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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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Quant Research
Market strength indicators trade
Use market strength indicators cross strategy to backtesting Highlights Difficulty：★★☆☆☆ Use market strength indicators to do the moving average cross investment strategy Advice：We use various technical indicators and strict long & short filter condition to judge the numbers of stocks strength and calculate market long short indicators. Using moving average cross strategy and visualization trading […]
Quant Research
The sweet period of emerging stock to listed stock
We calculate the win rate and return by industry for the emerging market to listed market. As opposed to the company releasing news — the event day study that will apply to the listed market. Key Words：Pre IPO、Sweet Period Highlights Difficulty: ★★☆☆☆ Advice: This article use Python to select and classify data, then implement the […]
Quant Research
Predicting the occurrence of a corporate crisis Logit & Probit
Exploiting the Logit & Probit regression model to analyze the chances of a company’s bankruptcy. Highlights Preface Predicting the future is what every investor wants to pursue, whether it is for the future market or the future of the companies and the industries. Still, there is always uncertainty and randomness in predicting the future, so […]
Quant Research
Prediction of Portfolio Performance
Monte Carlo Simulation Highlights Preface The purpose of Monte Carlo simulation is to estimate the likely outcome of an uncertain event, and it works by modeling the variables of the uncertain event by assuming a probability distribution. Also, each forecast period is constantly recomputing the results with a random set of numbers, resulting in a large […]
Quant Research
Defensive Stocks : Recover After Going Ex-Dividend
Highlights Preface In Taiwan ,our investor have the higher preference for the high yield stock,and high-yield stocks tend to be accompanied by low volatility,that we call low Beta. The Beta value represent the correlation with the broader market,0050is well known in Taiwan ,and the beta is between about one ,It shows that he can reflect […]
Quant Research
Momentum select
along for the ride Highlights Preface we introduce the Momentum trade last time ,now we are going to teach you how to find this stock ,if we are not highly involved the marker,we often found in the news which already price in ,so what we want to do is find the stock automatic.It also can save […]
Quant Research
Momentum trade
use volume indicator to backtesting , using 2618 Highlights Preface Nowadays Momentum trade are frequently used to trade strategy,we often talk about the price-volume relationship .So in this article we are going to talk about this strategy which based on abnormal growing of the trading volume.but this strategy doesn’t have the clear definition.so we write […]
Quant Research
Money Management
Highlights Preface We are strange and familiar with the winning rates, odds, and betting ratios. We often depend on our sentiment to multiply the winning percentage and odds in our hearts and determine the betting ratio of the investment. Therefore, it’s difficult to explain our subjective betting ratio to someone. It is inevitable in investment […]
Quant Research
Performance of TAIEX during Chinese New Year
Return of TAIEX before & after Market Closure Period Highlights Preface Chinese New Year is the most important festival of Chinese society. Traditionally, it is the genuine year-end. Stock market participants would conclude market performance in past year and begin the project targeting upcoming year. Therefore, this article would take Chinese New Year as the […]
Quant Data Science
Pairs Trading
Establish a pairs trading strategy between Evergreen Shipping and Yang Ming Shipping with Python. Highlights Preface When the market capital is excessively flooded, to avoid systemic risks, investors often establish long and short positions at the same time through asset allocation to eliminate most market risks and obtain stable returns. However, we select Evergreen and […]
Quant Research
Brinson Model Performance attribution
Analyze the source of portfolio performance Highlights Preface Portfolio’s performance is affected by many factors. It is not easy for us to clearly distinguish whether the performance is due to the rise in the market, the stock selection ability of traders, or the proper allocation of assets or industries? Therefore, we can use the performance […]
Quant Research
Stock Selection by Random Forest Algorithm
Backtesting and stock-picking strategy with machine learning Highlights Preface To put it simply, random forest is one of algorithms made up of many decision trees with the adoption of bagging and random sampling. Since it’s based on CART algorithm, it can handle both classification and continuous data. Other advantages such as its comparability with high […]