The SPI Multi Premia Index Family comprises seven SPI Single Premia Indices and one SPI Multi Premia Index with the goal of diversification over several sources of return. The underlying securities universe is based on the SPI. The composition of the SPI Single Premia Indices is determined by selecting the 60 largest and most liquid securities from the SPI and reviewing them for specific factors.
Each one of the seven SPI Single Premia Indices then includes those 30 securities which have the best values in terms of a specific factor. 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 SPI Multi Premia Index combines the seven SPI Single Premia Indices and allows for a wide and diversified absorption of factor premiums.
For this data source, RIMES hosts approximately 90 companies and 10 SPI Premia and Premium Indices.
Some of the data items available include:
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