Insights

In-depth research and data-driven insights on quantitative finance, factor investing, risk, and ESG from the TEJ research team.

Trending

Editor's picks from our research desk.

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".

more

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.

more

Empirical Research on Behavioral Factors in the Taiwan Stock Market: A Case Study of the Share Distribution

In an AI-driven Taiwan stock market, mastering chip distribution (ownership structure) is the key to profitability. This study delves into the Share Distribution data from the TDCC, transforming 15 tiers of shareholding data into behavioral finance factors such as investor attention, opinion dispersion, and retail speculation. By utilizing Fama–MacBeth two-stage regression and the alphalens-tej quantitative tool, we precisely validate the predictive power of psychological biases on stock returns, providing investors with actionable Alpha strategies and robust risk management solutions.

more

Insights

Browse all articles by topic.

Quant Research

The Momentum Strategy — Does the Trend Remain?

The article delves into the performance of momentum strategy under different take-profit and stop-loss conditions, analyzing how to balance risk and reward in a highly volatile market using actual backtesting data.

2024.08.23 more
Quant Research

SuperTrend Strategy: Buy Low, Sell High to Profit from Market Swings

The SuperTrend Indicator is a technical analysis tool used to identify trends in financial markets. It assists investors in determining relative high and low points during market swings, helping them make buy and sell decisions. However, one drawback of the SuperTrend Indicator is its tendency to be less effective during consolidation phases. To address this, we will use the Average Directional Index (ADX) to optimize the SuperTrend strategy in this article.

2024.08.21 more
Industry Insights

AI Infrastructure — Another Growth Opportunity For Electronic Manufacturing Services Industry!

With the vigorous development of big data applications and cloud computing, Cloud Service Providers (CSPs) are actively constructing data centers, driving growth in the server market. Especially after OpenAI launched ChatGPT, opportunities in the GenAI sector have flourished, sparking a wave of AI infrastructure development. AI servers, in particular, have seen significant hardware improvements compared to normal servers, even adopting new technologies that increase integration and testing complexity. Some assembly factories, leveraging their technical expertise, have successfully tapped into the AI boom, opening up a new growth opportunity for the EMS (Electronic Manufacturing Services) industry.

2024.07.18 more
Factor Investing

Stock Selection Factors Research: Combining Insider Ownership and Momentum Factors

In recent years, as the stock prices of popular AI companies continue to reach new highs, investors are increasingly focused not only on these companies’ operational status but also on the trading behavior of their insiders. Company insiders have more information compared to external investors, giving them an informational advantage when trading the company’s stock.

2024.07.15 more
Quant Research

Block Trade Strategy Achieves Performance Beyond The Market Index

In recent times, there has been a global surge in AI, with Taiwan’s electronics industry attracting a lot of interest from institutional investors due to its comprehensive supply chain. In addition to trading stocks through conventional methods on stock exchange markets, investors can also utilize block trading offered by exchanges for transactions exceeding a fixed amount.

2024.07.08 more
Quant Research

F-score Strategy: Identifying Undervalued Quality Stocks

Joseph Piotroski’s F-score strategy, based on evaluating 9 financial conditions, helps investors gain insights into a company’s profitability, safety, and growth potential. This article uses TQuant Lab to construct the F-score strategy, helping investors gain deeper insights into the investment benefits that the F-score can offer.

2024.06.21 more
Quant Research

Trend-Following Strategy: A Trading Method Used by Fund Managers

Over the past two decades, trend-following has been a successful trading strategy used by many fund managers, professional traders, and global macro hedge funds to profit in global futures markets. Recently, the application of trend following strategies to stocks has gained significant attention, with a surge in published research and articles. Increasingly, literature suggests that the trend effects observed in futures markets can similarly apply to stock markets.

2024.06.12 more
Quant Research

Understanding Default Risk and Credit Risk in Bond Investing

Bonds are a vital part of any effective investment portfolio, providing stable cash flow. Despite their generally secure returns, bonds come with risks, primarily default and credit risks. Even sovereign bonds can face bankruptcy risks, making it crucial to assess these risks before investing. Understanding these risks helps investors make informed decisions and manage their portfolios effectively.

2024.06.07 more
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.

2024.05.29 more
Quant Research

Insider Transfer Strategy: A Solution to Timing Difficulties

The insider transfer strategy was constructed by adding the RSI indicator to the timing of insider transfers, aiming to explore whether following insiders into the market in a constantly rising stock market has good timing capabilities. The performance of insider transfer strategy is also backtested in this article.

2024.05.21 more
Quant Research

Should we Buy Measuring Stocks? Backtest performance of measuring stocks

This article selects disposal stocks as investment targets and uses TQuant Lab to conduct backtest performance analysis of buy, sell, and hold targets to confirm whether the investment strategy of popular stocks is a profitable and well-performing target.

2024.03.29 more
Quant Research

Is There an Olympic Market Trends? Analyzing the market trends of Taiwanese stocks and industrial stocks during the Olympic Games Using TEJ API

By analyzing the stock price performance of the market and related industries during the past three Olympic Games, we can reveal the Olympic market trends of the stock market during the events.

2024.03.22 more