techtronic, Tencent, XPeng.

Hong Kong Connect Flows: Tencent, Wuxi Biologics, China Mobile

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding as of July  29th.
  • 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, Wuxi Biologics, and China Mobile.

A-H Premium Weekly: Chalco, Huaxin Cement, Chongqing Iron, CMS, Cosco Ship Eng, QHD Port

By Ke Yan, CFA, FRM

  • We analyse the changes of A/H premium on 141 stocks over the last week.
  • Average A/H premium changed by 1.3ppt last week, led by consumer staple, consumer discretionary and offset by financials and materials.
  • We highlight stocks reached 52 week high of A-H premium: Chalco, Huaxin Cement, Chongqing Iron, CMS, Cosco Ship Eng, QHD Port.

Northbound Flows: Huayou Cobalt, CMB, Zhongtian Tech, TCL

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding as of July 29th. 
  • Inflows into information technology were offset by outflows from industrials and consumer staple.
  • We highlight weekly flows for Zhejiang Huayou Cobalt, CMB, Zhongtian Tech, TCL, Zhejiang Sanhua, Sungrow Power and SF Holding.

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Jul 30
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks: Great Wall Motor and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks: Great Wall Motor, AIA, Pop Mart

Hong Kong Buybacks: Great Wall Motor, AIA, Pop Mart

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jul 29th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Great Wall Motor (2333 HK), Aia (1299 HK), Pop Mart (9992 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), Great Wall Motor (2333 HK).

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Jul 27
0

Daily Brief Quantitative Analysis: Carbon ETFs: Making Money from Air and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Carbon ETFs: Making Money from Air

Carbon ETFs: Making Money from Air

By Nicolas Rabener

  • The carbon credit market is complicated and carbon credit prices vary significantly across markets.
  • The price increased by more than 100% since 2020, but it has been highly volatile
  • Investors can get carbon exposure via ETFs, but applying trend-following strategies is sounder

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Jul 25
0

Daily Brief Quantitative Analysis: A-H Premium Weekly: COSCO Ship Eng and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly: COSCO Ship Eng, YOFC, CSSC Offshore, Shanghai Fudan, China Suntien
  • HK Short Interest: BYD, Fosun Pharma, GF Securities
  • Hong Kong Connect Flows: 11 Weeks of Inflows
  • Northbound Flows: Yunnan Energy New Material, Zhejiang Huayou Cobalt, BOE Technology

A-H Premium Weekly: COSCO Ship Eng, YOFC, CSSC Offshore, Shanghai Fudan, China Suntien

By Ke Yan, CFA, FRM

  • We analyse the changes of A/H premium on 141 stocks over the last week.
  • Increase in the A-H premium in Utilities (+4.4ppt) and Real Estate (+2.1ppt) were offset by the decline of A-H premium in Consumer Discretionary (+6.1ppt) and Health Care (-2.1ppt) sectors.
  • We highlight A-H premium changes in COSCO Ship Eng, YOFC, CSSC Offshore, Shanghai Fudan, China Suntien.

HK Short Interest: BYD, Fosun Pharma, GF Securities

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 15th. 
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight week on week short interest increases in BYD, Fosun Pharma, GF Securities.

Hong Kong Connect Flows: 11 Weeks of Inflows

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight Tencent and BYD that dominated the inflows last week.

Northbound Flows: Yunnan Energy New Material, Zhejiang Huayou Cobalt, BOE Technology

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Outflows from consumer discretionary and consumer staple were offset by the inflows into material and energy.
  • We highlight inflows into Yunnan Energy New Material, Zhejiang Huayou Cobalt, BOE Technology and etc.

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Jul 23
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks: AIA and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks: AIA, Pop Mart, Great Wall Motor

Hong Kong Buybacks: AIA, Pop Mart, Great Wall Motor

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jul 22nd 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), Pop Mart (9992 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), Great Wall Motor (2333 HK).

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Jul 18
0

Daily Brief Quantitative Analysis: A-H Premium Weekly: Steel & Cement at 52w High and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • A-H Premium Weekly: Steel & Cement at 52w High, Great Wall Motor, Longyuan
  • Hong Kong Connect Flows: Tencent, Geely, Meituan, Wuxi Biologics
  • HK Short Interest: Innovent Biologics, Yeahka, CR Beer, Great Wall Motor
  • Northbound Flows: Mindray, Tianjin Zhonghuan, BYD, Banks

A-H Premium Weekly: Steel & Cement at 52w High, Great Wall Motor, Longyuan

By Ke Yan, CFA, FRM

  • We analyse the changes of A/H premium on 140 stocks over the last week.
  • A-H premium declined by 0.5ppt week on week, mainly due to consumer discretionary, communication services and financials, offset by consumer staple and material. 
  • We highlight A-H premium for Steel & Cement companies, Great Wall Motor, and Longyuan.

Hong Kong Connect Flows: Tencent, Geely, Meituan, Wuxi Biologics

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine.
  • The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
  • We highlight weekly flows of Tencent, Geely, Meituan, Wuxi Biologics.

HK Short Interest: Innovent Biologics, Yeahka, CR Beer, Great Wall Motor

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 8th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short interest changes in Innovent Biologics, Yeahka, CR Beer, Great Wall Motor.

Northbound Flows: Mindray, Tianjin Zhonghuan, BYD, Banks

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Banks led the outflow as offshore investors are concerned about the risk from property sectors.
  • We highlight inflows into Mindray, Tianjin Zhonghuan, BYD and outflows from banks.

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Jul 16
0

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

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks: Tencent, AIA, ESR Cayman

Hong Kong Buybacks: Tencent, AIA, ESR Cayman

By Ke Yan, CFA, FRM

  • We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jul 15th 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), Esr (1821 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), Great Wall Motor (2333 HK).

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