About the SPI ESG Multi and Single Premia Indices
The SPI ESG Multi Premia Index family includes seven SPI ESG Single Premia Indices and one SPI ESG Multi Premia Index.
The primary objective of these indices is diversification across multiple sources of return. The seven SPI ESG Single Premia Indices are derived from the SPI ESG, which is the sustainable broad benchmark for the Swiss equity market. Each of these indices comprises 30 instruments, selected based on their statistical factor exposure to specific sources of return. The weights assigned to these 30 instruments ensure that each security contributes equally to the total risk (volatility) of the respective index.
The seven sources of return are:
- Value (cheap stocks)
- Size (small stocks)
- Momentum (systematic trends)
- Residual momentum (stock-specific trends)
- Reversal (trend reversal)
- Low risk (safe stocks)
- Quality (profitable stocks)
The SPI ESG Multi Premia Index combines the seven SPI ESG Single Premia Indices, with equal consideration given to risk contribution (tracking error).
The index is calculated end-of-day, and the composition of the SPI ESG Multi Premia Index is reviewed once a year in September. The index was launched on March 29, 2021, with a base date of July 1, 2010. At that time, it was standardized at a base value of 100.
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Key Product Information about the SPI ESG Multi Premia Indices
| Historical Data Since | July 1, 2010 |
| Launch Date | March 29, 2021 |
| Calculation Interval | End-of-day |
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Additional Information
The use of SPI ESG Multi Premia Indices and their registered trademarks as well as the access to restricted index data are governed by a licensing agreement. To request for an index data license, please get in touch with us.
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