Daily Brief Quantitative Analysis: Influence of Monthly Time Patterns on Seasonal Effects in Asian Stock Markets: NKY and HSI and more

In today’s briefing:

Influence of Monthly Time Patterns on Seasonal Effects in Asian Stock Markets: NKY and HSI
Screening for GEMs: November 2023
ASX Short Interest Weekly (Oct 27th): Newcrest Mining, Rio Tinto, Liontown, Bluescope Steel

Influence of Monthly Time Patterns on Seasonal Effects in Asian Stock Markets: NKY and HSI

Numerous studies conducted over the past few decades have researched the “month of the year effect” in global stock markets, and tend to agree that some effects do exist.
Most studies however concur that seasonality, on its own, is a weak predictor of performance. We call these studies “Naïve Seasonality Analysis”, for reasons that we will explain here.
Based on the above premise, in this Smartkarma Original we are going to propose a methodology to improve seasonality research, to identify when specific months can deliver the best returns.

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 analyzed the changes in short interest of ASX Stocks as of Oct 27th (reported today) which has an aggregated short interest worth USD16.8bn.
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 Newcrest Mining, Rio Tinto, Liontown, Bluescope Steel, Endeavour, Suncorp.

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