Also known as: 特選Smart多因子指數 · IX0137 Index (Bloomberg) · IX0137 (TIP code)
Tracked by: 00905 (ETF)
At a glance
- Weighting schemeFactor tilted
- Review frequencyQuarterly
- Single cap30
| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| M1 Identity, objective, classification · 10 fields | |||
| Strategy partner | Franklin Advisors, Inc. | FAV 提供指數選股方式及權重配置之專有方法，由臺灣指數公司酌量臺灣市場特性，設計指數編製規則Open p.1 ↗ |
Franklin Advisors provides the proprietary stock-selection and weight-allocation methodology. |
| Index name | Taiwan Index Plus Select Smart Multi-Factor Index | 編製「臺灣指數公司特選Smart 多因子指數」(簡稱「特選Smart 多因子指數」)。Open p.1 ↗ |
The official Chinese name corresponds to the Taiwan Index Plus Select Smart Multi-Factor Index. |
| Local index name | 臺灣指數公司特選Smart 多因子指數 | 編製「臺灣指數公司特選Smart 多因子指數」(簡稱「特選Smart 多因子指數」)。Open p.1 ↗ |
The local index name is Taiwan Index Plus Select Smart Multi-Factor Index. |
| Administrator | 臺灣指數公司 | 由臺灣指數公司酌量臺灣市場特性，設計指數編製規則，編製「臺灣指數公司特選Smart 多因子指數」Open p.1 ↗ |
Taiwan Index Plus designs the compilation rules and compiles the index. |
| Index family | 特選Smart 多因子指數 | 臺灣指數公司特選Smart 多因子指數Open p.1 ↗ |
The document presents the Select Smart Multi-Factor Index family methodology. |
| Objective | 運用品質、價值以及動能等投資因子與市場權值股指標篩選成分股，再藉多因子量化模型分配權重，以增強投資績效表現 | 利用多元財務、市場指標表彰投資因子特性，運用品質、價值以及動能等投資因子與市場權值股指標篩選成分股，再藉多因子量化模型分配權重，以增強投資績效表現Open p.1 ↗ |
The index uses quality, value, momentum and market-capitalization indicators to select constituents and a multi-factor quantitative model to allocate weights to enhance investment performance. |
| Market classification | Domestic | 臺灣證券交易所上市普通股股票；非屬經公告為變更交易方法或停止買賣股票者Open p.1 ↗ |
The index is tailored to the Taiwan market and draws securities from Taiwan Stock Exchange listings. |
| Size segment | Custom | 自採樣母體選取發行市值大於等於25 分位數且平均建倉天數(Average-Day-to-Trade：ADTV)不大於10 日之股票。Open p.4 ↗ |
The index uses a custom size screen at or above the 25th percentile of issued market value rather than a standard large-, mid-, or small-cap tier. |
| Index family type | Multi factor | 將多因子模型結合傳統市值加權方法，利用多元財務、市場指標表彰投資因子特性，運用品質、價值以及動能等投資因子Open p.1 ↗ |
The index family is a multi-factor strategy combining quality, value, and momentum factors. |
| Factor exposures | Value, Quality, Momentum | 運用品質、價值以及動能等投資因子與市場權值股指標篩選成分股，再藉多因子量化模型分配權重Open p.1 ↗ |
The index targets value, quality, and momentum factor exposures. |
| M2 Universe · 5 fields | |||
| Suspension exception | Securities that stop trading because of capital reduction, conversion into a holding company, or share exchange for a newly established company may remain in the universe. | 但因減資或轉換為控股公司、新設公司換發新股票而停止買賣者仍可列入母體。Open p.1 ↗ |
Securities suspended due to capital reduction, holding-company conversion, or a new-company share exchange are still allowed in the parent universe. |
| Markets | Taiwan | 臺灣證券交易所上市普通股股票；非屬經公告為變更交易方法或停止買賣股票者Open p.1 ↗ |
The eligible universe covers Taiwan-listed securities. |
| Exchanges | 臺灣證券交易所 | 臺灣證券交易所上市普通股股票；非屬經公告為變更交易方法或停止買賣股票者Open p.1 ↗ |
The universe consists of stocks listed on the Taiwan Stock Exchange. |
| Security types | Common | 臺灣證券交易所上市普通股股票；非屬經公告為變更交易方法或停止買賣股票者Open p.1 ↗ |
The sampling universe is common stocks listed on the Taiwan Stock Exchange. |
| Exclusions | Securities publicly announced as having altered trading methods, Securities publicly announced as suspended from trading | 非屬經公告為變更交易方法或停止買賣股票者；但因減資或轉換為控股公司、新設公司換發新股票而停止買賣者仍可列入母體。Open p.1 ↗ |
Securities under an announced altered-trading-method designation or trading suspension are excluded from the universe, subject to a capital-reduction or holding-company conversion exception. |
| M3 Eligibility screens · 7 fields | |||
| Adtv AUM assumption | Amount: 6,000,000,000; Currency: TWD | 其中AUM 設定為新臺幣60 億元、𝜔𝑏𝑒𝑛𝑐ℎ𝑚𝑎𝑟𝑘,𝑖為股票i 於資料截止日在採樣母體之發行市值權重Open p.4 ↗ |
The Average-Day-to-Trade calculation sets assets under management at New Taiwan dollar 6 billion. |
| Factor screening | Stocks passing liquidity screening are scored on value, quality, and momentum factor indicators, with appropriate outlier treatment. | 通過流動性篩選之股票分別依照以下投資因子定義計算指標分數： (指標分數得經過適當的極端值處理) (1)價值因子指標Open p.4 ↗ |
After the liquidity screen, stocks receive indicator scores for value, quality, and momentum factors, and indicators may undergo outlier treatment. |
| Value factor indicators | operating cash flow to price, EBITDA to enterprise value, earnings to price, shareholder yield | 以上指標分別依照金融股與非金融股計算價值因子分數：金融股價值因子分數 = 0.4 * Z(營業現金流量對股價比) + 0.4 * Z(益本比) + 0.2 * Z(股東收益率)。Open p.2 ↗ |
The value factor uses operating cash flow to price, EBITDA to enterprise value, earnings to price, and shareholder yield. |
| Quality factor indicators | return on equity, earnings variability, cash flow to assets, return on assets, gross profit to assets, Leverage | 非金融股品質因子分數 = 0.2 * [ Z(股東權益報酬率) + Z(收益變動率) + Z(現金流量對資產比) + Z(毛利對資產比) + Z(槓桿度)]。Open p.3 ↗ |
The quality factor uses return on equity, earnings variability, cash flow to assets, return on assets, gross profit to assets, and leverage. |
| Momentum factor indicator | Risk-adjusted six-month and twelve-month price momentum, with the overnight interbank loan rate as the risk-free rate and three-year weekly return volatility as the denominator. | 𝑅𝑓,𝑡為資料截止日之臺灣金融業隔夜拆款利率，𝜎為近三年週還原股價報酬率之年化樣本標準差。Open p.4 ↗ |
The momentum indicator combines six-month and twelve-month returns in excess of the overnight interbank loan rate, scaled by three-year annualized weekly return volatility. |
| Liquidity screen | Metric: Other; Window: 90 days for average trading volume; Threshold: Average-Day-to-Trade no greater than 10 days | 流動性檢驗：自採樣母體選取發行市值大於等於25 分位數且平均建倉天數(Average-Day-to-Trade：ADTV)不大於10 日之股票。Open p.4 ↗ |
Stocks must have issued market value at or above the 25th percentile and an Average-Day-to-Trade measure no greater than 10 days, using 90-day average trading volume. |
| Minimum size | Metric: Full market cap; Threshold: issued market value at or above the 25th percentile | 自採樣母體選取發行市值大於等於25 分位數且平均建倉天數(Average-Day-to-Trade：ADTV)不大於10 日之股票。Open p.4 ↗ |
A stock must have issued market value at or above the 25th percentile of the sampling universe. |
| M4 Selection and constituent count · 2 fields | |||
| Selection method | Screen all eligible | 選取通過流動性篩選股票中發行市值大於等於25 分位數者為候選名單。 (2) 候選名單中資料截止日在母體之發行市值權重𝜔𝑏𝑒𝑛𝑐ℎ𝑚𝑎𝑟𝑘,𝑖≥1%者無條件納入(下稱成分股集合一)。Open p.4 ↗ |
Eligible stocks are screened for liquidity and market capitalization, mandatory stocks are included, and remaining candidates are ranked by multifactor score. |
| Ranking metrics | Name: Multifactor score; Direction: Descending; Step order: 1, Name: Quality factor score; Direction: Descending; Step order: 2, Name: Value factor score; Direction: Descending; Step order: 3, Name: Momentum factor score; Direction: Descending; Step order: 4 | 股票之多因子分數 = 0.4 * 品質因子分數 + 0.3 * 價值因子分數 + 0.3 * 動能因子分數。Open p.4 ↗ |
Stocks outside the mandatory set are ranked by multifactor score, which combines quality, value, and momentum factor scores. |
| M5 Weighting and capping · 7 fields | |||
| Mandatory constituent weight formula | weight_i = max(0, benchmark_weight_i * 100 + 0.67 * multifactor_weight_coefficient_i) percent | 首先計算成分股集合一之權重，成分股集合一內股票i 之權重= max{0, 𝜔𝑏𝑒𝑛𝑐ℎ𝑚𝑎𝑟𝑘,𝑖∗100 + 0.67 ∗ 𝑍𝑚𝑢𝑙𝑡,𝑗 𝑍𝑚𝑢𝑙𝑡,𝑖} %。Open p.5 ↗ |
The weight of each stock in constituent set one is calculated from its benchmark market-cap weight and multifactor weight coefficient, floored at zero. |
| Remaining constituent weight formula | Set two receives the remaining weight after set one, allocated by multifactor weight coefficients. | 成分股集合二內股票j 之權重 = (𝜔𝑟𝑒𝑚𝑎𝑖𝑛∗ ) %， ∑𝑍𝑚𝑢𝑙𝑡,𝑗 𝑗其中𝑍𝑚𝑢𝑙𝑡為多因子權重係數，𝜔𝑟𝑒𝑚𝑎𝑖𝑛為扣除成分股集合一總權重後之剩餘權重。Open p.5 ↗ |
Stocks in constituent set two share the weight remaining after set one according to their multifactor weight coefficients. |
| Excess weight redistribution | Excess weight above the cap is redistributed proportionally to remaining stocks. | 且不得超過30%。超過的部分依照權重比例分配給剩餘股票。Open p.5 ↗ |
Any weight exceeding a stock's cap is allocated proportionally to the remaining stocks. |
| Weighting scheme | Factor tilted | 1. 投資因子加權。 2. 依投資因子分數作為計算標準，首先計算成分股集合一之權重Open p.5 ↗ |
Constituents are weighted using investment-factor scores and multifactor weight coefficients rather than pure market capitalization. |
| Weight cap | 30% | 另設定股票權重上限 = min{ 𝜔𝑏𝑒𝑛𝑐ℎ𝑚𝑎𝑟𝑘,ℎ+ 2%, 𝜔𝑏𝑒𝑛𝑐ℎ𝑚𝑎𝑟𝑘,ℎ∗5}，{ℎ} = {𝑖} ∪{𝑗}，且不得超過30%。Open p.5 ↗ |
A stock's weight may not exceed 30 percent and is also capped by the lesser of benchmark weight plus 2 percentage points or five times benchmark weight. |
| Free float factor | Method: Free float | 發行股數−不可自由流通股數自由流通量係數=發行股數From TIP Free Float Coefficient Calculation Guide ↗ |
The free float factor equals issued shares minus non-freely-tradable shares divided by issued shares, rounded to the nearest 1%. |
| Divisor adjustment rule | Market-capitalization reference indices adjust the divisor while leaving coefficient products unchanged; investable and Smart Beta indices may adjust coefficient products or the divisor according to indexing-investment needs. | 「市值參考型指數」係傳統的市場參考指標，主要反映指數成分股價格波動所造成的發行市值消長，為避免僅因企業活動改變指數市值而導致指數斷層的不連續現象，採調整指數除數但係數乘積不變的方式，以維持指數的連續性From TIP Corporate Actions and Events Methodology ↗ |
To maintain index continuity, market-capitalization reference indices adjust the divisor without changing coefficient products, while market-capitalization investable and Smart Beta indices assess practical indexing needs and adjust coefficient products or the divisor. |
| M6 Review and rebalance schedule · 12 fields | |||
| Review constituent count not fixed | Yes | 每次定期審核成分股數目非固定。Open p.6 ↗ |
The number of constituents selected at each scheduled review is not fixed. |
| Holding or new company data rule | When a holding company or newly established company has insufficient data for the scheduled review, data from a representative company or stock may be combined if the converted-share representative company qualifies in the sampling universe. | 控股公司或新設公司定期審核使用之成分股篩選資料期間不足者，如轉換股份之代表公司符合採樣母體資格，得合併採用該代表公司或股票之資料。Open p.6 ↗ |
For a holding or newly established company lacking sufficient review data, data from a qualifying representative company or stock may be combined. |
| Divisor maintenance data rule | The index divisor is maintained using closing data on the trading day immediately before the scheduled review effective date. | 指數除數維護方式，採成分股定期審核生效日前一交易日收盤資料，計算新成分股組合與原成分股組合之指數市値Open p.6 ↗ |
Index divisor maintenance uses closing data from the trading day immediately before a scheduled review becomes effective. |
| Divisor adjustment basis | The change in total index market value is calculated as the difference between the new and original constituent portfolios after investment-factor coefficient adjustment. | 計算新成分股組合與原成分股組合之指數市値（投資因子係數調整後指數總市值）差異作為異動指數市值總和。Open p.6 ↗ |
The divisor adjustment is based on the difference in adjusted total index market capitalization between the new and original constituent portfolios. |
| Review frequency | Quarterly | 每年4 次進行成分股審核，以1、4、7 以及10 月的第7 個交易日為審核基準日，審核資料截至前年12 月、當年3 月、6 月以及9 月最後1 個交易日。Open p.6 ↗ |
Constituent reviews are conducted four times per year. |
| Review types | Scheduled review, Ad hoc | 每年4 次進行成分股審核，以1、4、7 以及10 月的第7 個交易日為審核基準日Open p.6 ↗ |
The index has scheduled quarterly reviews and unscheduled constituent adjustments. |
| Review months | 1, 4, 7, 10 | 每年4 次進行成分股審核，以1、4、7 以及10 月的第7 個交易日為審核基準日Open p.6 ↗ |
Scheduled reviews use the seventh trading day of January, April, July, and October. |
| Data cutoff rule | Reference date: seventh_trading_day_of_January_April_July_October; Data cutoff months: previous_year_December, current_year_March, current_year_June, current_year_September; Data cutoff rule: Last trading day of listed months | 以1、4、7 以及10 月的第7 個交易日為審核基準日，審核資料截至前年12 月、當年3 月、6 月以及9 月最後1 個交易日。Open p.6 ↗ |
The review reference date is the seventh trading day of January, April, July, and October, using data through the last trading day of the preceding December, March, June, and September, respectively. |
| Announcement rule | — | — (not found verbatim in the PDF) |
|
| Effective date rule | Trigger: Review reference date; Lag: 5 trading days | 成分股定期審核結果，於審核基準日之後，間隔 5 個交易日後生效。Open p.6 ↗ |
Scheduled review results take effect five trading days after the review reference date. |
| Rebalance frequency | — | — (not found verbatim in the PDF) |
|
| Weight reset frequency | — | — (not found verbatim in the PDF) |
|
| M8 Corporate actions, IPOs, ad-hoc changes · 3 fields | |||
| Corporate actions guide ref | TIP 指數系列企業活動處理通則 | 成分股不定期調整、投資因子係數、發行股數、指數除數等維護，依本公司「TIP 指數系列企業活動處理通則」辦理。Open p.7 ↗ |
Unscheduled constituent adjustments and maintenance of investment-factor coefficients, shares outstanding, and the index divisor follow the TIP Index Series Corporate Action Processing Rules. |
| Ad-hoc deletion | Delisting, Risk warning, Acquisition, Other | Constituents may be deleted ad hoc on delisting or cessation that removes index-universe eligibility, persistent changed trading methods, and merger-related termination; the document also includes an other-event category. | |
| Merger spinoff rules | Merger acquisition: Treatment depends on whether the acquirer is a constituent and whether consideration is cash, newly issued shares, or mixed cash and shares; acquired constituents are deleted at termination, retained market value is used during suspension, and acquirer shares or coefficients are adjusted as specified; Spin off: Spin-offs are treated according to whether the spun-off new or existing company belongs to the index universe and sampling universe; if it qualifies, it may be added, otherwise the split constituent is deleted or retained with reduced shares and divisor adjustment | 合併公司全數以現金收購合併成分股公司或非成分股公司From TIP Corporate Actions and Events Methodology ↗ |
Mergers and acquisitions are handled according to the acquirer's constituent status and the form of consideration, with acquired constituents deleted, retained values carried through suspension, and shares, coefficients and divisors adjusted by the applicable branch. A constituent spin-off may result in deletion, retention with a reduced share count, or inclusion of the spun-off company depending on index-universe and sampling-universe eligibility. |
| M9 Calculation and return variants · 11 fields | |||
| Index administrator and calculation agent | Administrator: 臺灣指數公司; Calculation agent: 臺灣證券交易所 | 由臺灣指數公司負責編製，委請臺灣證券交易所計算及即時資訊傳輸。Open p.1 ↗ |
Taiwan Index Company compiles the index, while the Taiwan Stock Exchange calculates it and transmits real-time information. |
| Total return index frequency | Once daily after close | 該指數於每日收盤後計算並公布一次。Open p.5 ↗ |
The total return index is calculated and published once after the daily close. |
| Base date and base value | Base date: 2020-08-07; Base value: 5,000 | 註1：基期設定為2020 年8 月7 日，基準指數設定為5000 點。Open p.6 ↗ |
The base date is August 7, 2020, and the base index value is 5,000 points. |
| Formula type | Divisor | 𝑛 ∑ 𝑐𝑖×𝑠𝑖(𝑡)×𝑝𝑖(𝑡) 𝑖=1 𝐼𝑛𝑑𝑒𝑥(𝑡) = × 5000 𝐷𝑖𝑣𝑖𝑠𝑜𝑟(𝑡)Open p.5 ↗ |
The index is calculated using a divisor formula based on the sum of constituent market capitalizations and a base index value of 5,000. |
| Price source | Latest trade price | 𝑝𝑖(𝑡) = i 成分股在t 日的最新成交價格Open p.5 ↗ |
Constituent prices used in the index are the latest traded prices. |
| Calculation frequency | Real time interval seconds: 5; End of day: Yes | 於臺灣證券交易所交易時間內，每隔五秒以成分股最新成交價格計算及公布即時指數一次，並於每日收盤後計算一次收盤指數。Open p.5 ↗ |
During TWSE trading hours, the real-time index is calculated and published every five seconds, and a closing index is calculated once after each day's close. |
| Return variants | PR, GTR | 特選Smart 多因子指數分「價格指數」 (Price Index)、「報酬指數」 (Total Return Index)Open p.1 ↗ |
The index family includes a price index and a total return index. |
| Dividend treatment | Cash dividends reflected in total return index | 臺灣指數公司另編製特選Smart 多因子報酬指數，就特選Smart 多因子指數考量現金股利因素後加以調整，用以反映包含現金股利之報酬Open p.5 ↗ |
The total return index is adjusted to include the effect of cash dividends, while the price index is the non-dividend-adjusted version. |
| Divisor adjustment | Corporate actions, Ex dividend events for total return index | 收盤後成分股依本公司「TIP 指數系列企業活動處理通則」SmartBeta 投資型指數調整指數除數以維持指數連續性Open p.6 ↗ |
The divisor is adjusted after market close for corporate actions under the TIP corporate-action rules and for constituent ex-dividend events in the total return index. |
| Market disruption rule | If the TWSE centralised market cannot open normally or is closed, index calculation and publication stop. | 若證交所有價證券集中交易市場（以下稱：集中市場）因故無法正常開市或休市，指數將停止計算發布。From TIP General Principles for TIP Securities Indices ↗ |
Index calculation and publication are stopped when the Taiwan Stock Exchange centralised market is unable to open normally or is closed. |
| Recalculation policy | Missed intraday real-time indices are not recalculated after a real-time calculation or publication system failure., Affected daily closing indices after a major-emergency suspension are recalculated within five trading days after operations resume. | 若指數發生3.3.2 之情事，將不會回溯計算發布遺漏的盤中即時指數。From TIP General Principles for TIP Securities Indices ↗ |
Missed intraday real-time values are not back-calculated, whereas closing values affected by a major-emergency suspension are retrospectively calculated and corrected. |
| M10 Governance, change policy, disclosure · 8 fields | |||
| Periodic constituent review responsibility | Taiwan Index Company conducts periodic constituent reviews under the index compilation rules. | 臺灣指數公司依指數編製規則進行成分股定期審核。Open p.1 ↗ |
Taiwan Index Company conducts periodic reviews of constituents according to the index compilation rules. |
| Market capitalization records retention | Closing market capitalization records of all constituents are retained | 臺灣指數公司將保存所有成分股的收盤市值紀錄。Open p.1 ↗ |
Taiwan Index Company retains closing market-capitalization records for all constituent stocks. |
| Oversight body | Index Compilation Committee | 本公司設立指數編製委員會，提供對指數編製、維護等的重大規則的相關諮詢和建議，並對其他涉及指數運作和業務發展的事項提供建議。From TIP General Principles for TIP Securities Indices ↗ |
The company establishes an Index Compilation Committee to provide consultation and recommendations on major index compilation and maintenance rules. |
| Discretion points | handling urgent situations not covered or not clearly governed by the rules, deciding whether to terminate an index, final decision on changes to individual index compilation rules, adjusting weight-cap parameters when weights total less than 100%, shortening the announcement period for methodology changes in specified circumstances | 又必須及時處理時，其處理方式的任何決定，本公司將基於指數能符合公正、公平、公開的原則下進行決策。From TIP General Principles for TIP Securities Indices ↗ |
The company may decide treatment of unforeseen urgent matters, determine whether to terminate indices, make final decisions on methodology changes, and adjust weight-cap parameters or notice periods in specified situations. |
| Methodology review frequency | The general rules are reviewed from time to time; the committee normally meets twice per year. | 本指數通則由本公司不定期審視，以期能持續實現指數之編製目標From TIP General Principles for TIP Securities Indices ↗ |
The general rules are reviewed irregularly, while the Index Compilation Committee is normally convened twice per year. |
| External review | The Index Compilation Committee is consulted on content formulation and major changes to the general rules. | 內容制定或任何重大變更將向指數編製委員會徵詢意見，作為擬訂或增修之參考。From TIP General Principles for TIP Securities Indices ↗ |
Opinions are sought from the Index Compilation Committee when formulating the rules or making any material changes. |
| Change announcement | Taiwan Index Company website, technical notices, press releases, notifications to authorised clients | 授權發行金融商品之指數，編製規則修改將於新編製規則生效前於本公司網站公告技術通知。From TIP General Principles for TIP Securities Indices ↗ |
Results, rules, changes and emergency responses are disclosed on the company website, through technical notices or press releases, and by notifications to authorised clients. |
| Cessation policy | insufficient number of constituents, incomplete or unreliable data required for periodic review, changes in market environment, regulations or potential constituents making the objective difficult to achieve, a customised index's original purpose no longer exists or there is no practical application demand | 指數終止編製發布之啟動事由，包含但不限於下列情事；本公司經審慎評估後，決定指數是否終止編製發布。指數成分數量不足From TIP General Principles for TIP Securities Indices ↗ |
An index may be terminated after careful assessment when constituents are insufficient, review data are incomplete or unreliable, market or regulatory changes prevent achievement of its objective, or a customised index has no purpose or demand. |
Open points · 34Model-written, for reference
- 1Index code, ISIN, third-party vendor tickers, launch date, base date, base value, calculation currency, methodology version, and methodology date were not stated.
- 2Calculation agent, intended use, benchmark regulatory status, and stated index limitations were not found.
- 3No explicit minimum listing or trading-history requirement was stated.
- 4No explicit minimum free float, foreign room, voting rights, minimum share price, financial eligibility screen, ESG exclusion, review suspension rule, or abnormal-price-increase screen was stated.
- 5The liquidity metric is an Average-Day-to-Trade measure and does not exactly match the predefined liquidity screen metric enumeration; the source rule was preserved in the structured value and evidence.
- 6No fixed target constituent count, count range, or coverage percentage is stated in M4 or M5.
- 7No tie-breaking rule is stated for stocks with equal multifactor scores.
- 8No sector or industry neutrality requirement is stated.
- 9No reserve list or pre-ranked replacement-pool size rule is stated.
- 10No free-float factor methodology or free-float bands are stated in M4 or M5.
- 11No domestic inclusion factor or foreign ownership limit treatment is stated.
- 12No group, sector, or country aggregate weight cap is stated.
- 13The timing for applying the single-stock weight cap is not explicitly stated.
- 14The source and update timing for shares outstanding are not stated.
- 15No divisor adjustment rule is stated.
- 16No announcement publication date or channel is stated.
- 17No separate weight-rebalancing or capped/factor-weight reset frequency is stated beyond scheduled constituent reviews and unscheduled corporate-action maintenance.
- 18No rank buffer, size-segment buffer, liquidity buffer for existing constituents, or maximum turnover per review is stated.
- 19No fast-entry rule for large new listings is stated.
- 20No specific ad-hoc deletion triggers, replacement policy, merger or spin-off treatment, deletion price, or share/float-change threshold is stated; the document refers these matters to the separate TIP corporate-action guide.
- 21Published index precision or number of decimal places is not stated.
- 22Withholding tax basis for a net total return variant is not stated; only price and total return variants are identified.
- 23Market disruption or market-closure calculation rules are not stated.
- 24Recalculation, error correction, and restatement policies are not stated.
- 25Oversight body or committee is not identified.
- 26Discretionary powers and their permitted situations are not stated.
- 27Methodology review frequency is not stated.
- 28External review or consultation procedures are not stated.
- 29Material change definition is not stated.
- 30Notice period for methodology or constituent changes is not stated.
- 31Disclosure channels beyond real-time transmission by the Taiwan Stock Exchange are not specified.
- 32Whether and how often a constituent list is published is not stated.
- 33Index cessation or discontinuation policy is not stated.
- 34Not coveredM7 Buffers and turnover control: not covered by this edition
Read by a language model (doubao-seed-2.1-pro) on 2026-10-04 · prompt 1.3 · schema 1 · 62 of 62 quotes found word for word in the PDF · includes general rules: General Principles for TIP Securities Indices v1.1.2, TIP Corporate Actions and Events Methodology v2.3.7, TIP Free Float Coefficient Calculation Guide v1.0.0
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