{"id":3595,"date":"2026-09-02T10:35:37","date_gmt":"2026-09-02T10:35:37","guid":{"rendered":"https:\/\/www.tejwin.com\/en\/insights\/monthly-revenue-info-part2\/"},"modified":"2026-10-06T08:38:15","modified_gmt":"2026-10-06T08:38:15","slug":"monthly-revenue-info-part2","status":"publish","type":"insight","link":"https:\/\/www.tejwin.com\/en\/insights\/monthly-revenue-info-part2\/","title":{"rendered":"Fundamental Factor Research: Monthly Revenue Information &#8211; part2"},"content":{"rendered":"<figure class=\"wp-block-image size-large\"><img loading=\"lazy\" decoding=\"async\" alt=\"\" class=\"wp-image-48994\" height=\"707\" src=\"https:\/\/www.tejwin.com\/en\/wp-content\/uploads\/2026\/09\/kelly-sikkema-G_91H-3qZOA-unsplash-E69C88E7879FE694B6-part-2.jpg\" width=\"1024\"\/><\/figure>\n<p class=\"has-text-align-center wp-block-paragraph\">Photo by <a href=\"https:\/\/unsplash.com\/@kellysikkema?utm_source=unsplash&amp;utm_medium=referral&amp;utm_content=creditCopyText\" rel=\"noopener\" target=\"_blank\">Kelly Sikkema<\/a> on <a href=\"https:\/\/unsplash.com\/photos\/white-printer-papers-G_91H-3qZOA?utm_source=unsplash&amp;utm_medium=referral&amp;utm_content=creditCopyText\" rel=\"noopener\" target=\"_blank\">Unsplash<\/a><\/p>\n<h2 class=\"wp-block-heading\"><strong>Quantitative Strategy and Backtesting Results<\/strong><\/h2>\n<p class=\"wp-block-paragraph\">Based on preceding results, SURPS3MTA demonstrates clear return monotonicity and significant long-short portfolio Alpha. REVOPY possesses strong ranking predictive power distributed across the full cross-section. This study evaluates 7 backtesting strategies utilizing these two factors plus MOM52WH to test real-world execution feasibility and multi-factor fusion value.<\/p>\n<h3 class=\"wp-block-heading\"><strong>Strategy Definitions<\/strong><\/h3>\n<p class=\"wp-block-paragraph\">All seven strategies share identical construction rules, differing solely in ranking score sources. Each factor ranks stocks cross-sectionally; higher factor values yield higher ranking scores. Single-factor strategies directly adopt factor ranking scores; multi-factor strategies sum component factor ranking scores into a composite score. The top 50 stocks with highest composite scores within the pool are selected and equal-weighted.<\/p>\n<p class=\"wp-block-paragraph\"><strong>Table 3-11: Definitions of Seven Strategies<\/strong><\/p>\n<figure class=\"wp-block-table\">\n<table class=\"has-background has-fixed-layout\" style=\"background-color:#e3effa\">\n<tbody>\n<tr>\n<td><strong>Strategy<\/strong><\/td>\n<td><strong>Portfolio Level<\/strong><\/td>\n<td><strong>Ranking Score<\/strong><\/td>\n<\/tr>\n<tr>\n<td>(1) SURPS3MTA<\/td>\n<td>Single-Factor<\/td>\n<td>SURPS3MTA Ranking Score<\/td>\n<\/tr>\n<tr>\n<td>(2) REVOPY<\/td>\n<td>Single-Factor<\/td>\n<td>REVOPY Ranking Score<\/td>\n<\/tr>\n<tr>\n<td>(3) MOM52WH<\/td>\n<td>Single-Factor<\/td>\n<td>MOM52WH Ranking Score<\/td>\n<\/tr>\n<tr>\n<td>(4) SURPS+OPY<\/td>\n<td>Dual-Factor<\/td>\n<td>SURPS3MTA + REVOPY Ranking Score Sum<\/td>\n<\/tr>\n<tr>\n<td>(5) SURPS+MOM<\/td>\n<td>Dual-Factor<\/td>\n<td>SURPS3MTA + MOM52WH Ranking Score Sum<\/td>\n<\/tr>\n<tr>\n<td>(6) OPY+MOM<\/td>\n<td>Dual-Factor<\/td>\n<td>REVOPY + MOM52WH Ranking Score Sum<\/td>\n<\/tr>\n<tr>\n<td>(7) SURPS+OPY+MOM<\/td>\n<td>Triple-Factor<\/td>\n<td>SURPS3MTA + REVOPY + MOM52WH Ranking Score Sum<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/figure>\n<h3 class=\"wp-block-heading\"><strong>Performance Analysis<\/strong><\/h3>\n<p class=\"wp-block-paragraph\">Backtesting results across the 7 strategies indicate:<\/p>\n<ul class=\"wp-block-list\">\n<li><strong>Single-Factor Strategies: <\/strong>SURPS3MTA (Sharpe 1.232) and MOM52WH (Sharpe 1.386) outperform the benchmark index (Sharpe 1.093); REVOPY single-factor performs worst (Sharpe 0.509), confirming its strength does not lie in top extreme deciles.<\/li>\n<li><strong>Significant Multi-Factor Fusion Incremental Value: <\/strong>The triple-factor strategy (SURPS+OPY+MOM) achieves the best risk-adjusted performance, with its Sharpe ratio elevating to 1.779\u2014the highest among all seven strategies\u2014accompanied by an annualized return of 26.06% and a max drawdown compressing to \u221223.42%.<\/li>\n<li><strong>Complementary Value of Weaker Factors: <\/strong>Although REVOPY is weakest standalone, adding it to \u201cSURPS+MOM\u201d boosts Sharpe ratio from 1.647 to 1.779, providing significant incremental contribution. The triple-factor strategy\u2019s Newey-West Alpha t-value reaches 5.454; furthermore, as returns in Table 3-12 already deduct annualized transaction costs (2.74%, comprising brokerage commissions and taxes only), the strategy remains highly statistically and economically significant.<\/li>\n<\/ul>\n<p class=\"wp-block-paragraph\"><strong>Table 3-12: Backtesting Performance Metrics of Seven Strategies<\/strong><\/p>\n<figure class=\"wp-block-table\">\n<table class=\"has-background has-fixed-layout\" style=\"background-color:#e3effa\">\n<tbody>\n<tr>\n<td><strong>Metric<\/strong><\/td>\n<td><strong>(1) SURPS<\/strong><\/td>\n<td><strong>(2) REVOPY<\/strong><\/td>\n<td><strong>(3) MOM52WH<\/strong><\/td>\n<td><strong>(4) SURPS+OPY<\/strong><\/td>\n<td><strong>(5) SURPS+MOM<\/strong><\/td>\n<td><strong>(6) OPY+MOM<\/strong><\/td>\n<td><strong>(7) Triple<\/strong><\/td>\n<td><strong>Benchmark<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Annualized Return<\/td>\n<td>23.51%<\/td>\n<td>6.85%<\/td>\n<td>19.14%<\/td>\n<td>21.29%<\/td>\n<td>28.52%<\/td>\n<td>18.40%<\/td>\n<td>26.06%<\/td>\n<td>19.32%<\/td>\n<\/tr>\n<tr>\n<td>Cumulative Return<\/td>\n<td>942.88%<\/td>\n<td>108.73%<\/td>\n<td>598.98%<\/td>\n<td>752.81%<\/td>\n<td>1521.00%<\/td>\n<td>552.51%<\/td>\n<td>1208.46%<\/td>\n<td>611.06%<\/td>\n<\/tr>\n<tr>\n<td>Annualized Volatility<\/td>\n<td>18.56%<\/td>\n<td>15.37%<\/td>\n<td>13.28%<\/td>\n<td>15.30%<\/td>\n<td>16.03%<\/td>\n<td>11.82%<\/td>\n<td>13.54%<\/td>\n<td>17.60%<\/td>\n<\/tr>\n<tr>\n<td>Sharpe Ratio<\/td>\n<td>1.232<\/td>\n<td>0.509<\/td>\n<td>1.386<\/td>\n<td>1.339<\/td>\n<td>1.647<\/td>\n<td>1.489<\/td>\n<td>1.779<\/td>\n<td>1.093<\/td>\n<\/tr>\n<tr>\n<td>Max Drawdown<\/td>\n<td>\u221233.73%<\/td>\n<td>\u221231.55%<\/td>\n<td>\u221221.76%<\/td>\n<td>\u221228.98%<\/td>\n<td>\u221222.83%<\/td>\n<td>\u221224.14%<\/td>\n<td>\u221223.42%<\/td>\n<td>\u221228.76%<\/td>\n<\/tr>\n<tr>\n<td>Sortino Ratio<\/td>\n<td>1.665<\/td>\n<td>0.663<\/td>\n<td>1.915<\/td>\n<td>1.797<\/td>\n<td>2.285<\/td>\n<td>1.993<\/td>\n<td>2.428<\/td>\n<td>1.542<\/td>\n<\/tr>\n<tr>\n<td>Alpha<\/td>\n<td>0.072<\/td>\n<td>\u22120.052<\/td>\n<td>0.083<\/td>\n<td>0.074<\/td>\n<td>0.143<\/td>\n<td>0.080<\/td>\n<td>0.134<\/td>\n<td>\u2014<\/td>\n<\/tr>\n<tr>\n<td>Beta<\/td>\n<td>0.827<\/td>\n<td>0.684<\/td>\n<td>0.545<\/td>\n<td>0.695<\/td>\n<td>0.676<\/td>\n<td>0.517<\/td>\n<td>0.598<\/td>\n<td>\u2014<\/td>\n<\/tr>\n<tr>\n<td>Annual Turnover (One-Way)<\/td>\n<td>6.15<\/td>\n<td>1.96<\/td>\n<td>7.07<\/td>\n<td>4.55<\/td>\n<td>6.22<\/td>\n<td>3.60<\/td>\n<td>4.68<\/td>\n<td>\u2014<\/td>\n<\/tr>\n<tr>\n<td>Annual Trading Cost<\/td>\n<td>3.60%<\/td>\n<td>1.17%<\/td>\n<td>4.13%<\/td>\n<td>2.67%<\/td>\n<td>3.64%<\/td>\n<td>2.11%<\/td>\n<td>2.74%<\/td>\n<td>\u2014<\/td>\n<\/tr>\n<tr>\n<td>Monthly NW Alpha t<\/td>\n<td>2.124<\/td>\n<td>\u22121.095<\/td>\n<td>3.649<\/td>\n<td>2.507<\/td>\n<td>4.102<\/td>\n<td>3.063<\/td>\n<td>5.454<\/td>\n<td>\u2014<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/figure>\n<p class=\"wp-block-paragraph\">Note: Alpha \/ Beta represent intercept and slope from CAPM regression of strategy daily returns against benchmark index daily returns, with Alpha annualized; Monthly NW Alpha t indicates Newey-West t-statistic of Alpha from regressing strategy monthly returns against benchmark index.<\/p>\n<div aria-hidden=\"true\" class=\"wp-block-spacer\" style=\"height:30px\"><\/div>\n<p class=\"wp-block-paragraph\"><em>Figure 3-13: Cumulative Returns of Single-Factor Strategies vs. Benchmark Index<\/em><\/p>\n<figure class=\"wp-block-image size-full\"><img loading=\"lazy\" decoding=\"async\" alt=\"\" class=\"wp-image-48998\" height=\"351\" src=\"https:\/\/www.tejwin.com\/en\/wp-content\/uploads\/2026\/09\/image-988.png\" width=\"624\"\/><\/figure>\n<p class=\"wp-block-paragraph\">(The vertical axis represents cumulative return multiples; complete performance metrics for all seven strategies are detailed in Table 3-12.)<\/p>\n<div aria-hidden=\"true\" class=\"wp-block-spacer\" style=\"height:30px\"><\/div>\n<p class=\"wp-block-paragraph\"><em>Figure 3-14: Cumulative Returns of Multi-Factor Strategies vs. Benchmark Index<\/em><\/p>\n<figure class=\"wp-block-image size-full\"><img loading=\"lazy\" decoding=\"async\" alt=\"\" class=\"wp-image-48996\" height=\"351\" src=\"https:\/\/www.tejwin.com\/en\/wp-content\/uploads\/2026\/09\/image-987.png\" width=\"624\"\/><\/figure>\n<div aria-hidden=\"true\" class=\"wp-block-spacer\" style=\"height:30px\"><\/div>\n<h2 class=\"wp-block-heading\"><strong>Conclusion<\/strong><\/h2>\n<p class=\"wp-block-paragraph\">Sampling Taiwan listed companies from January 2015 to June 2026, this paper evaluates monthly revenue factors SURPS3MTA and REVOPY alongside price momentum MOM52WH across 7 backtested strategies net of transaction costs, yielding two core conclusions:<\/p>\n<ul class=\"wp-block-list\">\n<li><strong>1. Factor Predictive Distributions Exhibit Heterogeneity: <\/strong>SURPS3MTA predictive power concentrates in extreme deciles with significant long-short Alpha; REVOPY demonstrates robust cross-sectional predictive power (IC), where evaluating solely extreme deciles underestimates its true value.<\/li>\n<li><strong>2. Multi-Factor Fusion Creates Exceptional Synergy: <\/strong>Standalone performance does not equal portfolio contribution. Combining revenue surprise, valuation, and price anchoring creates mechanism complementarities that significantly elevate strategy Sharpe ratio and compress drawdowns.<\/li>\n<\/ul>\n<p class=\"wp-block-paragraph\">These empirical results validate the value of monthly revenue disclosures: Taiwan\u2019s unique regulatory framework updates fundamental signals monthly, allowing factors built upon it to deliver significant excess alpha even after accounting for real-world transaction costs.<\/p>\n<p class=\"wp-block-paragraph\"><em>*Disclaimer: This research and the highlighted securities are for informational purposes only and do not constitute investment advice or product recommendations.*<\/em><\/p>\n<div class=\"wp-block-buttons is-layout-flex wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button has-custom-width wp-block-button__width-100\"><a class=\"wp-block-button__link has-blush-light-purple-gradient-background has-background has-medium-font-size has-custom-font-size wp-element-button\" href=\"\/en\/solution\/quantitative-finance-solution\/\" rel=\"noreferrer noopener nofollow\" target=\"_blank\"><strong>click here for quantitative finance solution!<\/strong><\/a><\/div>\n<\/div>\n<p class=\"wp-block-paragraph\">\n","protected":false},"excerpt":{"rendered":"<p>Based on preceding results, SURPS3MTA demonstrates clear return monotonicity and significant long-short portfolio Alpha. REVOPY possesses strong ranking predictive power distributed across the full cross-section. This study evaluates 7 backtesting strategies utilizing these two factors plus MOM52WH to test real-world execution feasibility and multi-factor fusion value.<\/p>\n","protected":false},"featured_media":3594,"template":"","tags":[52,134],"insight_category":[13],"class_list":["post-3595","insight","type-insight","status-publish","has-post-thumbnail","hentry","tag-quantitative-analysis","tag-monthly-sales","insight_category-quant-research"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/3595","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight"}],"about":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/types\/insight"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media\/3594"}],"wp:attachment":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media?parent=3595"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/tags?post=3595"},{"taxonomy":"insight_category","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight_category?post=3595"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}