{"id":37849,"date":"2025-06-17T14:00:00","date_gmt":"2025-06-17T06:00:00","guid":{"rendered":"https:\/\/www.tejwin.com\/?post_type=insight&#038;p=37849"},"modified":"2025-09-08T15:16:20","modified_gmt":"2025-09-08T07:16:20","slug":"derwood-chases-growth-momentum-stock-picking-strategy-the-intersection-of-value-and-momentum","status":"publish","type":"insight","link":"https:\/\/www.tejwin.com\/en\/insight\/derwood-chases-growth-momentum-stock-picking-strategy-the-intersection-of-value-and-momentum\/","title":{"rendered":"Derwood Chase\u2019s Growth Momentum Stock-Picking Strategy: The Intersection of Value and Momentum"},"content":{"rendered":"\n<figure class=\"wp-block-image aligncenter size-full caption-align-center\"><img fetchpriority=\"high\" decoding=\"async\" width=\"3006\" height=\"3757\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/yeshi-kangrang-EV9Io66tDm0-unsplash.jpg\" alt=\"\u5fb7\u4f0d\uff0e\u537b\u65af\" class=\"wp-image-37658\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/yeshi-kangrang-EV9Io66tDm0-unsplash.jpg 3006w, https:\/\/www.tejwin.com\/wp-content\/uploads\/yeshi-kangrang-EV9Io66tDm0-unsplash-240x300.jpg 240w, https:\/\/www.tejwin.com\/wp-content\/uploads\/yeshi-kangrang-EV9Io66tDm0-unsplash-819x1024.jpg 819w, https:\/\/www.tejwin.com\/wp-content\/uploads\/yeshi-kangrang-EV9Io66tDm0-unsplash-120x150.jpg 120w, https:\/\/www.tejwin.com\/wp-content\/uploads\/yeshi-kangrang-EV9Io66tDm0-unsplash-768x960.jpg 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/yeshi-kangrang-EV9Io66tDm0-unsplash-1229x1536.jpg 1229w, https:\/\/www.tejwin.com\/wp-content\/uploads\/yeshi-kangrang-EV9Io66tDm0-unsplash-1639x2048.jpg 1639w\" sizes=\"(max-width: 3006px) 100vw, 3006px\" \/><figcaption class=\"wp-element-caption\">Photo by <a href=\"https:\/\/unsplash.com\/@omgitsyeshi?utm_content=creditCopyText&amp;utm_medium=referral&amp;utm_source=unsplash\" target=\"_blank\" rel=\"noopener\">Yeshi Kangrang<\/a> on <a href=\"https:\/\/unsplash.com\/photos\/person-standing-on-gray-steel-frame-on-top-of-building-EV9Io66tDm0?utm_content=creditCopyText&amp;utm_medium=referral&amp;utm_source=unsplash\" target=\"_blank\" rel=\"noopener\">Unsplash<\/a><br><br><\/figcaption><\/figure>\n\n\n\n<div id=\"ez-toc-container\" class=\"ez-toc-v2_0_81 counter-hierarchy ez-toc-counter ez-toc-grey ez-toc-container-direction\">\n<p class=\"ez-toc-title\" style=\"cursor:inherit\">Table of Contents<\/p>\n<label for=\"ez-toc-cssicon-toggle-item-69d90e474259d\" class=\"ez-toc-cssicon-toggle-label\"><span class=\"ez-toc-cssicon\"><span class=\"eztoc-hide\" style=\"display:none;\">Toggle<\/span><span class=\"ez-toc-icon-toggle-span\"><svg style=\"fill: #999;color:#999\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" class=\"list-377408\" width=\"20px\" height=\"20px\" viewBox=\"0 0 24 24\" fill=\"none\"><path d=\"M6 6H4v2h2V6zm14 0H8v2h12V6zM4 11h2v2H4v-2zm16 0H8v2h12v-2zM4 16h2v2H4v-2zm16 0H8v2h12v-2z\" fill=\"currentColor\"><\/path><\/svg><svg style=\"fill: #999;color:#999\" class=\"arrow-unsorted-368013\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" width=\"10px\" height=\"10px\" viewBox=\"0 0 24 24\" version=\"1.2\" baseProfile=\"tiny\"><path d=\"M18.2 9.3l-6.2-6.3-6.2 6.3c-.2.2-.3.4-.3.7s.1.5.3.7c.2.2.4.3.7.3h11c.3 0 .5-.1.7-.3.2-.2.3-.5.3-.7s-.1-.5-.3-.7zM5.8 14.7l6.2 6.3 6.2-6.3c.2-.2.3-.5.3-.7s-.1-.5-.3-.7c-.2-.2-.4-.3-.7-.3h-11c-.3 0-.5.1-.7.3-.2.2-.3.5-.3.7s.1.5.3.7z\"\/><\/svg><\/span><\/span><\/label><input type=\"checkbox\"  id=\"ez-toc-cssicon-toggle-item-69d90e474259d\"  aria-label=\"Toggle\" \/><nav><ul class='ez-toc-list ez-toc-list-level-1 ' ><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-1\" href=\"https:\/\/www.tejwin.com\/en\/insight\/derwood-chases-growth-momentum-stock-picking-strategy-the-intersection-of-value-and-momentum\/#Introduction\" >Introduction<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-2\" href=\"https:\/\/www.tejwin.com\/en\/insight\/derwood-chases-growth-momentum-stock-picking-strategy-the-intersection-of-value-and-momentum\/#Why_Did_Derwood_Chase_Set_His_Stock_Selection_and_Buying_Criteria_This_Way\" >Why Did Derwood Chase Set His Stock Selection and Buying Criteria This Way?<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-3\" href=\"https:\/\/www.tejwin.com\/en\/insight\/derwood-chases-growth-momentum-stock-picking-strategy-the-intersection-of-value-and-momentum\/#Derwood_Chases_Stock_Selection_Logic\" >Derwood Chase\u2019s Stock Selection Logic<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-4\" href=\"https:\/\/www.tejwin.com\/en\/insight\/derwood-chases-growth-momentum-stock-picking-strategy-the-intersection-of-value-and-momentum\/#Backtesting_Basic_Settings\" >Backtesting Basic Settings<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-5\" href=\"https:\/\/www.tejwin.com\/en\/insight\/derwood-chases-growth-momentum-stock-picking-strategy-the-intersection-of-value-and-momentum\/#Performance_Charts_Analysis\" >Performance Charts &amp; Analysis<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-6\" href=\"https:\/\/www.tejwin.com\/en\/insight\/derwood-chases-growth-momentum-stock-picking-strategy-the-intersection-of-value-and-momentum\/#Full_Code_Link\" >Full Code Link<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-7\" href=\"https:\/\/www.tejwin.com\/en\/insight\/derwood-chases-growth-momentum-stock-picking-strategy-the-intersection-of-value-and-momentum\/#%E5%BB%B6%E4%BC%B8%E9%96%B1%E8%AE%80\" >\u5ef6\u4f38\u95b1\u8b80<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-8\" href=\"https:\/\/www.tejwin.com\/en\/insight\/derwood-chases-growth-momentum-stock-picking-strategy-the-intersection-of-value-and-momentum\/#Related_Links\" >Related Links<\/a><\/li><\/ul><\/nav><\/div>\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Introduction\"><\/span><strong>Introduction<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>In the field of growth investing, Derwood S. Chase Jr. is undeniably a legendary and representative figure. With an investment career spanning nearly half a century, Chase held a strong academic background\u2014graduating from the University of Virginia and earning an MBA from Harvard Business School in 1954. In 1958, he founded Chase Investment Counsel Corporation, a firm focused on managing corporate pension funds, trust funds, and individual retirement plans, deliberately avoiding any banking-related business. Under his leadership, the firm managed over $1.4 billion in assets by 2001. From 1990 to 2001, its institutional large-cap growth portfolio achieved an impressive annualized return of 16.38%, significantly outperforming the S&amp;P 500 and the Russell 1000 Growth Index over the same period.<\/p>\n\n\n\n<p>In 1997, Chase further launched the Chase Growth Fund, which also delivered outstanding performance. By the end of 2001, the fund had achieved a 4-year average annual return of 9.88%, well above the S&amp;P 500\u2019s 5.65%, ranking sixth among 743 peer funds and earning the highest Morningstar rating of five stars.<\/p>\n\n\n\n<p>Derwood Chase regarded himself as a risk-conscious GARP (Growth at a Reasonable Price) investor. His stock selection philosophy integrated quantitative research, technical analysis, and fundamental analysis, while emphasizing the importance of diversification. He believed that an ideal portfolio should contain 35 to 45 stocks. Through a strategy that combined growth and stability, Chase established a long-term return model that could endure across market cycles, providing a benchmark for investors navigating volatile markets.<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Why_Did_Derwood_Chase_Set_His_Stock_Selection_and_Buying_Criteria_This_Way\"><\/span><strong><br>Why Did Derwood Chase Set His Stock Selection and Buying Criteria This Way?<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>Derwood Chase\u2019s stock selection criteria integrated company size, growth potential, profitability, valuation, and momentum. He preferred large-cap companies with above-average market capitalization to reduce liquidity and operational risks. His selections emphasized firms with high earnings growth over the past five years and strong return on equity (ROE), indicating solid growth and operational efficiency.<\/p>\n\n\n\n<p>To avoid overpaying for growth, he imposed a valuation ceiling\u2014specifically, the forward P\/E ratio should not exceed twice the earnings growth rate. Additionally, he incorporated relative price strength to capture market momentum and investor sentiment. These criteria, combined with a below-average debt ratio, formed a strategy focused on \u201creasonable growth, financial stability, and momentum-driven execution<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Derwood_Chases_Stock_Selection_Logic\"><\/span><strong>Derwood Chase\u2019s Stock Selection Logic<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>According to Derwood Chase\u2019s investment methodology, his stock selection logic integrates a company\u2019s fundamental strength, growth potential, market performance, and financial soundness. The specific criteria are as follows:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Market Capitalization \u2265 Market Average<\/strong> \u2192 Focuses on mid- to large-cap companies with greater stability and liquidity, reducing liquidity risk.<\/li>\n\n\n\n<li><strong>5-Year Earnings Per Share Compound Annual Growth Rate (EPS CAGR) \u2265 10%<\/strong> \u2192 Ensures the company demonstrates consistent medium- to long-term earnings growth.<\/li>\n\n\n\n<li><strong>Return on Equity (ROE) \u2265 15% (Trailing Four Quarters)<\/strong> \u2192 Measures how efficiently a company uses its capital to generate value. A high ROE indicates strong operational performance.<\/li>\n\n\n\n<li><strong>Debt Ratio (Most Recent Quarter) &lt; Market Average<\/strong> \u2192 Screens for companies with solid financial structures, enhancing the overall resilience of the investment portfolio.<\/li>\n\n\n\n<li><strong>Forward Price-to-Earnings Ratio \u2264 2 \u00d7 EPS CAGR<\/strong> \u2192 Applies the GARP (Growth at a Reasonable Price) principle to avoid overpaying for growth.<\/li>\n\n\n\n<li><strong>6-Month Relative Strength (6M RS) > 1<\/strong> \u2192 Selects stocks with positive momentum, reflecting favorable market sentiment and capital flows.<\/li>\n<\/ul>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Backtesting_Basic_Settings\"><\/span><strong>Backtesting Basic Settings<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p><strong>Backtesting Period<\/strong>: 2016-01-01 to 2025-05-27<\/p>\n\n\n\n<p><strong>Rebalancing Frequency<\/strong>: Every 30 trading days<\/p>\n\n\n\n<p><strong>Benchmark Index<\/strong>: IR0001 (referred to as \u201cMarket Index\u201d)<\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-fixed-layout\"><tbody><tr><td>coid<\/td><td>roi<\/td><td>mktcap<\/td><td>r505<\/td><td>r104<\/td><td>per<\/td><td>close_d<\/td><td>r316<\/td><\/tr><tr><td>Stock Coid<\/td><td>Daily Return<\/td><td>Market Value<\/td><td>Current Ratio<\/td><td>ROE<\/td><td>PE ratio<\/td><td>Close price<\/td><td>EPS<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Performance_Charts_Analysis\"><\/span><strong>Performance Charts &amp; Analysis<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1024\" height=\"566\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\/output-9-1024x566.png\" alt=\"\" class=\"wp-image-37333\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/output-9-1024x566.png 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/output-9-300x166.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/output-9-150x83.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/output-9-768x424.png 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/output-9-1536x849.png 1536w, https:\/\/www.tejwin.com\/wp-content\/uploads\/output-9.png 1790w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<p>From the first chart titled <strong>\u201cCumulative Return\u201d<\/strong>, it is evident that the strategy outperformed the market index. The cumulative return of the strategy reached <strong>457.54%<\/strong>, compared to <strong>241.5%<\/strong> for the benchmark, demonstrating strong profitability.<\/p>\n\n\n\n<p>The chart also shows that the strategy tends to perform better during market uptrends\u2014these are the periods when the return gap between the strategy and the market widens. However, during market consolidations or downturns, the strategy often experiences larger drawdowns.<\/p>\n\n\n\n<p>This pattern is further confirmed in the second chart showing <strong>\u201cDaily Returns\u201d<\/strong>, where the strategy exhibits higher volatility compared to the benchmark throughout most of the period. This is also reflected in the strategy\u2019s <strong>Beta of 1.27<\/strong>, indicating higher sensitivity to market movements, while the <strong>Alpha is only 0.03<\/strong>, suggesting that most of the excess return is derived from taking on additional market risk, rather than pure alpha generation.<\/p>\n\n\n\n<p>These findings imply that the strategy\u2019s effectiveness is <strong>market condition-dependent<\/strong> and may not be suitable for all market environments. Dynamic adjustment or conditional application based on market trends would enhance its practical utility.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1024\" height=\"566\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\/r-1-1024x566.png\" alt=\"\" class=\"wp-image-37335\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/r-1-1024x566.png 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/r-1-300x166.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/r-1-150x83.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/r-1-768x424.png 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/r-1-1536x849.png 1536w, https:\/\/www.tejwin.com\/wp-content\/uploads\/r-1.png 1790w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<p>From the chart above, the <strong>first graph<\/strong> illustrates the number of stocks held by the strategy over time, while the <strong>second graph<\/strong> shows the number of stocks that passed all selection criteria at each point in time. A stock must simultaneously meet <strong>all six screening conditions<\/strong> to be selected and held by the strategy.<\/p>\n\n\n\n<p>It is evident that the dominant screening factor is <strong>Set 6<\/strong> \u2014 <em>\u201c6-Month Relative Strength (6M RS) &gt; 1\u201d<\/em>. This condition plays a key role in the strategy and is the main reason it is classified as a <strong>momentum-based<\/strong> approach. This emphasis on momentum also appears to be the primary driver behind the strategy\u2019s <strong>high exposure to market risk<\/strong>.<\/p>\n\n\n\n<p>On the other hand, the number of stocks held during the backtest period rarely exceeded <strong>20<\/strong>, which suggests limited diversification. Such a <strong>concentrated portfolio<\/strong> increases the likelihood that overall performance may be heavily influenced by a few individual stocks, thereby exposing the strategy to <strong>higher idiosyncratic (unsystematic) risk<\/strong>.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img loading=\"lazy\" decoding=\"async\" width=\"1024\" height=\"322\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\/\u622a\u5716-2025-05-29-\u4e0b\u53485.45.39-1024x322.png\" alt=\"\" class=\"wp-image-37337\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\u622a\u5716-2025-05-29-\u4e0b\u53485.45.39-1024x322.png 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u622a\u5716-2025-05-29-\u4e0b\u53485.45.39-300x94.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u622a\u5716-2025-05-29-\u4e0b\u53485.45.39-150x47.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u622a\u5716-2025-05-29-\u4e0b\u53485.45.39-768x242.png 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u622a\u5716-2025-05-29-\u4e0b\u53485.45.39.png 1207w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-large\"><img loading=\"lazy\" decoding=\"async\" width=\"1024\" height=\"329\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\/\u622a\u5716-2025-05-29-\u4e0b\u53485.45.50-1024x329.png\" alt=\"\" class=\"wp-image-37339\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\u622a\u5716-2025-05-29-\u4e0b\u53485.45.50-1024x329.png 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u622a\u5716-2025-05-29-\u4e0b\u53485.45.50-300x97.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u622a\u5716-2025-05-29-\u4e0b\u53485.45.50-150x48.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u622a\u5716-2025-05-29-\u4e0b\u53485.45.50-768x247.png 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u622a\u5716-2025-05-29-\u4e0b\u53485.45.50.png 1200w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<p>Based on the backtesting results, the strategy experienced <strong>notable drawdowns in 2018, 2022, and 2025<\/strong>, indicating that during bearish market conditions, the strategy tends to <strong>amplify market losses<\/strong>.<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>In <strong>2022<\/strong>, the strategy posted a negative annual return, with a <strong>maximum drawdown approaching -35%<\/strong>, representing a <strong>classic case of a systemic market downturn<\/strong>.<\/li>\n\n\n\n<li>In <strong>2025<\/strong>, although the year has not yet concluded, the strategy has already experienced a <strong>deep drawdown exceeding -40%<\/strong>, reflecting heightened market volatility and an ongoing correction phase.<\/li>\n\n\n\n<li>In <strong>2018<\/strong>, the strategy underwent a <strong>moderate decline of around -20%<\/strong>, which may be characterized as a borderline bear market or a major correction.<\/li>\n<\/ul>\n\n\n\n<p>Overall, while the strategy delivered impressive returns over the long term, it remains exposed to <strong>significant drawdown risk during periods of extreme market stress<\/strong>.<\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-fixed-layout\"><tbody><tr><td>\u9805\u76ee<\/td><td class=\"has-text-align-center\" data-align=\"center\">\u5fb7\u4f0d\uff0e\u537b\u65af\u6295\u8cc7\u7b56\u7565<\/td><td class=\"has-text-align-center\" data-align=\"center\">\u5927\u76e4 IR0001<\/td><\/tr><tr><td>Cumulative Returns<\/td><td class=\"has-text-align-center\" data-align=\"center\">457.54%<\/td><td class=\"has-text-align-center\" data-align=\"center\">241.54%<\/td><\/tr><tr><td>Annual Return<\/td><td class=\"has-text-align-center\" data-align=\"center\">20.84%<\/td><td class=\"has-text-align-center\" data-align=\"center\">14.47%<\/td><\/tr><tr><td>Annual Volatility<\/td><td class=\"has-text-align-center\" data-align=\"center\">27.79%<\/td><td class=\"has-text-align-center\" data-align=\"center\">16.22%<\/td><\/tr><tr><td>Sharpe ratio<\/td><td class=\"has-text-align-center\" data-align=\"center\">0.82<\/td><td class=\"has-text-align-center\" data-align=\"center\">0.92<\/td><\/tr><tr><td>Calmar Ratio<\/td><td class=\"has-text-align-center\" data-align=\"center\">0.49<\/td><td class=\"has-text-align-center\" data-align=\"center\">0.53<\/td><\/tr><tr><td>Max Drawdown<\/td><td class=\"has-text-align-center\" data-align=\"center\">&#8211;&nbsp; 42.61%<\/td><td class=\"has-text-align-center\" data-align=\"center\">&#8211;&nbsp; 27.37%<\/td><\/tr><tr><td>Beta<\/td><td class=\"has-text-align-center\" data-align=\"center\">1.27<\/td><td class=\"has-text-align-center\" data-align=\"center\">0.99<\/td><\/tr><tr><td>Alpha<\/td><td class=\"has-text-align-center\" data-align=\"center\">0.03<\/td><td class=\"has-text-align-center\" data-align=\"center\">0<\/td><\/tr><\/tbody><\/table><figcaption class=\"wp-element-caption\">Note: The Calmar Ratio is calculated as the annualized return divided by the maximum drawdown over the period. It measures the return-to-risk tradeoff in terms of drawdown, similar in concept to the Sterling Ratio. A higher Calmar Ratio indicates a more favorable balance between return and downside risk.<\/figcaption><\/figure>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Full_Code_Link\"><\/span><a href=\"https:\/\/github.com\/tejtw\/TQuant-Lab\/blob\/main\/example\/TQ_%E5%BE%B7%E4%BC%8D%EF%BC%8E%E5%8D%BB%E6%96%AF%E5%8B%95%E8%83%BD%E7%AD%96%E7%95%A5.ipynb\" target=\"_blank\" rel=\"noopener\">Full Code Link<\/a><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>We welcome readers interested in various trading strategies to consider purchasing relevant solutions from\u00a0<a class=\"ek-link\" href=\"https:\/\/www.tejwin.com\/en\/solution\/quantitative-finance-solution\/\"><strong><mark style=\"background-color:#ffdf88\" class=\"has-inline-color\">Quantitative Finance Solution<\/mark><\/strong><\/a>. With our high-quality databases, you can construct a trading strategy that suits your needs.<\/p>\n\n\n\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 has-custom-font-size\" style=\"font-size:22px\"><a class=\"wp-block-button__link has-background wp-element-button\" href=\"https:\/\/www.tejwin.com\/en\/databank-solution\/financial-data\/\" style=\"border-radius:16px;background:linear-gradient(135deg,rgb(243,224,131) 0%,rgb(102,197,166) 50%,rgb(51,132,181) 100%)\"><strong>Access to Comprehensive Quantitative Data<\/strong><br><strong>Start Building Portfolios That Outperform the Market Today!<\/strong><\/a><\/div>\n<\/div>\n\n\n\n<div style=\"height:22px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"has-text-align-center\" style=\"font-size:32px\"><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\"><strong><em>&#8220;Taiwan stock market data, TEJ collect it all.&#8221;<\/em><\/strong><\/mark><\/p>\n\n\n\n<p>The characteristics of the Taiwan stock market differ from those of other European and American markets. Especially in the first quarter of 2024, with the <strong><mark style=\"background-color:rgba(0, 0, 0, 0);color:#c05d5d\" class=\"has-inline-color\">Taiwan Stock Exchange reaching a new high of 20,000 points<\/mark><\/strong> due to the rise in TSMC&#8217;s stock price, global institutional investors are paying more attention to the performance of the Taiwan stock market.&nbsp;<\/p>\n\n\n\n<p><strong><mark style=\"background-color:rgba(0, 0, 0, 0);color:#0978b8\" class=\"has-inline-color\">Taiwan Economical Journal (TEJ)<\/mark><\/strong>, a financial database established in Taiwan for over 30 years, serves local financial institutions and academic institutions, and has long-term cooperation with internationally renowned data providers, providing high-quality financial data for five financial markets in Asia.&nbsp;<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><mark style=\"background-color:#ebc766\" class=\"has-inline-color has-black-color\">Complete Coverage<\/mark><\/strong>: Includes all listed companies on stock markets in Taiwan, China, Hong Kong, Japan, Korea, etc.&nbsp;<\/li>\n\n\n\n<li><strong><mark style=\"background-color:#ebc766\" class=\"has-inline-color\">Comprehensive Analysis of Enterprises<\/mark><\/strong>: Operational aspects, financial aspects, securities market performance, ESG sustainability, etc.&nbsp;<\/li>\n\n\n\n<li><strong><mark style=\"background-color:#ebc766\" class=\"has-inline-color\">High-Quality Database<\/mark><\/strong>: TEJ data is cleaned, checked, enhanced, and integrated to ensure it meets the information needs of financial and market analysis.&nbsp;<\/li>\n<\/ul>\n\n\n\n<p>With TEJ&#8217;s assistance, you can access relevant information about major stock markets in Asia, such as securities market, financials data, enterprise operations, board of directors, sustainability data, etc., providing investors with timely and high-quality content. Additionally, TEJ offers advisory services to help solve problems in theoretical practice and financial management!<\/p>\n\n\n\n<div class=\"wp-block-buttons is-content-justification-center is-layout-flex wp-container-core-buttons-is-layout-a89b3969 wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button has-custom-width wp-block-button__width-100 has-custom-font-size\" style=\"font-size:21px\"><a class=\"wp-block-button__link has-background has-text-align-center wp-element-button\" href=\"https:\/\/www.tejwin.com\/en\/contact\/\" style=\"border-radius:16px;background:linear-gradient(135deg,rgb(160,209,216) 0%,rgb(51,145,181) 50%,rgb(50,95,191) 100%)\"><strong>Want to Learn More About Our Databases and Solutions?<br>Contact Us and Get the Free Trial Today!<\/strong><\/a><\/div>\n<\/div>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"%E5%BB%B6%E4%BC%B8%E9%96%B1%E8%AE%80\"><\/span>\u5ef6\u4f38\u95b1\u8b80<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p><a href=\"https:\/\/www.tejwin.com\/en\/insight\/the-wisdom-of-blue-chip-stocks\/\">The Wisdom of Blue-Chip Stocks: Howard Rosman&#8217;s Prudent Path to Wealth<\/a><\/p>\n\n\n\n<p><a href=\"https:\/\/www.tejwin.com\/en\/insight\/charles-brandes-value-investing-principles-building-a-portfolio-with-a-margin-of-safety-nemo\/\">Charles Brandes&#8217; Value Investing Principles : Building a Portfolio with a Margin of Safety<\/a><\/p>\n\n\n\n<p><a href=\"https:\/\/www.tejwin.com\/en\/insight\/from-business-cycle-indicators-to-asset-rotation-a-quantitative-strategy-to-avoid-bear-markets\/\">From Business Cycle Indicators to Asset Rotation: A Quantitative Strategy to Avoid Bear Markets<\/a><\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Related_Links\"><\/span>Related Links<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<ul class=\"wp-block-list\">\n<li><a href=\"https:\/\/github.com\/tejtw\/TQuant-Lab\" target=\"_blank\" rel=\"noopener\">TQuant GitHub<\/a><\/li>\n\n\n\n<li><a href=\"https:\/\/tquant.tejwin.com\/\" target=\"_blank\" rel=\"noopener\">TQuant Lab<\/a><\/li>\n<\/ul>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Discover how Derwood Chase\u2019s value-momentum strategy\u2014favoring low P\/E stocks with strong price trends\u2014delivers long-term outperformance in Taiwan\u2019s market. Backtest results show strong alpha and lower drawdowns, proving the power of disciplined factor investing.<\/p>\n","protected":false},"featured_media":37659,"template":"","tags":[3063,2962,2371,2987,3005,3166,2537],"insight-category":[690,50,1356],"class_list":["post-37849","insight","type-insight","status-publish","has-post-thumbnail","hentry","tag-backtesting-2","tag-market-data","tag-python","tag-quant","tag-tejapi-application","tag-tquant-lab-2","tag-2537","insight-category-data-analysis","insight-category-fintech","insight-category-tquant-lab-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/37849","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"}],"version-history":[{"count":5,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/37849\/revisions"}],"predecessor-version":[{"id":38795,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/37849\/revisions\/38795"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media\/37659"}],"wp:attachment":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media?parent=37849"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/tags?post=37849"},{"taxonomy":"insight-category","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight-category?post=37849"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}