Insights
In-depth research and data-driven insights on quantitative finance, factor investing, risk, and ESG from the TEJ research team.
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Fundamental Factor Research: Monthly Revenue Information – part1
The Taiwan equity market possesses a rare institutional advantage globally: under the Securities and Exchange Act, listed companies are required to announce and report their operational results for the preceding month by the 10th of each month (Exception: starting from FY2026, insurance companies and entities with insurance subsidiaries may extend their disclosure deadline to the 15th of each month). This is commonly referred to in the market as "Monthly Revenue".
Factor Strategy – Integrating Broker Consensus to Enhance Foreign Concentration Strategies – QFII Part 2
Boost your quantitative strategy with QFII concentration & broker consensus! Discover how the conc_qfii fusion strategy delivers a 30.12% annualized return in the Taiwan large-cap market.
Factor Research – Tracking Smart Money Footprints via Foreign Institutional Concentration – QFII Part 1
Track QFII ‘smart money’ footprints in Taiwan large-cap stocks! Learn how the Foreign-Institutional Trading Concentration (conc_qfii) factor predicts returns.
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Quant Research
ETF Premium-Discount Arbitrage: Market Maker vs. Retail Performance
Market makers, equipped with high-frequency trading capabilities, institutional-grade cost structures, and real-time creation/redemption privileges, are the primary participants in ETF premium–discount arbitrage. In contrast, Non-Institutional Participants face multiple constraints—including information latency and higher transaction frictions—which make it difficult to capture arbitrage opportunities promptly or profitably.
Quant Research
The Gospel for Dividend Investors? Backtesting Performance of High Dividend ETF
As the name suggests, high dividends refer to companies distributing higher profits to investors in the form of cash dividends. There is no specific definition of how much dividend constitutes a high dividend. This article will utilize TQuant Lab to conduct a backtesting performance analysis of buying and holding High Dividend ETF.
Event & Alternative Signals
Should ESG ETF Be a Buy? Backtest Performance of ESG ETF
ESG is an important indicator for evaluating a company’s sustainable development and is also one of the important issues that investors pay attention to. Environmental risks are an issue that the world must pay attention to. Both investors and social groups have begun to supervise companies’ or governments’ response measures to environmental risks. This article will buy-and-hold ESG ETF and backtest risk and performance.
Industry Insights
Unprecedented Inverted Yield Curve Spurs Popularity in Bond ETFs
How does an inverted yield curve cause a rise in bond ETFs? Do you know how Bond ETFs works before you put your money in?
Quant Research
National Stabilization Fund Performances
An Introduction to National Stabilization Fund and its hot stocks’ performances Keyword：Quant analysis、National Stabilization Fund、Protection Performance Highlights Difficulty: ★☆☆☆☆ Preface In 2022, under the unstable background caused by the Ukrainian-Russian War and high inflation, rising prices suppressed consumers’ purchasing power, which made a great influence on companies’ profits. As a result of this, people were […]