Volatility Anomaly is the phenomenon that market standard deviation is negatively related to future return, that is, low-volatility portfolios tend to defeat the high ones in the long term, which provides a stable investment strategy. TIP launched the "TIP TAIEX + Low Volatility Dividend Plus Select 30 Index" (called "TIP LV 30 Index" or "LV30" for short) on December 19th, 2016. According to the methodology, low-volatility constituent stocks could effectively control the volatility of portfolios so that it could reduce the downwards degree but also catch up with the market volatility to gain returns under stable environment. Moreover, 10 years back-testing proves that LV30 shows many advantages, such as high performance, strong resistance towards market downsides, and easy to be built up as portfolios.
Overview
| Index Universe |
Listed companies of Taiwan Stock Exchange |
| Weighting Method |
Free float adjusted Market Capitalization |
| Base Date |
2016.12.16 |
| Launch Date |
2016.12.19 |
| Base Value |
5,000 |
| Calculation Frequency |
Every 5 sec |
| Number of Constituents |
30 |
| Index Type |
PR/TR |
| Periodic Review |
October |
Index Performance
| Returns |
|---|
| 1 Month | -7.5% |
| 3 Months | -5.8% |
| 6 Months | -0.01% |
| 1 Year | 10.4% |
| 3 Years | 35.79% |
| 5 Years | 66.41% |
| Annualized Returns |
|---|
| 1 Year | 17.35% |
| 3 Years | 12.74% |
| 5 Years | 12.76% |
| Annualized Standard Deviation |
|---|
| 1 Year | 8.35% |
| 3 Years | 13.77% |
| 5 Years | 12.12% |
The index performance is calculated through its total return index values; the price index values will be used in calculation only when there is no total return index.
Download
| Title | File Date | Link |
|---|
| Index Rules for TIP TAIEX+ Low Volatility Dividend Plus Select 30 Index |
2020/04/21 |
download |
| ETF Information: Cathay TIP TAIEX+ Low Volatility Select 30 ETF |
- |
Link |
