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
- 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
- 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
- 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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