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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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Market Knowledge & Data Guides
Panic or Opportunity? Spotting Market Turning Points Through Margin Maintenance Ratios
In the Taiwan stock market, credit trading (margin buying and short selling) serves as a critical mechanism for observing market leverage and investor sentiment. Unlike institutional investors with ample capital, retail investors often face capital constraints and therefore resort to margin buying to increase their purchasing power. Consequently, margin data serves as a key barometer for retail trading heat. Key indicators for monitoring credit trading include daily margin/short volume, balance, margin utilization rates, and—most crucially—the Margin Maintenance Ratio (MMR). The MMR is a core metric used to assess the risk status of margin accounts and determine how close investors are to a margin call. Brokers set specific MMR thresholds to mitigate default risks during periods of high market volatility.
Market Knowledge & Data Guides
Margin Trading (3)
In the previous article, we introduced how to build indicators with the margin trading database. This article will be the last one of this series, and we will help the readers become familiar with the Day Trading Statistics database and the Balance of Securities Provided as Financing Collateral database.
Market Knowledge & Data Guides
Margin Trading(2)
In this article, we will show you how to export mutilated data with the “Transfer Data” function. Then, we will apply the data in the Margin Trading database to help users select fundamental indicators.
Market Knowledge & Data Guides
Margin Trading (1)
his chapter, [Margin Trading]will be divided into three parts. The first part will guide readers in a simple and unburdened way to learn how to operate the [Margin Trading] database.