Quantitative Analysis

• We analyzed the changes in short interest of KRX Stocks as of Jun 14th which has an aggregated short interest worth USD5.8bn.
• 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 L&F, Samsung SDI, Samsung C&T, Sk Hynix, Hyundai Motor.

• Dissertation findings show that earnings event risk premium for single stocks makes straddles punitive to own
• Discussion on inflated S&P 500 implied volume levels before macro events like CPI, nonfarm payrolls report, and FOMC meetings
• Recent work on implied dividends shows very little risk premium in dividends, market charging almost nothing for bearing risk of disappointing dividends

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• The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.
• Last week saw NORTHBOUND net SELL RMB 21.9bn of A-shares. NORTHBOUND bought tech and sold everything else, especially consumer names. Kweichow Moutai, Midea, appliances and renewables.
• Ongoing questions as to whether the NORTHBOUND volumes to the buy side are all foreigners. Some suspect there is national team buying mixed in, as was expected from earlier announcements.

• The New/Better A-H Premium Tracker has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.
• SOUTHBOUND’s buy streak continues unabated. NORTHBOUND was heavy to sell. Only Tech bought. Consumer sold heavily.
• AH Premia lowish in 52-week range, but still high for many pairs. I continue to expect further “convergence” among spreads.

• SOUTHBOUND was again a net buyer, for HK$27.0bn this week, on small two-way volumes. Energy, banks, utilities, tech all saw inflows. 
• It is not clear how much of this is H/A discounts, expected dividend tax removal, KPIs for SOE CEOs to raise prices and payout ratios, or upcoming Third Plenum policy…
• But valuations are acceptable. Flows are good. Policy changes are afoot. SOUTHBOUND may continue to see inflows – national team and otherwise.

• We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of June 14th.
• We estimate the weekly outflows to be US$3,126.0 million, led by consumer staples, consumer discretionary, financials, and offset by information technology.
• We highlight flows for CATL, Mindray, Luxshare Precision, Shanxi Xinghuacun Fen Wine Factory, China Citic Bank, Moutai, Bank Of Communications, Wuliangye, China Yangtze Power, Midea.

• We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of June 14th.
• The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
• We highlight flows for China Mobile, BOC, CNOOC, China Shenhua Energy, CCB.

• We analyzed the changes in foreign holdings of KRX Stocks as of Jun 14th which has an aggregated holding worth USD547.8bn.
• We estimate that foreign flows to be inflows of USD1,575mln. 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, Samsung Electronics, Hanmi Semicon, Kia.

• We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 105.3% as of Jun 14th.
• The average A-H premium changed by 1.6ppt week-on-week, led by consumer discretionary, information technology, financials and offset by consumer staples, utilities, real estate.
• We highlight weekly changes in A-H premium for  China Tourism, CGN Power, Huadian Power, Hua Hong Semi, Huaneng Power.

• We analyzed the changes in short interest of TWSE Stocks as of Jun 14th which has an aggregated short interest worth USD102.4bn.
• 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 Hon Hai, Ctbc Financial, Realtek Semi, TSMC, Lite-On Tech, Asmedia Tech, Asustek Computer.

• We analyzed the changes in foreign holdings of TWSE Stocks as of Jun 14th which has an aggregated holding worth USD4,617.2bn.
• We estimate that foreign flows to be inflows of USD6,436mln. 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 Hon Hai, TSMC, Mediatek, Quanta Computer, Realtek Semi, Evergreen Marine, Ctbc Financial, Eva Airways, Asia Vital, Asmedia Tech.

• We analyzed the changes in short interest of ASX Stocks as of Jun 7th (reported today) 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 Xero, Fortescue, Wisetech Global, BHP, Woodside Energy.

• We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jun 14th 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).

• We analyzed the changes in short interest of KRX Stocks as of Jun 7th which has an aggregated short interest worth USD6.1bn.
• 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 estimate short interest increased by 4.0% WoW and highlight short interest changes in Samsung Electronics.

• We analyzed the changes in short interest of TWSE Stocks as of Jun 7th which has an aggregated short interest worth USD101.7bn.
• 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 Novatek, Eva Airways, Alchip Tech, Realtek Semi, Powerchip Semico, Asustek Computer, Nan Ya Printed.

• We analyzed the changes in foreign holdings of TWSE Stocks as of Jun 7th which has an aggregated holding worth USD4,400.2bn.
• We estimate that foreign flows to be outflows of USD12,832mln. 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 Realtek Semi, Asmedia Tech, Global Unichip, Yang Ming Marine, Tripod Tech, TSMC, Ctbc Financial, Hon Hai, Asustek Computer, Umc.

• We analyzed the changes in foreign holdings of KRX Stocks as of Jun 7th which has an aggregated holding worth USD542.4bn.
• We estimate that foreign flows to be outflows of USD266mln. 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 Alteogen Inc (196170 KS), Naver Corp (035420 KS).

• We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jun 7th 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 Corporation (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), Hang Seng Bank (11 HK).

• We analyzed the changes in short interest of ASX Stocks as of May 31st (reported today) 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 Wisetech Global, Pro Medicus, CSL, IDP Education, Boral, Woodside Energy, Mineral Resource.

• We analyzed the changes in short interest of KRX Stocks as of May 31st which has an aggregated short interest worth USD5.9bn.
• 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 Enchem, Sk Hynix, Samsung Electronics, Doosan Enerbility, Samsung SDI.

• We analyzed the latest HK SFC report for aggregate short position as of May 24th.
• Top short increases and decreases were tabulated for one week and four week period. 
• We highlight short changes in BOC, Petrochina, Li Auto, ICBC, Hkex.

• We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of May 31st.
• The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
• We highlight flows for BOC, CNOOC, Agricultural Bank Of China, Xiaomi Corporation, Petrochina.

• We analyse the changes of A-H premium on 147 stocks over the last week. The average A-H premium was 107.4% as of May 31st.
• The average A-H premium changed by 1.3ppt week-on-week, led by financials, consumer discretionary, health care and offset by information technology.
• We highlight weekly changes in A-H premium for PetroChina, Chinalco, Tsingtao Brewery, Huanneg Power, Huahong Semi, CICC, Ganfeng Lithium.

• We analyzed the changes in short interest of TWSE Stocks as of May 31st which has an aggregated short interest worth USD102.2bn.
• 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 Novatek, Asia Vital, Faraday Tech, Chunghwa Telecom, Ctbc Financial, Evergreen Marine, Mitac, Yang Ming Marine.

• We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of May 31st.
• We estimate the weekly outflows to be US$860.8 million, led by consumer staples, financials, health care, and offset by information technology, materials, utilities.
• We highlight flows for Zijin Mining, China Yangtze Power, Montage Technology, Moutai, CMB.

• We analyzed the changes in foreign holdings of KRX Stocks as of May 31st which has an aggregated holding worth USD515.2bn.
• We estimate that foreign flows to be outflows of USD1,106mln. 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, Doosan Enerbility, Hd Hyundai Elect, Samsung Electronics, Lg Chem, Samsung SDI.

• We analyzed the changes in foreign holdings of TWSE Stocks as of May 31st which has an aggregated holding worth USD4,207.5bn.
• We estimate that foreign flows to be outflows of USD14,520mln. 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 Realtek Semi, Mediatek, Synnex Tech Intl, Asustek Computer, Tripod Tech, TSMC, Hon Hai, Yang Ming Marine, Novatek, Evergreen Marine.

• 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.

• We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on May 31st 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), Hang Seng Bank (11 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), Hang Seng Bank (11 HK).

• We analyzed the changes in short interest of ASX Stocks as of May 24th (reported today) 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 Macquarie, Viva Energy, Wesfarmers, Boral.