SPI Multi and Single Premia

As investors increasingly look to intelligent beta solutions as a supplement to standard investment models, the SPI Multi Premia provides an ideal and innovative way of diversifying exposure to the SPI.

By combining seven SPI Single Premia Indices – each one including the highest value securities as measured by a specific factor – the SPI Multi Premia Index ensures diversification over several sources of return.

This unique multi-factor approach is increasingly popular with institutional investors, as it allows for a wide and diversified absorption of factor premiums.

The unique multi-factor investing approach breaks down the return of a share into its individual components and then invests specifically in those long-term drivers of performance.

The 60 largest and most liquid SPI stocks are analyzed according to seven factor premiums: Value (cheap stocks), Size (small stocks), Momentum (systematic trends), Residual Momentum (stock-specific trends), Reversal (trend reversal), Low Risk (safe stocks) and Quality (profitable stocks). The 30 SPI stocks with the best values for each factor then form the individual SPI Single Premia Indices.

The 30 selected securities are weighted in such a way that each security contributes to the total risk of the index in question in equal measure. The multi-factor index, SPI Multi Premia Index, combines all seven indices, allowing investors to absorb all seven factor premiums, resulting in a better risk-return ratio compared to the underlying investment universe of the SPI.

The index is calculated every 3 minutes, and the composition of the SPI Multi Premia Index is reviewed once a year in September. The index was standardized at 100 points on December 31, 2003.

The indices were launched on September 13, 2016 and were standardized at 100 points on December 31, 2003. SIX calculates all SPI Multi Premia Indices in CHF and EUR and as a Total Return and a Price Return version.