{"id":41728,"date":"2025-12-08T14:00:00","date_gmt":"2025-12-08T06:00:00","guid":{"rendered":"https:\/\/www.tejwin.com\/?post_type=insight&#038;p=41728"},"modified":"2025-12-09T16:34:41","modified_gmt":"2025-12-09T08:34:41","slug":"factor-strategy-short-interest-ration-part-2","status":"publish","type":"insight","link":"https:\/\/www.tejwin.com\/en\/insight\/factor-strategy-short-interest-ration-part-2\/","title":{"rendered":"Factor Strategy \u2013 Applying SIR to Strengthen Momentum Strategies in the Taiwan Market \u2013 SIR Part 2"},"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\/\u5b98\u7db2_factor-\u7cfb\u5217-2-1-1024x576.jpg\" alt=\"\" class=\"wp-image-42044\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\u5b98\u7db2_factor-\u7cfb\u5217-2-1-1024x576.jpg 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u5b98\u7db2_factor-\u7cfb\u5217-2-1-300x169.jpg 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u5b98\u7db2_factor-\u7cfb\u5217-2-1-150x84.jpg 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u5b98\u7db2_factor-\u7cfb\u5217-2-1-768x432.jpg 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u5b98\u7db2_factor-\u7cfb\u5217-2-1-1536x864.jpg 1536w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u5b98\u7db2_factor-\u7cfb\u5217-2-1.jpg 1920w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/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-69f0d28bc91f4\" 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-69f0d28bc91f4\"  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\/factor-strategy-short-interest-ration-part-2\/#Short-Selling_Sentiment_Factor_Strategy\" >Short-Selling Sentiment Factor Strategy<\/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\/factor-strategy-short-interest-ration-part-2\/#Backtesting_Parameters_and_Strategy_Construction\" >Backtesting Parameters and Strategy Construction<\/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\/factor-strategy-short-interest-ration-part-2\/#Backtest_Parameters\" >Backtest Parameters<\/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\/factor-strategy-short-interest-ration-part-2\/#Strategy_Construction\" >Strategy Construction<\/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\/factor-strategy-short-interest-ration-part-2\/#Strategy_Definitions\" >Strategy Definitions<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-6\" href=\"https:\/\/www.tejwin.com\/en\/insight\/factor-strategy-short-interest-ration-part-2\/#Performance_Analysis\" >Performance Analysis<\/a><\/li><\/ul><\/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\/factor-strategy-short-interest-ration-part-2\/#Conclusion\" >Conclusion<\/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\/factor-strategy-short-interest-ration-part-2\/#Factor_Library%E2%80%93_A_Comprehensive_Framework_Covering_Sentiment_Momentum_Value_and_More\" >Factor Library\u2013 A Comprehensive Framework Covering Sentiment, Momentum, Value, and More<\/a><\/li><\/ul><\/nav><\/div>\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Short-Selling_Sentiment_Factor_Strategy\"><\/span>Short-Selling Sentiment Factor Strategy<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>In <strong><a href=\"https:\/\/www.tejwin.com\/en\/insight\/factor-research-the-sir-short-selling-factor-extracting-negative-signals-from-institutional-borrowing-activity-sir-part-1\/\" target=\"_blank\" rel=\"noreferrer noopener\">Part 1 \u2013 Factor Research: The SIR Short-Selling Factor<\/a><\/strong>,\u00a0 we examined the fundamental nature of the Short Interest Ratio (SIR) and clarified how it reflects short-selling sentiment within Taiwan\u2019s equity market. Our empirical findings confirmed that<strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\"> institutional SBL shorting consistently embeds meaningful negative information\u2014particularly among mid- and large-cap stocks, where SIR demonstrates strong and significant predictive power<\/mark><\/strong>. These insights provide a solid foundation for strategy development, but they also raise a more practical question: <strong>Can SIR enhance portfolio performance when applied within real-world investment strategies?<\/strong><\/p>\n\n\n\n<p>In <strong>Part 2<\/strong>, we shift from factor interpretation to factor application. Specifically, we explore how SIR can be combined with the 52-week high momentum factor, and whether this integration can strengthen momentum-based strategies in the Taiwan market. Incorporating realistic elements\u2014such as transaction costs, position constraints, and slippage\u2014our backtests evaluate the true feasibility and robustness of SIR-enhanced strategies. Through these results, we assess whether SIR can remain a reliable indicator even under the complexities of real market conditions.<\/p>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"has-background has-medium-font-size\" style=\"background-color:#ffe9ae\"><em><strong>\u27a1\ufe0f <\/strong><\/em><strong><a href=\"https:\/\/www.tejwin.com\/en\/news\/find-tej-on-neudata-and-eagle-alpha-platforms\/\" target=\"_blank\" rel=\"noreferrer noopener\">TEJ Jo<\/a><a href=\"https:\/\/www.tejwin.com\/en\/news\/tej-at-neudata-ny-summit-2025\/\" target=\"_blank\" rel=\"noreferrer noopener\">ins the Neudata NY Data Summit<\/a><\/strong>!<\/p>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Backtesting_Parameters_and_Strategy_Construction\"><\/span>Backtesting Parameters and Strategy Construction<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>To ensure objectivity and comparability across all strategies, the backtests in this study are conducted under a unified set of assumptions and market conditions.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Backtest_Parameters\"><\/span><strong>Backtest Parameters<\/strong><a id=\"_msocom_1\"><\/a><span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Stock Pool: All common stocks listed on the Taiwan Stock Exchange (TWSE) and Taipei Exchange (TPEx)<\/li>\n\n\n\n<li>Period: January 2013 \u2013 July 2025<\/li>\n\n\n\n<li>Rebalancing:&nbsp; Monthly (beginning of each month)<\/li>\n\n\n\n<li>Portfolio weighting: Equal weight<\/li>\n\n\n\n<li>Initial capital: NT$10 million<\/li>\n\n\n\n<li>Transaction Costs\uff1a\n<ul class=\"wp-block-list\">\n<li><span style=\"color: initial;\">Buy: 0.1425% commission<\/span><\/li>\n\n\n\n<li>Sell: 0.1425% commission + 0.3% securities transaction tax<\/li>\n<\/ul>\n<\/li>\n\n\n\n<li>Slippage Assumption\uff1a 1 tick per transaction<\/li>\n\n\n\n<li>Leverage Constraint\uff1a 0.9 (portfolio market value cannot exceed 90% of net asset value)<\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Strategy_Construction\"><\/span><strong>Strategy Construction<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p>A key consideration in this study is that we <strong>do not<\/strong> construct a standalone \u201clow-SIR long-only\u201d strategy. As highlighted earlier, a substantial portion of the market\u2014approximately<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\"><strong> 25% of all observations\u2014consists of stocks with SIR = 0<\/strong><\/mark>. A pure low-SIR strategy would therefore select almost the entire zero-SIR universe, resulting in an overly broad and undifferentiated selection pool. Instead, SIR is used in a more targeted manner:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>either as a <strong>filter<\/strong> to avoid stocks facing institutional short-selling pressure, or<\/li>\n\n\n\n<li>as a <strong>complementary signal<\/strong> integrated with an existing factor to strengthen portfolio robustness.<\/li>\n<\/ul>\n\n\n\n<p>Given that <strong>52-week high momentum (MOM52WH)<\/strong> is a widely recognized and empirically strong factor, we design three strategies that allow us to compare:<\/p>\n\n\n\n<ol class=\"wp-block-list\">\n<li>a pure momentum strategy,<\/li>\n\n\n\n<li>a momentum strategy filtered through SIR, and<\/li>\n\n\n\n<li>a combined momentum\u2013SIR integrated factor.<\/li>\n<\/ol>\n\n\n\n<p>These strategies are rebalanced monthly, and each selects the <strong>top 50 stocks<\/strong> based on the specified ranking methodology.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Strategy_Definitions\"><\/span><strong>Strategy Definitions<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p>Table 1 summarizes the three strategies evaluated in this study. Each strategy follows a monthly rebalancing schedule and applies equal weighting across its 50 selected constituents.<\/p>\n\n\n\n<p>Table 1. factor strategy definition<\/p>\n\n\n\n<figure class=\"wp-block-table\"><table><tbody><tr><td>Strategy Name<\/td><td>strategy<\/td><td>Stock Selection Criteria<\/td><\/tr><tr><td>mom<\/td><td>Single-factor strategy &nbsp; &nbsp;<\/td><td> Selects the 50 stocks with the highest MOM52WH values, representing a pure momentum effect.<\/td><\/tr><tr><td>mom_mask_sir_zero<\/td><td>Sequential filtering strategy &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<\/td><td>(1) Filtering\uff1aExcludes all stocks with SIR &gt; 0. <br>(2) Ranking\uff1aAmong the remaining \u201czero-SIR\u201d stocks, selects the 50 with the highest MOM52WH values. &nbsp;<\/td><\/tr><tr><td>mom_sir<\/td><td>Composite integrated strategy<\/td><td>(1) Integration\uff1a Combines the momentum factor (MOM52WH) with the SIR factor (with SIR ranked in reverse order). <br>(2) Ranking\uff1a Selects the 50 stocks with the highest composite scores, targeting stocks with high momentum and low short-selling pressure. &nbsp;<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Performance_Analysis\"><\/span><strong>Performance Analysis<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p>This section provides a detailed comparison of the three strategies introduced earlier. We begin with the pure momentum strategy (<strong>mom<\/strong>) as the baseline, and then examine how the two SIR-enhanced strategies\u2014<strong>mom_sir<\/strong> and <strong>mom_mask_sir_zero<\/strong>\u2014differ in both return and risk dimensions.<\/p>\n\n\n\n<p><strong>Table2: Backtesting Performance Comparison of Strategies<\/strong><\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-fixed-layout\"><thead><tr><th><\/th><th class=\"has-text-align-right\" data-align=\"right\">mom<\/th><th class=\"has-text-align-right\" data-align=\"right\">mom_sir<\/th><th class=\"has-text-align-right\" data-align=\"right\">mom_mask_sir_zero<\/th><th class=\"has-text-align-right\" data-align=\"right\">benchmark<\/th><\/tr><\/thead><tbody><tr><td>Annual return<\/td><td class=\"has-text-align-right\" data-align=\"right\">12.70%<\/td><td class=\"has-text-align-right\" data-align=\"right\">16.41%<\/td><td class=\"has-text-align-right\" data-align=\"right\">21.69%<\/td><td class=\"has-text-align-right\" data-align=\"right\">13.61%<\/td><\/tr><tr><td>Cumulative returns<\/td><td class=\"has-text-align-right\" data-align=\"right\">329.20%<\/td><td class=\"has-text-align-right\" data-align=\"right\">536.36%<\/td><td class=\"has-text-align-right\" data-align=\"right\">993.30%<\/td><td class=\"has-text-align-right\" data-align=\"right\">373.38%<\/td><\/tr><tr><td>Annual volatility<\/td><td class=\"has-text-align-right\" data-align=\"right\">12.62%<\/td><td class=\"has-text-align-right\" data-align=\"right\">9.51%<\/td><td class=\"has-text-align-right\" data-align=\"right\">11.06%<\/td><td class=\"has-text-align-right\" data-align=\"right\">16.21%<\/td><\/tr><tr><td>Sharpe ratio<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.011<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.646<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.832<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.869<\/td><\/tr><tr><td>Max drawdown<\/td><td class=\"has-text-align-right\" data-align=\"right\">-21.96%<\/td><td class=\"has-text-align-right\" data-align=\"right\">-18.88%<\/td><td class=\"has-text-align-right\" data-align=\"right\">-20.71%<\/td><td class=\"has-text-align-right\" data-align=\"right\">-28.55%<\/td><\/tr><tr><td>Sortino ratio<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.366<\/td><td class=\"has-text-align-right\" data-align=\"right\">2.259<\/td><td class=\"has-text-align-right\" data-align=\"right\">2.549<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.212<\/td><\/tr><tr><td>Alpha<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.060<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.113<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.158<\/td><td class=\"has-text-align-right\" data-align=\"right\">\u3000<\/td><\/tr><tr><td>Beta<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.490<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.350<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.395<\/td><td class=\"has-text-align-right\" data-align=\"right\">\u3000<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<p><em>Data period: Jan 2013 \u2013 Jul 2025; Benchmark: TAIEX Total Return Index<\/em><\/p>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p><strong>&nbsp;Figure 1: Cumulative Returns of Strategies<\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"900\" height=\"419\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-733.png\" alt=\"\" class=\"wp-image-41729\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-733.png 900w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-733-300x140.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-733-150x70.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-733-768x358.png 768w\" sizes=\"(max-width: 900px) 100vw, 900px\" \/><\/figure>\n\n\n\n<p><em>Data period: Jan 2013 \u2013 Jul 2025; Benchmark: TAIEX Total Return Index<\/em><\/p>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p>The results lead to several clear conclusions\uff1a<\/p>\n\n\n\n<p>First, although the pure momentum strategy exhibits long-term effectiveness, its annualized return of <strong>12.70%<\/strong> slightly underperforms the market benchmark (<strong>13.61%<\/strong>) and comes with relatively higher volatility and drawdowns.<\/p>\n\n\n\n<p>In contrast, the two SIR-enhanced strategies demonstrate substantial improvements across both performance and risk metrics. This finding strongly supports the core premise of our study: <strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\">u<\/mark><\/strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\"><strong>sing SIR to avoid stocks under institutional short-selling pressure can significantly improve the robustness of momentum strategies<\/strong>.<\/mark><\/p>\n\n\n\n<p>By integrating SIR\u2014either as a filter or as part of a composite score\u2014the strategies deliver higher returns, lower volatility, and meaningfully better risk-adjusted performance.<\/p>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Conclusion\"><\/span>Conclusion<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>This study demonstrates that incorporating the Short Interest Ratio (SIR)\u2014a sentiment factor derived from institutional SBL short-selling activity\u2014can meaningfully enhance momentum-based strategies in Taiwan market. While a pure momentum approach remains broadly effective, its performance is constrained by higher volatility and exposure to stocks under negative institutional sentiment.<\/p>\n\n\n\n<p>The backtesting results show that <strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\">both SIR-enhanced strategies outperform the baseline momentum strategy across all key dimensions<\/mark><\/strong>, including annualized returns, volatility reduction, drawdown control, and overall risk-adjusted performance. Notably, simply filtering out stocks with SIR greater than zero already leads to a substantial improvement in strategy robustness. Meanwhile, the integrated factor approach, which combines momentum and SIR into a unified composite score, further strengthens the consistency of excess returns.<\/p>\n\n\n\n<p>These findings reaffirm a central insight of this research:<br><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\">institutional short-selling pressure contains actionable negative information, and systematically avoiding such stocks is an effective way to improve portfolio quality.<\/mark><\/strong><\/p>\n\n\n\n<p>In short, SIR is not only informative at the factor-analysis level but also highly practical when applied to real-world investment strategies. Its ability to refine stock selection, mitigate downside risks, and enhance performance makes it a compelling addition to Taiwan-focused quantitative models.<\/p>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Factor_Library%E2%80%93_A_Comprehensive_Framework_Covering_Sentiment_Momentum_Value_and_More\"><\/span><strong>Factor Library\u2013 A Comprehensive Framework Covering Sentiment, Momentum, Value, and More<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>The Short Interest Ratio (SIR) is only one part of the broader landscape of factor research, and the factor structure of Taiwan\u2019s equity market is far more diverse than any single indicator can capture. Built upon decades of complete historical data for all listed companies in Taiwan, the TEJ Factor Libreary provides an extensive multi-category factor system\u2014including <mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-luminous-vivid-orange-color\"><strong>sentiment factors, risk factors, momentum factors, value factors, quality factors, and more<\/strong>.<\/mark> Each factor is constructed with transparent methodologies, long lookback horizons, and research-grade consistency, making it directly applicable for quantitative analysis.<\/p>\n\n\n\n<p>For researchers and investors alike, high-quality and standardized factor data are essential not only for testing market hypotheses but also for building strategies, conducting backtests, and designing multi-factor asset allocation models. Whether you aim to explore how different factors behave in Taiwan\u2019s market or plan to integrate multi-factor frameworks into your own investment process, the TEJ Factor Library offers a reliable and analytically rich starting point.<\/p>\n\n\n\n<p>By developing a deeper understanding of these factors and applying them judiciously, investors can form more structured and resilient investment decisions\u2014continuously uncovering dependable market signals in an environment that is constantly evolving.<\/p>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"has-background has-medium-font-size\" style=\"background-color:#ffe9ae\"><em><strong>\u27a1\ufe0f<\/strong><\/em> <a href=\"https:\/\/www.tejwin.com\/en\/news\/factor-library\/\" target=\"_blank\" rel=\"noreferrer noopener\"><strong><em>See what\u2019s inside TEJ\u2019s Factor Library and explore the signals driving performance.<\/em><\/strong><\/a><\/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=\"cfIRXR8xmv\"><a href=\"https:\/\/www.tejwin.com\/en\/news\/tej-at-neudata-ny-summit-2025\/\">Highlighting Taiwan\u2019s Data Advantage: TEJ Joins the Neudata NY Data Summit<\/a><\/blockquote><iframe class=\"wp-embedded-content\" sandbox=\"allow-scripts\" security=\"restricted\" style=\"position: absolute; visibility: hidden;\" title=\"Highlighting Taiwan\u2019s Data Advantage: TEJ Joins the Neudata NY Data Summit &#8212; TEJ\" src=\"https:\/\/www.tejwin.com\/en\/news\/tej-at-neudata-ny-summit-2025\/embed\/#?secret=HAWJFzgehw#?secret=cfIRXR8xmv\" data-secret=\"cfIRXR8xmv\" width=\"600\" height=\"338\" frameborder=\"0\" marginwidth=\"0\" marginheight=\"0\" scrolling=\"no\"><\/iframe>\n<\/div><\/figure>\n","protected":false},"excerpt":{"rendered":"<p>This study examines whether incorporating the Short Interest Ratio (SIR) can improve the performance of a 52-week high momentum strategy in Taiwan. By comparing a baseline momentum model with two SIR-enhanced versions\u2014one using SIR as a filter and another integrating it into a composite score\u2014we find consistent gains in returns, lower volatility, and reduced drawdowns. The results show that SIR strengthens momentum strategies by identifying stocks under institutional short-selling pressure.<\/p>\n","protected":false},"featured_media":42044,"template":"","tags":[3063,3540,2987],"insight-category":[690],"class_list":["post-41728","insight","type-insight","status-publish","has-post-thumbnail","hentry","tag-backtesting-2","tag-factor-library","tag-quant","insight-category-data-analysis"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/41728","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":17,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/41728\/revisions"}],"predecessor-version":[{"id":43228,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/41728\/revisions\/43228"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media\/42044"}],"wp:attachment":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media?parent=41728"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/tags?post=41728"},{"taxonomy":"insight-category","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight-category?post=41728"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}