Category

Quantitative Analysis

Sep 20
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Sep 13th): Mineral Resources and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Sep 13th): Mineral Resources, Westpac, Gpt, Australian Clinical Labs

ASX Short Interest Weekly (Sep 13th): Mineral Resources, Westpac, Gpt, Australian Clinical Labs

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Sep 13th (reported today) which has an aggregated short interest worth USD25.4bn.
  • 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 Mineral Resources, Westpac, Gpt, Australian Clinical Labs, Aristocrat Leisure, James Hardie Industries Plc.

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Sep 19
0

Daily Brief Quantitative Analysis: Systematic Quantitative Equity Strategies Outlook: 9/15/24 – Year-End and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Systematic Quantitative Equity Strategies Outlook: 9/15/24 – Year-End

Systematic Quantitative Equity Strategies Outlook: 9/15/24 – Year-End

By William Mann

  • Strong YTD performance with volatility: Systematic quantitative equity strategies have strong but volatile performance in 2024, with momentum and reversal factors driving returns, particularly in U.S. technology (AI sectors).
  • Key macroeconomic drivers: Interest rate decisions from the Federal Reserve, geopolitical tensions (especially involving China), and the upcoming U.S. Presidential election will be major catalysts influencing equity markets through year-end.
  • Sector-Specific opportunities: AI-driven tech and consumer discretionary stocks benefit from rate cuts, but overvaluation risks persist. Value and quality sectors in Europe and defensive strategies (e.g. reversal) hedge market corrections.

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Sep 16
0

Daily Brief Quantitative Analysis: KRX Foreign Holding Weekly (Sep 13th): Samsung Electronics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Foreign Holding Weekly (Sep 13th): Samsung Electronics, Sk Hynix
  • TWSE Foreign Holding Weekly (Sep 13th): Quanta Computer, TSMC, Ctbc Financial
  • TWSE Short Interest Weekly (Sep 13th): Quanta Computer, TSMC, Ase Industrial

KRX Foreign Holding Weekly (Sep 13th): Samsung Electronics, Sk Hynix

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Sep 13th which has an aggregated holding worth USD544.5bn.
  • We estimate that foreign flows to be outflows of USD1,610mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Samsung Electronics, Sk Hynix.

TWSE Foreign Holding Weekly (Sep 13th): Quanta Computer, TSMC, Ctbc Financial

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Sep 13th which has an aggregated holding worth USD938.6bn.
  • We estimate that foreign flows to be outflows of USD1,475mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Quanta Computer, TSMC, Ctbc Financial, Hon Hai Precision Industry.

TWSE Short Interest Weekly (Sep 13th): Quanta Computer, TSMC, Ase Industrial

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 13th which has an aggregated short interest worth USD20.2bn.
  • 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 Quanta Computer, TSMC, Ase Industrial, Zhen Ding Technology Holding, Shin Kong Financial, Mediatek.

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Sep 14
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Sep 13th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Sep 13th): Tencent, Meituan, Aia

Hong Kong Buybacks Weekly (Sep 13th): Tencent, Meituan, Aia

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 13th 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), Meituan (3690 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), Meituan (3690 HK).

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Sep 13
0

Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Sep 6th): Macquarie and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Sep 6th): Macquarie, Fortescue, Mirvac, Insurance Australia, BHP

ASX Short Interest Weekly (Sep 6th): Macquarie, Fortescue, Mirvac, Insurance Australia, BHP

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Sep 6th (reported today) which has an aggregated short interest worth USD24.3bn.
  • 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 Macquarie, Fortescue, Mirvac, Insurance Australia, BHP, Wesfarmers, CSL.

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Sep 11
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Sep 6th): Posco and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Sep 6th): Posco

KRX Short Interest Weekly (Sep 6th): Posco

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Sep 6th which has an aggregated short interest worth USD4.9bn.
  • 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 Posco (005490 KS) .

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Sep 09
0

Daily Brief Quantitative Analysis: China & HK Strategy: Sell in September and Go Away and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • China & HK Strategy: Sell in September and Go Away, Really?
  • KRX Foreign Holding Weekly (Sep 6th): Samsung Electronics, Sk Hynix, Kia Corp.
  • TWSE Foreign Holding Weekly (Sep 6th): Yageo, Shin Kong Financial, TSMC, Mediatek, Ctbc Financial
  • TWSE Short Interest Weekly (Sep 6th): TSMC, Cathay Financial, Visual Photonics Epitaxy, Innolux

China & HK Strategy: Sell in September and Go Away, Really?

By Osbert Tang, CFA

  • The HSI has declined 3% MTD, but based on history, there is more downside risk. Over the last 10 years, the Index has only returned positively in two September.
  • October is also not good, and the Index declined an average of 1.9% in the month since 2019. However, November and December are normally the best-performing ones. 
  • Prudent investors should stay conservative until October. By the end of next month, there are opportunities to increase position to take hold of the potential year-end rally. 

KRX Foreign Holding Weekly (Sep 6th): Samsung Electronics, Sk Hynix, Kia Corp.

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Sep 6th which has an aggregated holding worth USD545.5bn.
  • We estimate that foreign flows to be outflows of USD1,276mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Samsung Electronics, Sk Hynix, Kia Corp..

TWSE Foreign Holding Weekly (Sep 6th): Yageo, Shin Kong Financial, TSMC, Mediatek, Ctbc Financial

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Sep 6th which has an aggregated holding worth USD928.2bn.
  • We estimate that foreign flows to be outflows of USD2,648mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight changes of foreign holdings in Yageo, Shin Kong Financial, TSMC, Mediatek, Ctbc Financial, Quanta Computer, Unimicron Technology.

TWSE Short Interest Weekly (Sep 6th): TSMC, Cathay Financial, Visual Photonics Epitaxy, Innolux

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Sep 6th which has an aggregated short interest worth USD19.8bn.
  • 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 TSMC, Cathay Financial, Visual Photonics Epitaxy, Innolux, Formosa Petrochemical, Ctbc Financial, Shin Kong Financial, Alchip Technologies.

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Sep 07
0

Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Sep 6th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Sep 6th): Tencent, Meituan, AIA
  • ASX Short Interest Weekly (Aug 30th): Fortescue, Woodside Energy, National Australia Bank, Westpac

Hong Kong Buybacks Weekly (Sep 6th): Tencent, Meituan, AIA

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 6th 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), Meituan (3690 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), Meituan (3690 HK).

ASX Short Interest Weekly (Aug 30th): Fortescue, Woodside Energy, National Australia Bank, Westpac

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Aug 30th (reported today) which has an aggregated short interest worth USD25.3bn.
  • 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 Energy, National Australia Bank, Westpac, Aurizon, CSL, Bluescope Steel.

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Sep 04
0

Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Aug 30th): Samsung Electronics and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Aug 30th): Samsung Electronics, Hlb, Yuhan

KRX Short Interest Weekly (Aug 30th): Samsung Electronics, Hlb, Yuhan

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Aug 30th which has an aggregated short interest worth USD5.1bn.
  • 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 Samsung Electronics, Hlb, Yuhan.

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Sep 02
0

Daily Brief Quantitative Analysis: KRX Foreign Holding Weekly (Aug 30th): Sk Hynix and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Foreign Holding Weekly (Aug 30th): Sk Hynix, Samsung Electronics
  • TWSE Short Interest Weekly (Aug 30th): Ctbc Financial, Century Iron And Steel Industrial
  • TWSE Foreign Holding Weekly (Aug 30th): Mega Financial Holding, TSMC

KRX Foreign Holding Weekly (Aug 30th): Sk Hynix, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Aug 30th which has an aggregated holding worth USD581.5bn.
  • We estimate that foreign flows to be outflows of USD1,386mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign changes in Sk Hynix (000660 KS), Samsung Electronics (005930 KS).

TWSE Short Interest Weekly (Aug 30th): Ctbc Financial, Century Iron And Steel Industrial

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Aug 30th which has an aggregated short interest worth USD20.7bn.
  • 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 Ctbc Financial, Century Iron And Steel Industrial, Bizlink Holding, Jinan Acetate Chemical, Lotus Pharmaceutical.

TWSE Foreign Holding Weekly (Aug 30th): Mega Financial Holding, TSMC

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Aug 30th which has an aggregated holding worth USD966.3bn.
  • We estimate that foreign flows to be outflows of USD1,127mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
  • We highlight foreign holding changes in Mega Financial Holding, TSMC, Ctbc Financial Holding, Quanta Computer, Hon Hai Precision Industry.

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