Also known as: 低波動股利精選30指數 · TWLO30 Index (Bloomberg) · LV30 (TIP code)
Tracked by: 00701 (ETF)
At a glance
- Weighting schemeFree float market cap
- Review frequencyAnnual
- Single cap20
| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| M1 Identity, objective, classification · 10 fields | |||
| Low volatility premise | The methodology cites the low-volatility anomaly, in which standard deviation and future returns are negatively correlated. | 低波動度悖論描述市場上標準差與未來報酬呈負相關之現象，換言之，低波動度股票組合之長期投資表現往往勝過一般高波動的股票Open p.1 ↗ |
The methodology states that low-volatility stock portfolios may outperform high-volatility stocks over the long term. |
| Index name | Taiwan Index Service Low Volatility Dividend Select 30 Index | 編製「臺灣指數公司低波動股利精選30 指數」（簡稱「低波動股利精選30 指數」）。Open p.1 ↗ |
The document names the index as the Taiwan Index Service Low Volatility Dividend Select 30 Index. |
| Index short name | 低波動股利精選30 指數 | 編製「臺灣指數公司低波動股利精選30 指數」（簡稱「低波動股利精選30 指數」）。Open p.1 ↗ |
The short name used by the vendor is Low Volatility Dividend Select 30 Index. |
| Local index name | 臺灣指數公司低波動股利精選30 指數 | 編製「臺灣指數公司低波動股利精選30 指數」（簡稱「低波動股利精選30 指數」）。Open p.1 ↗ |
The local-language index name is 臺灣指數公司低波動股利精選30 指數. |
| Administrator | 臺灣指數公司 | 臺灣指數公司利用這項特質，篩選短、中、長期加權平均波動率低兼顧市值、股利的股票組合Open p.1 ↗ |
Taiwan Index Service is the index provider compiling the index. |
| Index family | 臺灣指數公司 | 臺灣指數公司利用這項特質，篩選短、中、長期加權平均波動率低兼顧市值、股利的股票組合Open p.1 ↗ |
The index is a Taiwan Index Service index. |
| Objective | 篩選短、中、長期加權平均波動率低兼顧市值、股利的股票組合 | 臺灣指數公司利用這項特質，篩選短、中、長期加權平均波動率低兼顧市值、股利的股票組合Open p.1 ↗ |
The index selects a stock portfolio with low short-, medium-, and long-term weighted average volatility while considering market capitalisation and dividends. |
| Size segment | Custom | 將「波動度」遞增排序，取前30 檔股票為成分股。Open p.2 ↗ |
The index targets a screened 30-stock portfolio rather than a standard large-, mid-, or small-cap segment. |
| Index family type | Multi factor | 篩選短、中、長期加權平均波動率低兼顧市值、股利的股票組合Open p.1 ↗ |
The strategy combines low volatility, market capitalisation, and dividend criteria in selecting constituents. |
| Factor exposures | Low volatility, Yield | 篩選短、中、長期加權平均波動率低兼顧市值、股利的股票組合Open p.1 ↗ |
The index is exposed to low volatility and dividend-yield factors. |
| M2 Universe · 6 fields | |||
| New share exception for trading halt | New shares exchanged because of capital reduction, conversion into a holding company or newly formed company, or par-value changes may remain in the universe even if their old shares are suspended from trading. | 但因減資或轉換為控股公司、新設公司或變更面額等原因換發新股票而停止買賣者仍可列入母體。Open p.1 ↗ |
A trading halt caused by exchanging new shares for capital reduction, holding-company conversion, a newly formed company, or par-value change does not remove the stock from the universe. |
| Markets | Taiwan | 指數母體：臺灣證券交易所上市普通股股票Open p.1 ↗ |
The eligible universe covers stocks listed on the Taiwan Stock Exchange. |
| Exchanges | 臺灣證券交易所 | 指數母體：臺灣證券交易所上市普通股股票Open p.1 ↗ |
The universe consists of common stocks listed on the Taiwan Stock Exchange. |
| Boards | 臺灣證券交易所上市一般板, 創新板 excluded | 採樣範圍：指數母體中非屬創新板之股票。Open p.1 ↗ |
The sampling range excludes Taiwan Stock Exchange Innovation Board stocks. |
| Security types | Common | 指數母體：臺灣證券交易所上市普通股股票Open p.1 ↗ |
The index universe is limited to listed common stocks. |
| Exclusions | securities with an announced change in trading method, securities whose trading is suspended, Innovation Board stocks | 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、新設公司或變更面額等原因換發新股票而停止買賣者仍可列入母體。採樣範圍：指數母體中非屬創新板之股票。Open p.1 ↗ |
Securities subject to an announced altered trading method or trading halt are excluded, as are Innovation Board stocks, except new shares exchanged because of capital reduction, holding-company conversion, newly formed company status, or par-value changes. |
| M3 Eligibility screens · 7 fields | |||
| Dividend payment screen | The company must have paid a cash dividend in the most recent year and paid cash dividends in at least two of the most recent three years. | 最近一年發放現金股利，且最近三年中，至少有兩年發放現金股利。Open p.2 ↗ |
A candidate must have paid cash dividends in the latest year and in at least two of the latest three years. |
| Volatility calculation | For securities passing indicator screening, standard deviations over specified periods are calculated and weighted to define volatility. | 排序方式：計算通過指標篩選者之特定期間標準差，並加權之，將其定義為「波動度」。Open p.2 ↗ |
The methodology calculates and weights standard deviations over specified periods for passing securities to define volatility. |
| Selection rule | After ascending volatility ranking, the top 30 stocks are selected as constituents. | 將「波動度」遞增排序，取前30 檔股票為成分股。Open p.2 ↗ |
Securities are ranked by volatility from low to high, and the first 30 stocks are selected. |
| Trading history | Minimum value: 1 year | 指標篩選：滿足以下所有條件視為通過指標篩選：上市滿一年。Open p.2 ↗ |
A security must have been listed for at least one year. |
| Liquidity screen | Metric: Liquidity ratio; Window: most recent three months; Threshold: trading volume at least 20% of total issued shares, or average monthly trading volume at least 100 million shares | 流動性檢驗：最近三個月成交股數占已發行股份總額之比例達百分之二十以上，或最近三個月月平均成交股數達一億股以上。Open p.2 ↗ |
Over the most recent three months, trading volume must be at least 20% of total issued shares, or average monthly trading volume must be at least 100 million shares. |
| Minimum size | Metric: Full market cap; Threshold: average issued market capitalisation of at least TWD 10 billion over the most recent three months | 最近三個月平均發行市值達新台幣100 億元以上。Open p.2 ↗ |
Average issued market capitalisation over the most recent three months must be at least NT$10 billion. |
| Financial screens | Positive after-tax net income in the most recent quarter, or negative after-tax net income in the most recent quarter but positive cumulative after-tax net income for the current year. | 最近一季稅後淨利為正，或最近一季稅後淨利為負但當年度累計稅後淨利為正。Open p.2 ↗ |
The company must have positive after-tax net income in the latest quarter, or negative latest-quarter net income with positive cumulative after-tax net income for the year. |
| M4 Selection and constituent count · 1 field | |||
| Minimum free float factor for selection | 10% | 自由流通量係數若低於10%，則不納入成分股採樣。Open p.4 ↗ |
Securities with a free-float factor below 10% are not included in the constituent sample. |
| M5 Weighting and capping · 5 fields | |||
| Weighting scheme | Free float market cap | 自由流通市值加權。Open p.2 ↗ |
The index is weighted by free-float market capitalisation. |
| Free float factor | Method: Free float | 配合成分股定期審核生效日，更新自由流通量係數。Open p.4 ↗ |
The free-float factor is updated on the effective date of scheduled constituent reviews using the latest data produced under the provider's free-float factor rules. |
| Weight cap | 20% | 依自由流通市值作為計算標準，個別成分股權重不得超過 20%，且前五大成分股權重總和不得超過60%。Open p.2 ↗ |
Each individual constituent may not account for more than 20% of the index weight. |
| Group cap | Top n: 5; Aggregate (%): 60 | 依自由流通市值作為計算標準，個別成分股權重不得超過 20%，且前五大成分股權重總和不得超過60%。Open p.2 ↗ |
The aggregate weight of the five largest constituents may not exceed 60%. |
| 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 · 7 fields | |||
| Insufficient history company data rule | For holding companies or newly established companies with insufficient data for the periodic review, data from a representative company or stock may be combined if the converted-share representative company qualifies for 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.4 ↗ |
When a holding or newly established company lacks sufficient screening history, data from a qualifying representative company or its stock may be combined for review purposes. |
| Divisor maintenance data rule | The divisor is maintained using closing data on the trading day immediately before the periodic review effective date, comparing the new and original constituent portfolios. | 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差異作為異動指數市值。Open p.4 ↗ |
For divisor maintenance, closing data from the trading day before the review effective date are used to calculate the market-capitalisation difference between the new and old constituent portfolios. |
| Review frequency | Annual | 次進行成分股定期審核，以10 月的第7 個交易日為審核基每年準日，審核資料截至前一個月最後一個交易日。Open p.4 ↗ |
Constituents undergo a regular annual review. |
| Review types | Annual review, Ad hoc | 次進行成分股定期審核，以10 月的第7 個交易日為審核基每年準日，審核資料截至前一個月最後一個交易日。Open p.4 ↗ |
The index has an annual scheduled review and unscheduled constituent adjustments. |
| Review months | October | 次進行成分股定期審核，以10 月的第7 個交易日為審核基每年準日，審核資料截至前一個月最後一個交易日。Open p.4 ↗ |
The annual review uses the seventh trading day of October as the review reference date. |
| Data cutoff rule | Review data are current through the last trading day of the month preceding the review reference date. | 次進行成分股定期審核，以10 月的第7 個交易日為審核基每年準日，審核資料截至前一個月最後一個交易日。Open p.4 ↗ |
The data used for the annual review are as of the last trading day of the previous month. |
| Effective date rule | Changes become effective after an unstated number of trading days following the review reference date; the exact number is omitted or garbled in the provided text. | 每次定期審核後選檔。取固定的成分股檔數2.個交易日後生效。成分股定期審核結果，於審核基準日之後，間隔Open p.4 ↗ |
Constituent changes take effect a stated number of trading days after the review reference date, but the number is not legible in the provided text. |
| M8 Corporate actions, IPOs, ad-hoc changes · 5 fields | |||
| Corporate action maintenance items | coefficient products, shares outstanding, index divisor | 成分股不定期調整、係數乘積、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.4 ↗ |
Coefficient products, outstanding shares, and the index divisor are maintained under the separate corporate-action rules. |
| Ad-hoc deletion | Other | 成分股不定期調整、係數乘積、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；成分股若因此刪除，則不予遞補。Open p.4 ↗ |
Constituents may be removed on an unscheduled basis under the corporate-events maintenance rules, without a more specific trigger being stated here. |
| Replacement policy | None | 成分股若因此刪除，則不予遞補。Open p.4 ↗ |
If a constituent is deleted due to corporate-event processing, no replacement constituent is added. |
| 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、係數乘積、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.4 ↗ |
Unscheduled constituent adjustments, coefficient products, outstanding shares, and index divisor maintenance follow the TIP Index Series Corporate Action Processing General Rules. |
| 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 · 12 fields | |||
| 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 Commission compiles the index and commissions the Taiwan Stock Exchange to calculate it and transmit real-time information. |
| Base date | 2016-12-16 | 註1：基期設定為2016 年12 月16 日，基準指數設定為5000 點。Open p.3 ↗ |
The base date is set as December 16, 2016. |
| Base index level | 5,000 points | 註1：基期設定為2016 年12 月16 日，基準指數設定為5000 點。Open p.3 ↗ |
The base index level is set at 5,000 points. |
| Corporate actions reference rules | TIP 指數系列企業活動處理通則／市值投資型指數 | 使用之係數依本公司「TIP 指數系列企業活動處理通則」市值投資型指數所定Open p.3 ↗ |
Coefficients and divisor adjustments follow the TIP Index Series Corporate Action Handling Rules for market-capitalization investable indexes. |
| Formula type | Divisor | 指數市值× 基準指數指數=指數除數Open p.3 ↗ |
The index is calculated using a divisor formula, multiplying index market capitalization by the base index value and dividing by the index divisor. |
| Price source | Latest traded price | 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Open p.2 ↗ |
The real-time index is calculated from constituents' latest traded prices during the trading session. |
| Calculation frequency | Real time interval seconds: 5; Closing index: Yes; Total return index frequency: Daily after close | 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.2 ↗ |
The price index is published every five seconds during trading and once after the daily close, while the total return index is calculated and published once after the daily close. |
| Return variants | PR, GTR | 低波動股利精選30 指數分「價格指數」 (Price Index)、「報酬指數」 (Total Return Index)Open p.1 ↗ |
The index series includes a price index and a total return index; no separate net total return variant is stated. |
| Dividend treatment | Cash dividends reflected in total return index | 就低波動股利精選30 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.2 ↗ |
The total return index adjusts the price index for cash dividends to reflect returns including cash dividends. |
| Divisor adjustment | Post close constituent changes, Market capitalization changes | 收盤後成分股依本公司「TIP 指數系列企業活動處理通則」市值投資型指數調整指數除數以維持指數連續性Open p.3 ↗ |
After market close, the divisor is adjusted for constituent and market-capitalization changes under the corporate-action rules to maintain index continuity. |
| 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 · 9 fields | |||
| General index principles reference | 臺灣指數公司有價證券指數通則 | 指數編製、維護及管理等原則，參閱「臺灣指數公司有價證券指數通則」。Open p.1 ↗ |
Index compilation, maintenance and management principles refer to the Taiwan Index Commission General Rules for Securities Indexes. |
| Closing market capitalization records | Yes | 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 Commission will retain closing market-capitalization records for all constituent stocks. |
| Real time information transmission agent | 臺灣證券交易所 | 委請臺灣證券交易所計算及即時資訊傳輸。Open p.1 ↗ |
The Taiwan Stock Exchange is commissioned to transmit real-time index information. |
| Oversight body | 臺灣指數公司 | 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 Commission is responsible for compiling the index and conducting scheduled constituent reviews. |
| Methodology review frequency | Periodic constituent review | 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 Commission conducts scheduled constituent reviews according to the index compilation rules, but the supplied text does not state a methodology-document review frequency. |
| 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. |
| 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 · 26Model-written, for reference
- 1Index code, ISIN, and third-party vendor tickers were not stated.
- 2Calculation agent, launch date, base date, base value, calculation currency, methodology version, and methodology date were not stated.
- 3Benchmark regulatory status and intended use were not stated.
- 4Free-float minimum, foreign-room minimum, voting-rights minimum, minimum share price, and extreme-price screen were not stated.
- 5Detailed treatment of suspended securities at periodic reviews and any liquidity or rank buffers were not stated.
- 6The exact specified periods and weights used to calculate weighted volatility were not stated.
- 7Business or ESG exclusions beyond trading-status and Innovation Board restrictions were not stated.
- 8The document does not state when the 20% individual and 60% top-five caps are applied or rebalanced.
- 9The document does not specify the share-count source or update schedule.
- 10The document does not state a divisor adjustment rule.
- 11The document does not describe foreign ownership limits or domestic inclusion factors.
- 12The exact number of trading days between the review reference date and the effective date is missing or garbled.
- 13The exact timing and publication channel for periodic review result announcements could not be determined.
- 14No rank buffer, size-segment buffer, existing-constituent liquidity buffer, or maximum turnover rule was stated.
- 15No fast-entry rule for large new listings was stated.
- 16No specific merger, acquisition, spin-off, deletion-price, or share/float-change threshold treatment was stated beyond the reference to the separate TIP corporate-action guide.
- 17Number of decimal places for published index levels is not stated.
- 18Withholding tax basis for any net total return variant is not stated; the document only identifies a total return index.
- 19Detailed cash dividend reinvestment mechanics are not stated beyond including cash dividends in the total return index.
- 20Market closure or disruption handling is not stated.
- 21Policy for recalculating or correcting published index levels is not stated.
- 22Specific oversight committee name, discretionary powers, external review, consultation procedure, material-change definition and notice period are not stated.
- 23Whether constituents are publicly listed and their publication frequency are not stated.
- 24Index cessation or discontinuation policy is not stated.
- 25The launch date in the calculation-frequency sentence appears blank ('自 年 月 日起').
- 26Not coveredM7 Buffers and turnover control: not covered by this edition
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