Category

Quantitative Analysis

Daily Brief Quantitative Analysis: Hong Kong Connect Flows (Aug 9th): Tencent and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Connect Flows (Aug 9th): Tencent, Xiaomi Corporation, CCB, CNOOC, HSBC
  • A-H Premium Weekly (Aug 9th): Asymchem Lab, Shanghai Pharm, China Eastern, Air China, Smic, Hepalink
  • Northbound Flows (Aug 9th): Suzhou Dongshan Precision Manufacturing, Midea, CATL, Zhongji Innolight
  • KRX Foreign Holding Weekly (Aug 9th): Samsung Electronics, Sk Hynix
  • TWSE Foreign Holding Weekly (Aug 9th): TSMC, Hon Hai, Quanta Computer, Unimicron Tech, Mediatek
  • TWSE Short Interest Weekly (Aug 9th): Hon Hai, Quanta Computer, TSMC, Elite Material, Asia Vital


Hong Kong Connect Flows (Aug 9th): Tencent, Xiaomi Corporation, CCB, CNOOC, HSBC

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of August 9th.
  • 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, Xiaomi Corporation, CCB, CNOOC, HSBC.

A-H Premium Weekly (Aug 9th): Asymchem Lab, Shanghai Pharm, China Eastern, Air China, Smic, Hepalink

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 144 stocks over the last week. The average A-H premium was 112.4% as of Aug 9th.
  • The average A-H premium changed by 1.5ppt week-on-week, led by consumer discretionary, information technology, energy and offset by utilities, health care.
  • We highlight weekly changes in A-H premium for Asymchem Lab, Shanghai Pharm, China Eastern, Air China, Smic, Hepalink, WuXi AppTec, Pharmaron, Hangzhou Tiger.

Northbound Flows (Aug 9th): Suzhou Dongshan Precision Manufacturing, Midea, CATL, Zhongji Innolight

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of August 9th.
  • We estimate the weekly outflows to be US$2,018.4 million, led by information technology, consumer discretionary, financials, and offset by health care, consumer staples, utilities.
  • We highlight flows for Suzhou Dongshan Precision Manufacturing, Midea, CATL, Zhongji Innolight.

KRX Foreign Holding Weekly (Aug 9th): Samsung Electronics, Sk Hynix

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Aug 9th which has an aggregated holding worth USD518.5bn.
  • We estimate that foreign flows to be outflows of USD1,842mln. 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 Samsung Electronics (005930 KS), Sk Hynix (000660 KS).

TWSE Foreign Holding Weekly (Aug 9th): TSMC, Hon Hai, Quanta Computer, Unimicron Tech, Mediatek

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Aug 9th which has an aggregated holding worth USD914.4bn.
  • We estimate that foreign flows to be outflows of USD1,693mln. 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 TSMC, Hon Hai, Quanta Computer, Unimicron Tech, Mediatek, Wiwynn.

TWSE Short Interest Weekly (Aug 9th): Hon Hai, Quanta Computer, TSMC, Elite Material, Asia Vital

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Aug 9th which has an aggregated short interest worth USD18.6bn.
  • 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 Hon Hai, Quanta Computer, TSMC, Elite Material, Asia Vital, Gigabyte Tech, Zhen Ding Tech, Tcc Group Holdin, Global Unichip.

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Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Aug 9th): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Aug 9th): Aia, Hang Seng Bank, Swire Pacific


Hong Kong Buybacks Weekly (Aug 9th): Aia, Hang Seng Bank, 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 9th 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), Hang Seng Bank (11 HK), Swire Pacific (19 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Meituan (3690 HK), AIA (1299 HK), Tencent (700 HK).

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Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Aug 2nd): Westgold Resourc and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Aug 2nd): Westgold Resourc, Seek, Paladin Energy, Fortescue, ANZ, Altium


ASX Short Interest Weekly (Aug 2nd): Westgold Resourc, Seek, Paladin Energy, Fortescue, ANZ, Altium

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Aug 2nd (reported today) which has an aggregated short interest worth USD20.4bn.
  • 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 Westgold Resourc, Seek, Paladin Energy, Fortescue, ANZ, Altium.

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Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Aug 2nd): Sk Hynix and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Aug 2nd): Sk Hynix, Korea Aerospace, Posco


KRX Short Interest Weekly (Aug 2nd): Sk Hynix, Korea Aerospace, Posco

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Aug 2nd which has an aggregated short interest worth USD5.4bn.
  • 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 Sk Hynix, Korea Aerospace, Posco.

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Daily Brief Quantitative Analysis: HK Short Interest Weekly: Tracker Fund and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Tracker Fund, AIA, Hisense Ha, China Res Beer
  • TWSE Short Interest Weekly (Aug 2nd): Quanta Computer, Evergreen Marine, TSMC, Elite Material
  • TWSE Foreign Holding Weekly (Aug 2nd): Umc, TSMC, Hon Hai, Mediatek, Quanta Computer, Unimicron Tech
  • A-H Premium Weekly (Aug 2nd):Livzon Pharm, Asymchem Lab, Shanghai Pharm, Hangzhou Tigermed
  • KRX Foreign Holding Weekly (Aug 2nd): Hyundai Glovis, Woori Financial, Korea Aerospace
  • Northbound Flows (Aug 2nd): Wanhua Chemical, Moutai, CATL, Fuyao Glass Industry, Haier Smart Home
  • Hong Kong Connect Flows (Aug 2nd): Tencent, China Petroleum & Chemical Corporation, Power Assets


HK Short Interest Weekly: Tracker Fund, AIA, Hisense Ha, China Res Beer

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 26th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Tracker Fund, AIA, Hisense Ha, China Res Beer.

TWSE Short Interest Weekly (Aug 2nd): Quanta Computer, Evergreen Marine, TSMC, Elite Material

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Aug 2nd which has an aggregated short interest worth USD19.4bn.
  • 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 Quanta Computer, Evergreen Marine, TSMC, Elite Material, Wiwynn, Gigabyte Tech, Chunghwa Telecom, Global Unichip, Innolux.

TWSE Foreign Holding Weekly (Aug 2nd): Umc, TSMC, Hon Hai, Mediatek, Quanta Computer, Unimicron Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Aug 2nd which has an aggregated holding worth USD902.6bn.
  • We estimate that foreign flows to be outflows of USD2,923mln. 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 Umc, TSMC, Hon Hai, Mediatek, Quanta Computer, Unimicron Tech.

A-H Premium Weekly (Aug 2nd):Livzon Pharm, Asymchem Lab, Shanghai Pharm, Hangzhou Tigermed

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 145 stocks over the last week. The average A-H premium was 110.9% as of Aug 2nd.
  • The average A-H premium changed by -0.6ppt week-on-week, led by utilities, energy, financials and offset by consumer staples, real estate, information technology.
  • We highlight weekly changes in A-H premium for Livzon Pharm, Asymchem Lab, Shanghai Pharm, Hangzhou Tigermed, Goldwind Science.

KRX Foreign Holding Weekly (Aug 2nd): Hyundai Glovis, Woori Financial, Korea Aerospace

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Aug 2nd which has an aggregated holding worth USD547.0bn.
  • We estimate that foreign flows to be inflows of USD1,687mln. 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 Hyundai Glovis, Woori Financial, Korea Aerospace, Samsung Biologic, Sk Hynix.

Northbound Flows (Aug 2nd): Wanhua Chemical, Moutai, CATL, Fuyao Glass Industry, Haier Smart Home

By Ke Yan, CFA, FRM

  • We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of August 2nd.
  • We estimate the weekly inflows to be US$486.3 million, led by financials, health care, utilities sectors, and offset by consumer discretionary, materials, consumer staples.
  • We highlight flows for Wanhua Chemical, Moutai, CATL, Fuyao Glass Industry, Haier Smart Home.

Hong Kong Connect Flows (Aug 2nd): Tencent, China Petroleum & Chemical Corporation, Power Assets

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of August 2nd.
  • 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, China Petroleum & Chemical Corporation, BOC, Power Assets, HSBC, China Mobile.

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Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Aug 2nd): Aia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Aug 2nd): Aia, Meituan, Hsbc
  • Hong Kong Connect Flows (July): 11 Months of Inflows
  • Northbound Flows (July): Two Months of Outflows


Hong Kong Buybacks Weekly (Aug 2nd): Aia, Meituan, Hsbc

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 2nd 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), Meituan (3690 HK), HSBC (5 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Meituan (3690 HK), Tencent (700 HK), AIA (1299 HK).

Hong Kong Connect Flows (July): 11 Months of Inflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Hong Kong Connect flows with our data engine.
  • We tabulate the top stocks by inflows, outflows, and holding by mainland investors.
  • We highlight inflows into ICBC, Tencent, CCB, Yankuang, Sinopec, and outflows from HSBC, Meituan, HKEx, China Hongqiao, CNOOC. 

Northbound Flows (July): Two Months of Outflows

By Ke Yan, CFA, FRM

  • We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
  • Consumer Staples ($962 million worth of outflows), Consumer Discretionary ($561 million worth of outflows) led the outflows (first chart below).
  • We highlight monthly outflows for CATL, Zhongji, Moutai, Wuliangye, Mindray.

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Daily Brief Quantitative Analysis: ASX Short Interest Weekly (Jul 26th): Woodside Energy and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • ASX Short Interest Weekly (Jul 26th): Woodside Energy, Fortescue, ANZ, CSL, Altium, Telstra
  • Screening for GEMs: August 2024


ASX Short Interest Weekly (Jul 26th): Woodside Energy, Fortescue, ANZ, CSL, Altium, Telstra

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of ASX Stocks as of Jul 26th (reported today) which has an aggregated short interest worth USD20.3bn.
  • 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 Woodside Energy, Fortescue, ANZ, CSL, Altium, Telstra.

Screening for GEMs: August 2024

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 top 100 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 3 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.

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Daily Brief Quantitative Analysis: KRX Short Interest Weekly (Jul 26th): Shinhan Financia and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • KRX Short Interest Weekly (Jul 26th): Shinhan Financia, Amorepacific, Kb Financial, Skc, Posco


KRX Short Interest Weekly (Jul 26th): Shinhan Financia, Amorepacific, Kb Financial, Skc, Posco

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of KRX stocks as of Jul 26th which has an aggregated short interest worth USD5.5bn.
  • 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 Shinhan Financia, Amorepacific, Kb Financial, Hana Financial, Skc, Posco.

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Daily Brief Quantitative Analysis: HK Short Interest Weekly: Ping An and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • HK Short Interest Weekly: Ping An, Meituan, China Mobile, HSBC, Haidilao, Picc P&C, Gwmotor, Psbc
  • Hong Kong Connect Flows (Jul 26th): Tencent, China Petroleum & Chemical Corporation, Meituan
  • TWSE Foreign Holding Weekly (Jul 26th): Gigabyte Tech, TSMC, Quanta Computer, ASE, Mediatek
  • Northbound Flows (Jul 26th): Zijin Mining, Moutai, Zhongji Innolight, Wuliangye, Boe Technology
  • KRX Foreign Holding Weekly (Jul 26th): Sk Hynix, Samsung Electronics
  • A-H Premium Weekly (Jul 26th):Asymchem, Livzon Pharm, Shanghai Pharm, Pharmaron
  • TWSE Short Interest Weekly (Jul 26th): Auo, Wiwynn, Ctbc Financial, Global Unichip, Faraday Tech


HK Short Interest Weekly: Ping An, Meituan, China Mobile, HSBC, Haidilao, Picc P&C, Gwmotor, Psbc

By Ke Yan, CFA, FRM

  • We analyzed the latest HK SFC report for aggregate short position as of Jul 19th.
  • Top short increases and decreases were tabulated for one week and four week period. 
  • We highlight short changes in Ping An, Meituan, China Mobile, HSBC, Haidilao, Picc P&C, Gwmotor, Psbc.

Hong Kong Connect Flows (Jul 26th): Tencent, China Petroleum & Chemical Corporation, Meituan

By Ke Yan, CFA, FRM

  • We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of July 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 Tencent, China Petroleum & Chemical Corporation, Meituan.

TWSE Foreign Holding Weekly (Jul 26th): Gigabyte Tech, TSMC, Quanta Computer, ASE, Mediatek

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of TWSE Stocks as of Jul 26th which has an aggregated holding worth USD924.5bn.
  • We estimate that foreign flows to be outflows of USD1,653mln. 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 Gigabyte Tech, TSMC, Quanta Computer, ASE, Mediatek.

Northbound Flows (Jul 26th): Zijin Mining, Moutai, Zhongji Innolight, Wuliangye, 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 July 26th.
  • We estimate the weekly outflows to be US$1,578.2 million, led by consumer staples, information technology, financials, and offset by consumer discretionary, health care, utilities.
  • We highlight flows for Zijin Mining, Moutai, CATL, Zhongji Innolight, Wuliangye, Boe Technology.

KRX Foreign Holding Weekly (Jul 26th): Sk Hynix, Samsung Electronics

By Ke Yan, CFA, FRM

  • We analyzed the changes in foreign holdings of KRX stocks as of Jul 26th which has an aggregated holding worth USD549.0bn.
  • We estimate that foreign flows to be outflows of USD854mln. 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).

A-H Premium Weekly (Jul 26th):Asymchem, Livzon Pharm, Shanghai Pharm, Pharmaron

By Ke Yan, CFA, FRM

  • We analyse the changes of A-H premium on 145 stocks over the last week. The average A-H premium was 111.5% as of Jul 26th.
  • The average A-H premium changed by 3.6ppt week-on-week, led by utilities, information technology, financials and offset by consumer staples, communication services.
  • We highlight weekly changes in A-H premium for Asymchem Labor, Livzon Pharm, Shanghai Pharm, Pharmaron Beij, Hua Hong Semi, CICC.

TWSE Short Interest Weekly (Jul 26th): Auo, Wiwynn, Ctbc Financial, Global Unichip, Faraday Tech

By Ke Yan, CFA, FRM

  • We analyzed the changes in short interest of TWSE Stocks as of Jul 26th which has an aggregated short interest worth USD19.5bn.
  • 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 Auo, Wiwynn, Yageo, Ctbc Financial, Global Unichip, Faraday Tech.

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Daily Brief Quantitative Analysis: Hong Kong Buybacks Weekly (Jul 26th): Meituan and more

By | Daily Briefs, Quantitative Analysis

In today’s briefing:

  • Hong Kong Buybacks Weekly (Jul 26th): Meituan, Aia, Hsbc


Hong Kong Buybacks Weekly (Jul 26th): Meituan, Aia, Hsbc

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 26th based on HKEx daily reports.
  • In the past 7 days, the top 3 companies that repurchased the most shares from the market were Meituan (3690 HK), AIA (1299 HK), HSBC (5 HK).
  • In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Meituan (3690 HK), AIA (1299 HK).

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