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.
Insights
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Factor Investing
Discovering Investment Factors through Point-in-Time Audited Financial Database
This study employs TEJ’s Point-in-Time Audited Financial Database to construct a composite factor for stock selection in Taiwan’s equity market. By preserving financial data exactly as available at each historical moment, the framework avoids look-ahead bias and ensures empirical reliability. We find that higher-ranked portfolios deliver significant short-term excess returns, while predictive power weakens over longer horizons. The results highlight the practical value of Point-in-Time financial data for quantitative factor investing and underscore its role in building replicable, data-driven investment strategies.
Market Knowledge & Data Guides
TEJ Point-in-Time Audited Financial Database – Rejecting “Peek-ahead” Backtesting
TEJ PIT Audited Financial Database eliminates look-ahead and survivorship bias with Point-in-Time data, full version retention, IFRS alignment, and 300+ ready-to-use ratios—delivering reliable backtesting and faster strategy development.
Market Knowledge & Data Guides
Optimal Capital Structure：How to Minimize Your Company’s Cost of Capital
For all companies, there are two simple methods to increase their value, Revenue up and Cost down. While growth companies typically focus on revenue expansion, value companies often shift their focus to cost reduction, especially through optimizing their capital structure. By finding the optimal capital structure, companies can reduce their cost of capital, thus improving profitability.
Quant Data Science
SVM Model
Apply Financial Data to Predict Stock Price Fluctuation Highlights Preface Support Vector Machine, short as SVM, is a machine learning algorithm based on Statistics theorem. It is widely used in data classifier and regression. As for this article, we would focus on Classifier. Simply put, classification of SVM is conducted by draw straight or irregular […]
Quant Data Science
Obtain Financial Data
Demonstrate how to get data from TEJ API financial database Preface Financial data is the information firms disclose each season, or financial indicators based on that information. Common financial data mainly comes from balance sheets, income statements or cash flow statements. Besides, TEJ API financial database also includes more comprehensive information such as financial ratios, related […]
Quant Data Science
Customize your own financial dashboard
Building the financial dashboard through python. ( the top 5 buy list of the foreign & other investors, and combine the trading volume of foreign investors with the stock price.) Preface We have introduced some functions of the most-used python packages such as matplotlib, numpy, and pandas in previous articles. In this episode, we will further […]