{"id":40100,"date":"2025-10-07T12:00:00","date_gmt":"2025-10-07T04:00:00","guid":{"rendered":"https:\/\/www.tejwin.com\/?post_type=insight&#038;p=40100"},"modified":"2026-02-25T16:12:16","modified_gmt":"2026-02-25T08:12:16","slug":"discovering-investment-factors-through-point-in-time-audited-financial-database","status":"publish","type":"insight","link":"https:\/\/www.tejwin.com\/en\/insight\/discovering-investment-factors-through-point-in-time-audited-financial-database\/","title":{"rendered":"Discovering Investment Factors through Point-in-Time Audited Financial Database"},"content":{"rendered":"\n<figure class=\"wp-block-image size-large\"><img fetchpriority=\"high\" decoding=\"async\" width=\"1024\" height=\"576\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor2-1024x576.png\" alt=\"Discovering Investment Factors through Point-in-Time Audited Financial Database\" class=\"wp-image-40107\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor2-1024x576.png 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor2-300x169.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor2-150x84.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor2-768x432.png 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor2-1536x864.png 1536w, https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor2.png 1920w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\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-69ebdf73efb28\" 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-69ebdf73efb28\"  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\/discovering-investment-factors-through-point-in-time-audited-financial-database\/#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\/discovering-investment-factors-through-point-in-time-audited-financial-database\/#Methodology_and_Workflow\" >Methodology and Workflow&nbsp;<\/a><ul class='ez-toc-list-level-3' ><li class='ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-3\" href=\"https:\/\/www.tejwin.com\/en\/insight\/discovering-investment-factors-through-point-in-time-audited-financial-database\/#Data_Preprocessing_and_Sample_Selection\" >Data Preprocessing and Sample Selection&nbsp;<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-4\" href=\"https:\/\/www.tejwin.com\/en\/insight\/discovering-investment-factors-through-point-in-time-audited-financial-database\/#Factor_Construction\" >Factor Construction&nbsp;<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-5\" href=\"https:\/\/www.tejwin.com\/en\/insight\/discovering-investment-factors-through-point-in-time-audited-financial-database\/#Weighting_and_Standardization\" >Weighting and Standardization&nbsp;<\/a><\/li><\/ul><\/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\/discovering-investment-factors-through-point-in-time-audited-financial-database\/#Results_and_Findings\" >Results and Findings&nbsp;<\/a><ul class='ez-toc-list-level-3' ><li class='ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-7\" href=\"https:\/\/www.tejwin.com\/en\/insight\/discovering-investment-factors-through-point-in-time-audited-financial-database\/#Conclusion_and_Limitations\" >Conclusion and Limitations<\/a><\/li><\/ul><\/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\/discovering-investment-factors-through-point-in-time-audited-financial-database\/#Connect_to_TEJs_Financial_Datasets\" >Connect to TEJ\u2019s Financial Datasets&nbsp;<\/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 id=\"block-879665a9-8254-4bcc-9fba-f246cc9bc7e9\">In quantitative investment research, one of the core challenges has always been how to construct factors grounded in transparent and theoretically consistent financial information. Unlike stock price or technical indicators,<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\"> <strong>financial statements provide a direct reflection of a company\u2019s profitability, growth, capital structure, and operating efficiency.<\/strong><\/mark> However, relying solely on a single financial metric often fails to capture the full picture of corporate value. Moreover, much of the financial data found online has been revised or restated, making it impossible to reproduce the actual information available at the time.&nbsp;<\/p>\n\n\n\n<p id=\"block-879665a9-8254-4bcc-9fba-f246cc9bc7e9\">This is precisely where <a href=\"https:\/\/www.tejwin.com\/en\/insight\/tej-point-in-time-audited-financial-database\/\" target=\"_blank\" rel=\"noreferrer noopener\"><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">TEJ\u2019s Point-in-Time Audited Financial Database<\/mark><\/strong><\/a> offers a unique advantage. By reconstructing financial data exactly as it was available at each historical moment, it ensures the <strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\">avoidance of look-ahead bias<\/mark><\/strong> and provides investors and researchers with a reliable foundation for empirical testing. Building on this <strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\">Point-in-Time approach<\/mark><\/strong>, this study attempts to design a comprehensive multi-dimensional factor based on integrated financial statement information, followed by ex-post validation to evaluate its predictive power and stability.&nbsp;<\/p>\n\n\n\n<p class=\"has-background has-medium-font-size\" style=\"background-color:#ffe9ae\">\u27a1\ufe0f <a href=\"https:\/\/www.tejwin.com\/en\/insight\/tej-point-in-time-audited-financial-database\/\" data-type=\"link\" data-id=\"https:\/\/www.tejwin.com\/en\/insight\/tej-point-in-time-audited-financial-database\/\"><strong><em>Get Detail about PIT Audited Financial Database<\/em><\/strong><\/a><\/p>\n\n\n\n<div style=\"height:25px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\" id=\"block-9754109c-8d80-4751-bb26-fb417138bdbd\"><span class=\"ez-toc-section\" id=\"Methodology_and_Workflow\"><\/span>Methodology and Workflow&nbsp;<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p id=\"block-68340029-cfec-41f9-9c3a-ab4e01c699e8\">The study focuses on common stocks listed&nbsp;on the Taiwan Stock Exchange (TWSE) and Taipei Exchange (TPEx)&nbsp; , covering the sample period 2020Q1\u20132025Q2. The financial data is sourced from <a href=\"https:\/\/www.tejwin.com\/en\/insight\/tej-point-in-time-audited-financial-database\/\" target=\"_blank\" rel=\"noreferrer noopener\"><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\"><strong>TEJ\u2019s Point-in-Time Audited Financial Database<\/strong><\/mark><\/a>&nbsp;<\/p>\n\n\n\n<p id=\"block-6ac01d26-cda0-41f4-9d75-ea466eeec76d\">The overall research workflow is structured as follows.&nbsp;<\/p>\n\n\n\n<h3 class=\"wp-block-heading\" id=\"block-1b351c66-e2b8-4d71-bf1b-dabc274ff223\"><span class=\"ez-toc-section\" id=\"Data_Preprocessing_and_Sample_Selection\"><\/span>Data Preprocessing and Sample Selection&nbsp;<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<ol class=\"wp-block-list\">\n<li><strong>Stock price above TWD 10 <\/strong>\uff1aAvoid the extreme volatility of penny stocks.<\/li>\n\n\n\n<li><strong>Daily trading volume greater than 1,000 lots<\/strong>\uff1aEnsure sufficient liquidity.&nbsp;<\/li>\n\n\n\n<li><strong>Quarterly gross profit margin above -20%<\/strong>\uff1aExclude companies with excessively weak product competitiveness.&nbsp;<\/li>\n\n\n\n<li><strong>Debt ratio below 90%<\/strong>\uff1aHigher leverage typically implies greater repayment risk.&nbsp;<\/li>\n<\/ol>\n\n\n\n<p><strong>Outlier Treatment: &nbsp;<\/strong><\/p>\n\n\n\n<p id=\"block-40c02eee-1f55-4d1b-aa38-6b00c1efb8c1\">To mitigate the impact of extreme values on statistical analysis, Winsorization is applied to the following variables:&nbsp;<\/p>\n\n\n\n<ol start=\"1\" class=\"wp-block-list\">\n<li>Quarterly revenue growth rate&nbsp;winsorized at&nbsp;-50% and 100%.&nbsp;<\/li>\n\n\n\n<li>Quarterly net income after tax growth rate capped between -100% and 200%.&nbsp;<\/li>\n\n\n\n<li>Quarterly ROE (after tax) capped between -20% and 50%.&nbsp;<\/li>\n<\/ol>\n\n\n\n<h3 class=\"wp-block-heading\" id=\"block-125eb076-99c3-4323-ac47-49f0de9b67de\"><span class=\"ez-toc-section\" id=\"Factor_Construction\"><\/span>Factor Construction&nbsp;<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<ul id=\"block-d978ad8b-a759-4603-8aff-a453cad9e47f\" class=\"wp-block-list\">\n<li><strong>Profitability Factor<\/strong> = (Quarterly ROE (after tax) + Quarterly Gross Profit Margin)&nbsp;<\/li>\n\n\n\n<li><strong>Growth Factor<\/strong> = (Quarterly Revenue Growth Rate + Quarterly Net Income After Tax Growth Rate)&nbsp;<\/li>\n\n\n\n<li><strong>Financial Health Factor<\/strong> = (Current Ratio \u2013 Debt Ratio)&nbsp;<\/li>\n\n\n\n<li><strong>Operating Efficiency Factor<\/strong> = Quarterly Total Asset Turnover&nbsp;<\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Weighting_and_Standardization\"><\/span><strong>Weighting and Standardization<\/strong>&nbsp;<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p id=\"block-65443db4-75d8-4b7c-9ece-4caa25b58365\">Each of the above factors was first standardized using the z-score method. We then applied the following weights to combine them into a composite score:&nbsp;<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Profitability: 30%&nbsp;<\/li>\n\n\n\n<li>Growth: 40%&nbsp;<\/li>\n\n\n\n<li>Financial Health: 20%&nbsp;<\/li>\n\n\n\n<li>Operating Efficiency: 10%&nbsp;<\/li>\n<\/ul>\n\n\n\n<p id=\"block-65443db4-75d8-4b7c-9ece-4caa25b58365\">Finally, the composite score was standardized again with z-scores to produce the comprehensive factor score that serves as the output of this study.&nbsp;<\/p>\n\n\n\n<p class=\"has-background has-medium-font-size\" style=\"background-color:#ffe9ae\"><em>\ud83d\udccc&nbsp;You may intetesting\uff1a<a href=\"https:\/\/www.tejwin.com\/en\/news\/factor-library\/\"><strong>&nbsp;TEJ Factor Library\uff0d100+ factors built for Taiwan market<\/strong><\/a><\/em><\/p>\n\n\n\n<div style=\"height:25px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\" id=\"block-bab50aa9-89c9-4491-acf1-cce67fbca9a3\"><span class=\"ez-toc-section\" id=\"Results_and_Findings\"><\/span><strong>R<\/strong>esults and Findings&nbsp;<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p id=\"block-ea0de9af-98ca-4108-a82f-1f32e15a0792\">Based on the composite factor scores, we ranked all sample stocks from highest to lowest and divided them into 5 quintile groups. The following section presents the descriptive statistics and performance outcomes derived from these factor-based groupings.&nbsp;<\/p>\n\n\n\n<p id=\"block-4b5de2c8-3387-4286-8175-557e2ae137ee\">Table 1. Descriptive Statistics of Portfolio Returns by Quintile&nbsp;<\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-background\" style=\"background-color:#ffe9ae\"><thead><tr><th class=\"has-text-align-center\" data-align=\"center\">Quintile&nbsp;<\/th><th class=\"has-text-align-right\" data-align=\"right\">Min&nbsp;<\/th><th class=\"has-text-align-right\" data-align=\"right\">Max&nbsp;<\/th><th class=\"has-text-align-right\" data-align=\"right\">Average&nbsp;<\/th><th class=\"has-text-align-right\" data-align=\"right\">Std. Dev.&nbsp;<\/th><th class=\"has-text-align-right\" data-align=\"right\">Count&nbsp;<\/th><th class=\"has-text-align-right\" data-align=\"right\">Proportion %&nbsp;<\/th><\/tr><\/thead><tbody><tr><td class=\"has-text-align-center\" data-align=\"center\">1&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-3.155575&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.626267&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-1.291114&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.383108&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">69,444&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">20.09<\/td><\/tr><tr><td class=\"has-text-align-center\" data-align=\"center\">2&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.987734&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.132098&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.534822&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.150743&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">68,992&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">19.95<\/td><\/tr><tr><td class=\"has-text-align-center\" data-align=\"center\">3&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.403942&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.549351&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.061369&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.144642&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">69,008&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">19.96<\/td><\/tr><tr><td class=\"has-text-align-center\" data-align=\"center\">4&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.053214&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.912159&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.463535&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.173874&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">68,992&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">19.95<\/td><\/tr><tr><td class=\"has-text-align-center\" data-align=\"center\">5&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.601423&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">9.998278&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.425836&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.749960&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">69,302&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">20.04<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<p>As shown in Table 1, the mean returns exhibit a monotonic upward trend from Quintile 1 through Quintile 5, shifting from negative to positive values, which is consistent with the intended design of the factor groupings. The standard deviation is relatively small for the lower quintiles but increases significantly for the higher quintiles,suggesting that<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\"><strong> stocks in the top group are more prone to extreme <\/strong><\/mark>values. The maximum value in Quintile 5 is substantially higher than in other groups, reflecting greater heterogeneity and the presence of a few extremely high-scoring stocks.&nbsp;<\/p>\n\n\n\n<p><\/p>\n\n\n\n<p>Table 2. Factor Performance Test Across Holding Periods&nbsp;<\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-background\" style=\"background-color:#ffe9ae\"><thead><tr><th>Holding Period&nbsp;<\/th><th class=\"has-text-align-center\" data-align=\"center\">1D&nbsp;<\/th><th class=\"has-text-align-right\" data-align=\"right\">5D&nbsp;<\/th><th class=\"has-text-align-right\" data-align=\"right\">10D&nbsp;<\/th><th class=\"has-text-align-right\" data-align=\"right\">22D&nbsp;<\/th><\/tr><\/thead><tbody><tr><td>Ann. Alpha&nbsp;<\/td><td class=\"has-text-align-center\" data-align=\"center\">0.076&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.053&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.035&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.002&nbsp;<\/td><\/tr><tr><td>Beta&nbsp;<\/td><td class=\"has-text-align-center\" data-align=\"center\">0.080&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.068&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.068&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.089&nbsp;<\/td><\/tr><tr><td>Mean Period Wise Return Top Quantile (bps)&nbsp;<\/td><td class=\"has-text-align-center\" data-align=\"center\">3.470&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">2.775&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.999&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.181&nbsp;<\/td><\/tr><tr><td>Mean Period Wise Return Bottom Quantile (bps)&nbsp;<\/td><td class=\"has-text-align-center\" data-align=\"center\">-6.707&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-4.447&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-3.393&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">-2.012&nbsp;<\/td><\/tr><tr><td>Mean Period Wise Spread (bps)&nbsp;<\/td><td class=\"has-text-align-center\" data-align=\"center\">10.177&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">7.193&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">5.356&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.766&nbsp;<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<p id=\"block-556c8331-e011-418e-8b40-5aae283d8dd5\">Table 2 presents the excess returns (alpha), market sensitivity (beta), and the demeaned average returns of the top and bottom quantile portfolios across different holding periods.&nbsp;<\/p>\n\n\n\n<ol start=\"1\" class=\"wp-block-list\">\n<li><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\"><kbd><strong>Excess Return (Ann. Alpha):&nbsp;<\/strong><\/kbd><br><\/mark>At the 1-day horizon, alpha is significantly positive (0.076), indicating strong short-term predictive power. However, as the holding period extends, alpha declines and eventually turns slightly negative at 22 days, suggesting the factor\u2019s effect dissipates over time.&nbsp;<\/li>\n<\/ol>\n\n\n\n<ol start=\"2\" class=\"wp-block-list\">\n<li><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\">Systematic Risk (Beta):&nbsp;<\/mark><\/strong><br>Beta values range between 0.068 and 0.089, relatively low in magnitude. This implies that the strategy is not strongly correlated with overall market fluctuations, offering potential diversification benefits.&nbsp;<\/li>\n<\/ol>\n\n\n\n<ol start=\"3\" class=\"wp-block-list\">\n<li><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\">High vs. Low Quantile Performance:&nbsp;<br><\/mark><\/strong>The top quantile portfolio generates higher excess returns in the short run, with a demeaned 1-day average of 3.47 bps. However, its advantage fades as the holding period extends, turning negative at 22 days. Conversely, the bottom quantile consistently underperforms across all horizons, with losses widening over time (reaching -2.01 bps at 22 days). The spread between top and bottom quantiles is most pronounced at 1 day (10.18 bps) and narrows significantly by 22 days (1.77 bps).&nbsp;<\/li>\n<\/ol>\n\n\n\n<p>These results confirm that the factor exhibits <strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\">strong short-term effectiveness in distinguishing stock performance<\/mark><\/strong>, but its predictive power diminishes quickly with longer holding periods.&nbsp;<\/p>\n\n\n\n<div style=\"height:25px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p>Figure 1. Average Forward Returns by Quintile&nbsp;<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1024\" height=\"345\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor-1-1024x345.png\" alt=\"\" class=\"wp-image-40103\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor-1-1024x345.png 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor-1-300x101.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor-1-150x51.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor-1-768x259.png 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/2510_PIT-financial-factor-1.png 1268w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<p>As shown in Figure 1, the factor demonstrates clear differentiation across quintiles. Lower-ranked groups (Q1 and Q2) exhibit negative average returns, while higher-ranked groups (Q3\u2013Q5) generally show positive averages, indicating the factor\u2019s effectiveness. The performance gap between top and bottom quintiles is particularly pronounced in the short term (1D\u20135D), confirming the factor\u2019s explanatory power for short-term investment strategies. However, as the holding period extends to 22 days, the gap narrows significantly, and in some cases, higher quintiles even exhibit return reversals, suggesting that the factor\u2019s effect weakens over time.&nbsp;<\/p>\n\n\n\n<div style=\"height:25px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h3 class=\"wp-block-heading\" id=\"block-119dac5d-01e9-4399-97a0-f9f29d309bea\"><span class=\"ez-toc-section\" id=\"Conclusion_and_Limitations\"><\/span><strong>Conclusion and Limitations<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p>This study leverages TEJ\u2019s Point-in-Time financial statements as the core data source. By designing and integrating multiple factors under a framework free from look-ahead bias, we establish a quantifiable and replicable stock selection mechanism. &nbsp;<\/p>\n\n\n\n<p>Empirical evidence shows that factor scores yield meaningful differentiation in portfolio returns, particularly between the lowest and highest quintiles, validating the factor\u2019s effectiveness and practical value. The results reinforce the feasibility of using financial statement-based factors in investment decision-making and demonstrate the added value of multi-dimensional integration compared to single-indicator approaches.&nbsp;<\/p>\n\n\n\n<p>Nonetheless, several limitations remain:&nbsp;<\/p>\n\n\n\n<ol start=\"1\" class=\"wp-block-list\">\n<li><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\">Subjectivity in Weighting<\/mark>:<\/strong> The assignment of weights among factors reflects the researcher\u2019s judgment and may not represent the optimal combination. Future work could apply statistical techniques such as PCA or machine learning for systematic weight optimization.&nbsp;<\/li>\n<\/ol>\n\n\n\n<ol start=\"2\" class=\"wp-block-list\">\n<li><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\">Sample Period Constraints<\/mark>:<\/strong> The study covers only the period from April 2020 to September 2025, during which extraordinary events such as the pandemic and geopolitical risk may affect the generalizability of the results.&nbsp;<\/li>\n<\/ol>\n\n\n\n<ol start=\"3\" class=\"wp-block-list\">\n<li><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\">Market Condition Dependence:<\/mark><\/strong> Factor performance may vary with market regimes (e.g., bull, bear, or sector rotation). Further validation is needed under different economic cycles.&nbsp;<\/li>\n<\/ol>\n\n\n\n<ol start=\"4\" class=\"wp-block-list\">\n<li><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\">Excluded Factors<\/mark>:<\/strong> The current framework focuses exclusively on financial statement variables, without incorporating market-based factors (e.g., momentum, volatility) or corporate governance measures. Future research could benefit from cross-domain integration.&nbsp;<\/li>\n<\/ol>\n\n\n\n<p id=\"block-d2a94b3b-5fd5-4cce-9964-460f7b00c7ec\">In sum, this study provides a factor construction and validation framework grounded in financial statement information, highlighting the application potential of financial data in quantitative stock selection. Incorporating broader data sources and dynamic adjustments in the future will further enhance the explanatory power and predictive accuracy of factor models.&nbsp;<\/p>\n\n\n\n<div style=\"height:25px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\" id=\"block-d286e000-b477-4756-94c0-90c3e6407271\"><span class=\"ez-toc-section\" id=\"Connect_to_TEJs_Financial_Datasets\"><\/span><strong>Connect to TEJ\u2019s Financial Datasets&nbsp;<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p id=\"block-a3601df1-9911-4478-a3ff-d220f358d892\">TEJ\u2019s Financial Datasets provide comprehensive resources\u2014including<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\"><strong> PIT audited financial data <\/strong>, <strong>preliminary financials<\/strong>, and <strong>monthly sales<\/strong><\/mark>\u2014empowering investors and researchers to enhance the robustness and precision of their <strong>quantitative investment strategies<\/strong>.&nbsp;<\/p>\n\n\n\n<p class=\"has-background has-medium-font-size\" style=\"background-color:#ffe9ae\"><strong><em>\ud83d\udca1<a href=\"https:\/\/www.tejwin.com\/en\/solution\/financial-data\/\" data-type=\"link\" data-id=\"https:\/\/www.tejwin.com\/en\/solution\/financial-data\/\">Learn more about  TEJ Fiancial Datasets<\/a><\/em><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-embed is-type-wp-embed is-provider-tej wp-block-embed-tej\"><div class=\"wp-block-embed__wrapper\">\n<blockquote class=\"wp-embedded-content\" data-secret=\"09Gg2DRNYb\"><a href=\"https:\/\/www.tejwin.com\/en\/news\/factor-library\/\">Factor Library \u2013 Taiwan&#8217;s Factor Dataset for Quantitative Investing<\/a><\/blockquote><iframe class=\"wp-embedded-content\" sandbox=\"allow-scripts\" security=\"restricted\" style=\"position: absolute; visibility: hidden;\" title=\"&#8220;Factor Library \u2013 Taiwan&#8217;s Factor Dataset for Quantitative Investing&#8221; &#8212; TEJ\" src=\"https:\/\/www.tejwin.com\/en\/news\/factor-library\/embed\/#?secret=MZerVIj6gc#?secret=09Gg2DRNYb\" data-secret=\"09Gg2DRNYb\" width=\"600\" height=\"338\" frameborder=\"0\" marginwidth=\"0\" marginheight=\"0\" scrolling=\"no\"><\/iframe>\n<\/div><\/figure>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>This study employs TEJ\u2019s Point-in-Time Audited Financial Database to construct a composite factor for stock selection in Taiwan\u2019s equity market. By preserving financial data exactly as available at each historical moment, the framework avoids look-ahead bias and ensures empirical reliability.<\/p>\n<p>We find that higher-ranked portfolios deliver significant short-term excess returns, while predictive power weakens over longer horizons. The results highlight the practical value of Point-in-Time financial data for quantitative factor investing and underscore its role in building replicable, data-driven investment strategies.<\/p>\n","protected":false},"featured_media":40107,"template":"","tags":[3442,3540,3372,3505],"insight-category":[690],"class_list":["post-40100","insight","type-insight","status-publish","has-post-thumbnail","hentry","tag-alpha-2","tag-factor-library","tag-financial-data","tag-point-in-time-2","insight-category-data-analysis"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/40100","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":8,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/40100\/revisions"}],"predecessor-version":[{"id":40651,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/40100\/revisions\/40651"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media\/40107"}],"wp:attachment":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media?parent=40100"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/tags?post=40100"},{"taxonomy":"insight-category","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight-category?post=40100"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}