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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
Two-Factor weights portfolio setting
Does the weights setting affects the performance of the two-factor portfolio? Preface The common weights settings are equal-weighted and capitalization-weighted. The former treats all factors as the same, assigns equal weights to different factors, and synthesizes new factor values; the latter weights individual factors with capitalization-weighted to synthesize new factor values at first, assign different […]
Quant Research
XGBoost Algorithm Predicts Returns (Part 2)
Use algorithm to learn the investment factors and predict returns. Highlights Preface We talked about how to create new enviornment and install XGBoost last time. If you haven’t read it yet, please click this link. In this article we will make some preprocessing on data. Then train the model to predict the stock returns and try […]
Quant Research
Stocks Selection by ESG Factors
Observe the relation between employee turnover rate and stocks return Highlights Preface In recent years, there’s an investment called ESG investing, meaning when investing, the firm’s financial performance is not the only thing to be considered. Instead, its influence over environment and society and its corporate governance should be stressed as well. There are no […]
Quant Research
Backtesting by MACD Indicator
Use free database to do backtesting Highlights Preface MACD, standing for moving average convergence divergence, can be used to identify the medium-term and long-term trend of stock price. If the fast line (DIF) crosses from below to above the slow line(MACD), indicating there’s an upside momentum. On the contrary, when the fast line crosses from […]
Quant Research
Martingale Strategy
The gambling trading strategy. Highlights Preface 「Martingale Strategy」is a popular way of gambling since 18th century. The main method is to double the next bet when we lose this time. By this strategy, if we win the next bet, not only recover previous losses, but also get rewards for the first bet. It sound like […]
Market Knowledge & Data Guides
Do Seasoned Equity Offerings Affect Taiwan Stock Prices? Evidence from Event Study Analysis
Seasoned Equity Offerings Are Not Just Fundraising —They May Also Affect Market Confidence Seasoned equity offerings are a common way for listed companies to raise capital. When companies need funding, they may issue new shares to the market instead of relying only on bank loans or corporate bonds. The proceeds can be used for capacity […]
Quant Research
Jim Slater’s Zulu Principle
To construct a portfolio based on Jim Slater’s principle Preface Jim Slater is one of the well-known U.K. investors. He used to write column articles of portfolio recommendation for Sunday Telegraph and was famous for earning around 68.9% return during the period between 1963 to 1965, while the U.K. stock market only grew at 3.6% […]
Quant Research
Warren E. Buffett’s Value Investing
Stock screening from Buffett’s investing principles. Preface Warren E. Buffett is the person who has made the most money from stocks in the history of the world. He returned to Omaha in 1956 and started with $100. As of August 1999, his total personal assets have reached $36 B, becoming the second richest person in […]
Quant Research
Trading Strategy by Keeping an Eye on Big Players
Chip analysis and backtesting using TEJ API trial database Preface Generally speaking, big players such as institutional investors, insiders or other investors holding large amounts of shares have information advantages over retail investors. Thus, they are more likely to select stocks with potential growth and distance themselves from risky stocks. To decrease this kind of […]
Quant Research
The investment strategy of Trinity Investment Management
Fulfill the investing strategy of Trinity Investment Management through python. Preface Trinity Investment Management, founded in 1974, was only provided investment research advice for investment institutional clients, and it has managed investment portfolios for clients since 1980. In 1999, it became a member of Oppenheimer Funds, Inc., one of the largest mutual fund and investment […]
Quant Research
Roger E. King’ s investing strategy
Fulfill Roger E. King’ s investing strategy through python. Preface Roger E. King is a well-known value fund manager in the United States. He used to be the senior vice president and chief investment officer of Sun Insurance Services and senior vice president of GULFCO Investment Management. He founded King Investment Advisors Inc. in 1981. […]
Quant Research
The investing strategy of Benjamin Graham—the founder of securities analysis
Using Python to fulfill the investing strategy of Benjamin Graham meanwhile backtesting it in the Taiwan stock market. Preface — who is Benjamin Graham? We will introduce the defensive investing strategy which was created by Benjamin Graham — master of value investing. Benjamin Graham is the recognized pioneer of securities analysis. His first private fund […]