{"id":48992,"date":"2026-09-02T10:35:37","date_gmt":"2026-09-02T02:35:37","guid":{"rendered":"https:\/\/www.tejwin.com\/?post_type=insight&#038;p=48992"},"modified":"2026-09-09T16:41:11","modified_gmt":"2026-09-09T08:41:11","slug":"monthly-revenue-info-part2","status":"publish","type":"insight","link":"https:\/\/www.tejwin.com\/en\/insight\/monthly-revenue-info-part2\/","title":{"rendered":"Fundamental Factor Research: Monthly Revenue Information &#8211; part2"},"content":{"rendered":"\n<figure class=\"wp-block-image size-large\"><img fetchpriority=\"high\" decoding=\"async\" width=\"1024\" height=\"707\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/kelly-sikkema-G_91H-3qZOA-unsplash-\u6708\u71df\u6536-part-2-1024x707.jpg\" alt=\"\" class=\"wp-image-48994\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/kelly-sikkema-G_91H-3qZOA-unsplash-\u6708\u71df\u6536-part-2-1024x707.jpg 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/kelly-sikkema-G_91H-3qZOA-unsplash-\u6708\u71df\u6536-part-2-300x207.jpg 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/kelly-sikkema-G_91H-3qZOA-unsplash-\u6708\u71df\u6536-part-2-150x104.jpg 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/kelly-sikkema-G_91H-3qZOA-unsplash-\u6708\u71df\u6536-part-2-768x530.jpg 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/kelly-sikkema-G_91H-3qZOA-unsplash-\u6708\u71df\u6536-part-2-1536x1060.jpg 1536w, https:\/\/www.tejwin.com\/wp-content\/uploads\/kelly-sikkema-G_91H-3qZOA-unsplash-\u6708\u71df\u6536-part-2-2048x1413.jpg 2048w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\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\" target=\"_blank\" rel=\"noopener\">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\" target=\"_blank\" rel=\"noopener\">Unsplash<\/a><\/p>\n\n\n\n<div id=\"ez-toc-container\" class=\"ez-toc-v2_0_85 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-6aa369f559ae7\" 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-6aa369f559ae7\"  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\/monthly-revenue-info-part2\/#33_Quantitative_Strategy_and_Backtesting_Results\" >3.3 Quantitative Strategy and Backtesting Results<\/a><ul class='ez-toc-list-level-3' ><li class='ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-2\" href=\"https:\/\/www.tejwin.com\/en\/insight\/monthly-revenue-info-part2\/#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-3\" href=\"https:\/\/www.tejwin.com\/en\/insight\/monthly-revenue-info-part2\/#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-4\" href=\"https:\/\/www.tejwin.com\/en\/insight\/monthly-revenue-info-part2\/#34_Conclusion\" >3.4 Conclusion<\/a><\/li><\/ul><\/nav><\/div>\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"33_Quantitative_Strategy_and_Backtesting_Results\"><\/span><strong>3.3 Quantitative Strategy and Backtesting Results<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\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\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 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\n\n\n<p class=\"wp-block-paragraph\"><strong>Table 3-11: Definitions of Seven Strategies<\/strong><\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-background has-fixed-layout\" style=\"background-color:#e3effa\"><tbody><tr><td><strong>Strategy<\/strong><\/td><td><strong>Portfolio Level<\/strong><\/td><td><strong>Ranking Score<\/strong><\/td><\/tr><tr><td>(1) SURPS3MTA<\/td><td>Single-Factor<\/td><td>SURPS3MTA Ranking Score<\/td><\/tr><tr><td>(2) REVOPY<\/td><td>Single-Factor<\/td><td>REVOPY Ranking Score<\/td><\/tr><tr><td>(3) MOM52WH<\/td><td>Single-Factor<\/td><td>MOM52WH Ranking Score<\/td><\/tr><tr><td>(4) SURPS+OPY<\/td><td>Dual-Factor<\/td><td>SURPS3MTA + REVOPY Ranking Score Sum<\/td><\/tr><tr><td>(5) SURPS+MOM<\/td><td>Dual-Factor<\/td><td>SURPS3MTA + MOM52WH Ranking Score Sum<\/td><\/tr><tr><td>(6) OPY+MOM<\/td><td>Dual-Factor<\/td><td>REVOPY + MOM52WH Ranking Score Sum<\/td><\/tr><tr><td>(7) SURPS+OPY+MOM<\/td><td>Triple-Factor<\/td><td>SURPS3MTA + REVOPY + MOM52WH Ranking Score Sum<\/td><\/tr><\/tbody><\/table><\/figure>\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 class=\"wp-block-paragraph\">Backtesting results across the 7 strategies indicate:<\/p>\n\n\n\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\n\n\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\n\n\n<li><strong>Complementary Value of Weaker Factors: <\/strong>Although REVOPY is weakest standalone, adding it to &#8220;SURPS+MOM&#8221; boosts Sharpe ratio from 1.647 to 1.779, providing significant incremental contribution. The triple-factor strategy&#8217;s 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\n\n\n<p class=\"wp-block-paragraph\"><strong>Table 3-12: Backtesting Performance Metrics of Seven Strategies<\/strong><\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-background has-fixed-layout\" style=\"background-color:#e3effa\"><tbody><tr><td><strong>Metric<\/strong><\/td><td><strong>(1) SURPS<\/strong><\/td><td><strong>(2) REVOPY<\/strong><\/td><td><strong>(3) MOM52WH<\/strong><\/td><td><strong>(4) SURPS+OPY<\/strong><\/td><td><strong>(5) SURPS+MOM<\/strong><\/td><td><strong>(6) OPY+MOM<\/strong><\/td><td><strong>(7) Triple<\/strong><\/td><td><strong>Benchmark<\/strong><\/td><\/tr><tr><td>Annualized Return<\/td><td>23.51%<\/td><td>6.85%<\/td><td>19.14%<\/td><td>21.29%<\/td><td>28.52%<\/td><td>18.40%<\/td><td>26.06%<\/td><td>19.32%<\/td><\/tr><tr><td>Cumulative Return<\/td><td>942.88%<\/td><td>108.73%<\/td><td>598.98%<\/td><td>752.81%<\/td><td>1521.00%<\/td><td>552.51%<\/td><td>1208.46%<\/td><td>611.06%<\/td><\/tr><tr><td>Annualized Volatility<\/td><td>18.56%<\/td><td>15.37%<\/td><td>13.28%<\/td><td>15.30%<\/td><td>16.03%<\/td><td>11.82%<\/td><td>13.54%<\/td><td>17.60%<\/td><\/tr><tr><td>Sharpe Ratio<\/td><td>1.232<\/td><td>0.509<\/td><td>1.386<\/td><td>1.339<\/td><td>1.647<\/td><td>1.489<\/td><td>1.779<\/td><td>1.093<\/td><\/tr><tr><td>Max Drawdown<\/td><td>\u221233.73%<\/td><td>\u221231.55%<\/td><td>\u221221.76%<\/td><td>\u221228.98%<\/td><td>\u221222.83%<\/td><td>\u221224.14%<\/td><td>\u221223.42%<\/td><td>\u221228.76%<\/td><\/tr><tr><td>Sortino Ratio<\/td><td>1.665<\/td><td>0.663<\/td><td>1.915<\/td><td>1.797<\/td><td>2.285<\/td><td>1.993<\/td><td>2.428<\/td><td>1.542<\/td><\/tr><tr><td>Alpha<\/td><td>0.072<\/td><td>\u22120.052<\/td><td>0.083<\/td><td>0.074<\/td><td>0.143<\/td><td>0.080<\/td><td>0.134<\/td><td>\u2014<\/td><\/tr><tr><td>Beta<\/td><td>0.827<\/td><td>0.684<\/td><td>0.545<\/td><td>0.695<\/td><td>0.676<\/td><td>0.517<\/td><td>0.598<\/td><td>\u2014<\/td><\/tr><tr><td>Annual Turnover (One-Way)<\/td><td>6.15<\/td><td>1.96<\/td><td>7.07<\/td><td>4.55<\/td><td>6.22<\/td><td>3.60<\/td><td>4.68<\/td><td>\u2014<\/td><\/tr><tr><td>Annual Trading Cost<\/td><td>3.60%<\/td><td>1.17%<\/td><td>4.13%<\/td><td>2.67%<\/td><td>3.64%<\/td><td>2.11%<\/td><td>2.74%<\/td><td>\u2014<\/td><\/tr><tr><td>Monthly NW Alpha t<\/td><td>2.124<\/td><td>\u22121.095<\/td><td>3.649<\/td><td>2.507<\/td><td>4.102<\/td><td>3.063<\/td><td>5.454<\/td><td>\u2014<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\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\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Figure 3-13: Cumulative Returns of Single-Factor Strategies vs. Benchmark Index<\/em><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"624\" height=\"351\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-988.png\" alt=\"\" class=\"wp-image-48998\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-988.png 624w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-988-300x169.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-988-150x84.png 150w\" sizes=\"(max-width: 624px) 100vw, 624px\" \/><\/figure>\n\n\n\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\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Figure 3-14: Cumulative Returns of Multi-Factor Strategies vs. Benchmark Index<\/em><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"624\" height=\"351\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-987.png\" alt=\"\" class=\"wp-image-48996\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-987.png 624w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-987-300x169.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-987-150x84.png 150w\" sizes=\"(max-width: 624px) 100vw, 624px\" \/><\/figure>\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=\"34_Conclusion\"><\/span><strong>3.4 Conclusion<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\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\n\n\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\n\n\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\n\n\n<p class=\"wp-block-paragraph\">These empirical results validate the value of monthly revenue disclosures: Taiwan&#8217;s 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\n\n\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\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\"><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=\"https:\/\/www.tejwin.com\/en\/solution\/quantitative-finance-solution\/\" target=\"_blank\" rel=\"noreferrer noopener nofollow\"><strong>click here for quantitative finance solution!<\/strong><\/a><\/div>\n<\/div>\n\n\n\n<p class=\"wp-block-paragraph\"><\/p>\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":48994,"template":"","tags":[2988],"insight-category":[3653],"class_list":["post-48992","insight","type-insight","status-publish","has-post-thumbnail","hentry","tag-quantitative-analysis","insight-category-quant-research"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/48992","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":7,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/48992\/revisions"}],"predecessor-version":[{"id":49220,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/48992\/revisions\/49220"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media\/48994"}],"wp:attachment":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media?parent=48992"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/tags?post=48992"},{"taxonomy":"insight-category","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight-category?post=48992"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}