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China Quantitative Strategy: QuantChina: A/H Premium Strategy
Source: ny.matrix.ms.com
Article summary:
1. A/H premium has narrowed by 12% since Nov-22 as China offshore equities outperformed onshore.
2. A/H premium can be used to look for cross-sectional alpha, and trading horizon of less than a month is the most profitable even after costs.
3. A/H premium tends to widen post risk rally in a market cycle, and consensus revisions leadership tends to bring A/H premium lower.
Article analysis:
The article provides an overview of the “AH Anomaly” in China, which is the persistent large premium of A-shares over H-shares among dual-listed companies. The article then goes on to discuss four insights about China AH Premium that investors should consider when looking for alpha opportunities from this anomaly.
The article appears to be well researched and provides detailed information about the AH Anomaly and potential strategies for monetizing it. However, there are some potential biases that should be noted. For example, the article does not explore any counterarguments or alternative perspectives on the AH Anomaly or strategies for monetizing it. Additionally, while the article does provide evidence for its claims, it does not provide any evidence that contradicts its claims or explores any possible risks associated with investing in A/H dual-listing issuers with low A/H premiums. Furthermore, while the article does provide some data from FactSet and Bloomberg, it does not provide any data from other sources that could help verify its claims or provide additional context for understanding them.
In conclusion, while this article appears to be well researched and provides useful information about the AH Anomaly and potential strategies for monetizing it, there are some potential biases that should be noted when considering its trustworthiness and reliability.