Also known as: 中小型A級動能50指數 · SAM50 (TIP code)
Tracked by: 00733 (ETF)
At a glance
- Weighting schemeFree float market cap
- Single cap20
| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| M1 Identity, objective, classification · 9 fields | |||
| Index name | Taiwan Index Service Small and Mid-Cap A-Level Momentum 50 Index | The index name is the Taiwan Index Service Small and Mid-Cap A-Level Momentum 50 Index. | |
| Index short name | 中小型A級動能50指數 | 編製「臺灣指數公司中小型A 級動能50 指數」（簡稱「中小型A 級動能50 指數」）Open p.1 ↗ |
The short name is Small and Mid-Cap A-Level Momentum 50 Index. |
| Local index name | 臺灣指數公司中小型A級動能50指數 | 編製「臺灣指數公司中小型A 級動能50 指數」（簡稱「中小型A 級動能50 指數」）Open p.1 ↗ |
The local-language index name is 臺灣指數公司中小型A級動能50指數. |
| Administrator | 臺灣指數公司 | 臺灣指數公司利用這項特質，在上市中小型股中以公司經營獲利的前提下Open p.1 ↗ |
The index provider is Taiwan Index Service. |
| Index family | 臺灣指數公司中小型A級動能50指數 | 臺灣指數公司中小型A 級動能50 指數Open p.1 ↗ |
The document identifies the index as the Taiwan Index Service Small and Mid-Cap A-Level Momentum 50 Index. |
| Objective | 在上市中小型股中以公司經營獲利的前提下，篩選股價趨勢與大盤相同之高Alpha股票組合 | 在上市中小型股中以公司經營獲利的前提下，篩選股價趨勢與大盤相同之高Alpha 股票組合Open p.1 ↗ |
The index selects profitable listed small and mid-cap stocks with high Alpha whose price trend matches the broader market. |
| Size segment | Mid | 採樣範圍：自指數母體排除創新板股票後，屬發行市值前50 大以外之股票。Open p.1 ↗ |
The index targets listed small and mid-cap stocks outside the 50 largest by issued market capitalization. |
| Index family type | Factor | 高Alpha 的個股，有機會捕捉具股價上漲動能的股票Open p.1 ↗ |
The index is a momentum- or Alpha-oriented factor index. |
| Factor exposures | Momentum, Quality | 最近一季稅後淨利為正。最近20 日β(Beta)係數1為正。Open p.2 ↗ |
The index uses positive Alpha and momentum, alongside positive latest-quarter net profit. |
| M2 Universe · 6 fields | |||
| Eligible universe | TWSE-listed common shares, excluding stocks publicly designated for altered trading methods or suspension, with specified share-exchange exceptions | 指數母體：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；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 ↗ |
The eligible universe is TWSE-listed common shares that are not publicly designated for altered trading methods or suspension, except specified new certificates issued after capital reduction or corporate transformation. |
| Sampling scope | After excluding Innovation Board stocks, stocks outside the top 50 by issued market capitalization | 採樣範圍：自指數母體排除創新板股票後，屬發行市值前50 大以外之股票。Open p.1 ↗ |
The sampling scope excludes Innovation Board stocks and retains stocks outside the top 50 by issued market capitalization. |
| Markets | Taiwan | 指數母體：臺灣證券交易所上市普通股股票Open p.1 ↗ |
The 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 ↗ |
Securities must be listed on the Taiwan Stock Exchange. |
| 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 consists of common stocks. |
| Exclusions | securities under altered trading methods, suspended securities, innovation board stocks, top 50 stocks by issued market capitalization | 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。Open p.1 ↗ |
The universe excludes stocks publicly placed under altered trading methods or suspended, Innovation Board stocks, and the 50 largest stocks by issued market capitalization; certain share-exchange suspensions remain eligible. |
| M3 Eligibility screens · 6 fields | |||
| Positive beta requirement | Metric: 20-day beta coefficient; Threshold: Positive | 最近20 日β(Beta)係數1為正。Open p.2 ↗ |
The most recent 20-day Beta coefficient must be positive. |
| Alpha ranking and selection | Metric: 20-day alpha coefficient; Selection: rank in descending order and select top 50 | 通過流動性檢驗及指標篩選後，依最近20 日α(Alpha)係數2遞減排序並選取排名前50 名之股票。Open p.2 ↗ |
After passing liquidity and indicator screens, stocks are ranked by descending 20-day Alpha and the top 50 are selected. |
| Trading history | Minimum value: 1 year | 指標篩選： a. 上市滿一年。Open p.2 ↗ |
A security must have been listed for at least one full year. |
| Liquidity screen | Metric: Liquidity ratio; Window: 12 months for total trading value ranking; 3 months for average volume or turnover; Threshold: Top 20% by total trading value automatically pass; bottom 20% are deleted; then either 3-month monthly average trading volume of at least 10,000 trading units or 3-month monthly average turnover of at least 6% | 最近12 個月成交金額總額由大到小排序，前20%無條件通過流動性檢驗，另刪除最後20%的股票。Open p.2 ↗ |
Liquidity is tested using 12-month total trading value rankings and a 3-month volume or turnover condition. |
| Minimum size | Metric: Rank; Threshold: Outside the top 50 by issued market capitalization after excluding Innovation Board stocks | 採樣範圍：自指數母體排除創新板股票後，屬發行市值前50 大以外之股票。Open p.1 ↗ |
The sampling scope excludes the 50 largest stocks by issued market capitalization. |
| Financial screens | Latest-quarter after-tax net profit must be positive | 最近一季稅後淨利為正。Open p.2 ↗ |
A candidate must have positive after-tax net profit in the most recent quarter. |
| M5 Weighting and capping · 5 fields | |||
| Weighting scheme | Free float market cap | 1. 自由流通市值加權。Open p.2 ↗ |
The index is weighted by free-float market capitalization. |
| Free float factor | Method: Free float | 2. 配合成分股定期審核生效日，更新自由流通量係數。
3. 自由流通量係數依據臺灣指數公司「自由流通量係數編製規則」產製之最近期數據更新。Open p.4 ↗ |
The free-float factor is updated on the effective date of periodic constituent reviews using the latest data produced under the provider's free-float factor rules. |
| Weight cap | 20% | 2. 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 constituent may not account for more than 20% of the index weight. |
| Group cap | Top n: 5; Aggregate (%): 60 | 2. 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 · 1 field | |||
| Data cutoff rule | At the review-data cutoff, the index universe is produced under each index's compilation rules and excludes stocks announced for altered trading methods, stocks subject to the specified other-event clause, and stocks that will be delisted after the cutoff. | 審核資料截止日之指數母體除依個別指數編製規則產製外，若股票已公告將列為變更交易方法、或遇四、(四)「成分股其他態樣之處理原則」第4 種情事、或將於審核資料截止日之後終止上市上櫃，該股票不納入審核資料截止日之指數母體。From TIP Corporate Actions and Events Methodology ↗ |
The review-data cutoff universe follows each index's rules and excludes stocks announced for changed trading methods, specified cessation events, or upcoming delisting. |
| M8 Corporate actions, IPOs, ad-hoc changes · 2 fields | |||
| 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 · 10 fields | |||
| Calculation agent | Taiwan Stock Exchange | 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 entrusts the Taiwan Stock Exchange with calculation and real-time information transmission. |
| Divisor continuity formula | Divisor_t = prior divisor × (prior closing index market capitalization ± changed index market capitalization) / prior closing index market capitalization | 指數除數= 前1 日指數除數前1 日收盤之指數市值± 異動指數市值) × (前1 日收盤之指數市值Open p.3 ↗ |
The new divisor equals the prior divisor multiplied by the adjusted prior closing market capitalization divided by the original prior closing market capitalization. |
| Formula type | Divisor | 指數市值× 基準指數指數=指數除數Open p.3 ↗ |
The index is calculated by multiplying index market capitalization by the benchmark index level and dividing by an index divisor. |
| Price source | Latest trade price | 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 ↗ |
Intraday index values are calculated using the latest traded price of each constituent. |
| Calculation frequency | Real time interval seconds: 5; Closing index: Yes; Total return index: Daily after close | 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.2 ↗ |
The price index is published every five seconds during TWSE trading hours and once after the close, while the total return index is calculated once after the close. |
| Return variants | PR, GTR | 中小型A 級動能50 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 reflecting cash dividends. |
| Dividend treatment | The total return index is adjusted to include cash dividends in the return; the price index does not include them. | 就中小型A 級動能50 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 version adjusts the price index for cash dividends so that the return includes them. |
| Divisor adjustment | post_close constituent changes, changes in index market capitalization, corporate actions under the TIP corporate-action rules | 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 the close, the divisor is adjusted for constituent and market-capitalization changes in accordance with the TIP corporate-action rules to preserve 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 | |||
| Periodic constituent review | Yes | 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 periodic reviews of constituent stocks under the index compilation rules. |
| Records retained | closing market capitalization records for all constituent stocks | 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 retains closing market capitalization records for all constituent stocks. |
| Governing general principles | Taiwan Index Commission General Principles for Securities Indexes | 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 administration follow the Taiwan Index Commission General Principles for Securities Indexes. |
| Oversight body | Taiwan Index Commission | 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 is responsible for compiling, maintaining, and administering the index under its index rules and general principles. |
| Change announcement | TWSE real-time information transmission, daily published closing index, daily published total return index | 委請臺灣證券交易所計算及即時資訊傳輸。Open p.1 ↗ |
Real-time index information is transmitted through the Taiwan Stock Exchange, and closing price and total return indexes are published daily. |
| 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. |
| 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, third-party vendor tickers, launch date, base date, base value, currency, methodology version and methodology date are not stated.
- 2Calculation agent is not separately identified.
- 3Parent index or parent universe index is not stated; the universe is defined directly from TWSE-listed common stocks.
- 4Minimum free float, foreign room, voting rights, minimum share price, ESG or business exclusions and abnormal price screen are not stated.
- 5The liquidity rule does not state a buffer specifically for existing constituents.
- 6Intended uses, benchmark regulatory status and formal limitations are not stated.
- 7Company nationality assignment is not stated, although the market and exchange are Taiwan/TWSE.
- 8Listing boards beyond exclusion of Innovation Board stocks are not specified.
- 9The timing for applying the 20% single-constituent and 60% top-five caps is not stated.
- 10The source and update timing for shares outstanding are not stated.
- 11The divisor adjustment mechanism is not stated.
- 12Treatment of foreign ownership limits or foreign room is not stated.
- 13Free-float factor bands or adjustment factors are not specified; only the 10% minimum threshold and update source are stated.
- 14Profile_m6_m8: LLM call failed (model reply contained no JSON object)
- 15Review rebalance, buffers turnover, corporate actions adhoc: no reply; group dropped
- 16M9 and M10 do not specify the number of decimal places used for the published index level.
- 17M9 and M10 do not specify a withholding-tax basis; only a total return index is stated and no net total return variant is identified.
- 18M9 and M10 do not specify market closure or disruption calculation rules.
- 19M9 and M10 do not specify a recalculation or published-level correction policy.
- 20M9 and M10 do not specify the methodology review frequency, external review, consultation procedure, material-change definition, or notice period.
- 21M9 and M10 do not specify an error correction or restatement policy.
- 22M9 and M10 do not specify whether or how frequently a constituent list is published.
- 23M9 and M10 do not specify an index cessation policy.
- 24M9 and M10 do not provide an exhaustive list of discretionary decisions beyond the general rule that administration follows the index rules and general principles.
- 25Not coveredM4 Selection and constituent count: not covered by this edition
- 26Not coveredM7 Buffers and turnover control: not covered by this edition
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