The Taiwan Monthly
Index Announcement
Introduction of TIP Taiwan Sustainability Ratings Investment Grade Total Market Index
In March 2023, TIP launched TIP Taiwan Sustainability Ratings Investment Grade Total Market Index, covering TWSE- and TPEX-listed companies that meet ESG standards, please visit here.
TIP Taiwan Sustainability Ratings Investment Grade Total Market Index (“TIP TSRIG TM Index”) could be used as a benchmark for ETPs (i.e. ETF or ETN) or investing through index license. Additionally, the TIP ESG Index Data Service, which combines index constituents data and detailed ESG data for each constituent, enabling users to obtain the list of constituents that meet the ESG requirement as well as to have detailed ESG information that could be used for making ESG investing decisions. The ESG data is provided in modular combinations that is convenient for users to choose. The combinations include multi-level data such as Total ESG Performances, Sub-sector analysis, key rating issue performances, government adjudication records, ESG Negative Materiality Assessment, Controversial Industries Assessment and so on. For any inquiries or requirements regarding ESG index information services, please contact TIPClient@taiwanindex.com.tw
This index is based on TIP Taiwan Total Market Index, its parent index, which is designed to tracking Taiwan entire equity market. Stocks with a rating of BBB (on the Taiwan Sustainability Ratings) or better are selected from the parent index and weighted by free-float market capitalization. “TIP TSRIG TM Index” could represent the long-term performance of ESG investing on Taiwan stock market.
The Taiwan Sustainability Rating System is established by the Center for Corporate Sustainability (CCS) of National Taipei University. This ESG rating system is based on both domestic and international sustainability norms, regulations, policies, and academic researches. It incorporates qualitative and quantitative indicators for ESG evaluation. The evaluation is based on public information, follows standardized evaluation processes, and allows for industry-to-industry, cross-industry, and year-to-year comparisons. Additionally, it has a mechanism for assessing industry significance and controversies on a quarterly basis, which enables real-time feedback on ESG performance for companies under evaluation. The Taiwan Sustainability Rating System is highly rooted on domestic and international standards and policies, and it also has high coverage rate of companies being assessed. The Taiwan equity ETFs that used the Taiwan Sustainability Rating System for ESG screening are mostly recognized as ESG funds. The ESG data generated based on this system is high quality and reliability.
The periodic review of TIP TSRIG TM Index is on March, June, September and December annually. The number of constituents is not fixed, it currently consists of 263 companies with ESG rating as BBB or higher by“Taiwan Sustainability Rating System. TIP has conducted index backtesting using historical data in accordance with index methodology. The cumulative return for this index is 153.70%, with an annualized Sharpe ratio of 92.99%. This performance surpasses that of the TAIEX (132.26%, 89.75%) and the Taiwan Total Market Index (142.52%, 90.81%).
The ESG index data service offers a turnkey, modular service that combines index data with multilevel ESG evaluation data. Through the existing index information service platform, users can access a comprehensive list of constituents that meet ESG evaluation standards, along with their objective and abundant ESG evaluation data. For any inquiries or requirements regarding ESG index information services, please contact TIPClient@taiwanindex.com.tw.
Table. The Index Performances among TIP TSRIG TM Total Return Index, TAIEX Total Return Index, and Taiwan Total Market Total Return Index
|
|
TIP TSRIG TM Total Return Index |
TAIEX Total Return Index |
Taiwan Total Market Total Return Index |
|
The Cumulative Return |
153.70% |
132.26% |
142.52% |
|
The Annualized Return |
15.01% |
13.49% |
14.23% |
|
The Annualized standard deviation |
16.98% |
15.87% |
16.54% |
|
The Annualized Sharpe Ratio |
92.99% |
89.75% |
90.81% |
|
Index Yield Rate in 2022 |
3.61% |
3.72% |
3.62% |