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SIX Swiss Strategy Indices

Published in Strategy Indices

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.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 90 companies and 10 SPI Premia and Premium Indices.

Some of the data items available include:

  • Company Items: Adjustment Factor, Capping Factor, Country Code, Currency Code, Cusip Code, Dividend Per Share Gross, Exchange, Free Float Factor, Gross Investable Market Value, Industry Level Codes/Descriptions, Investable Factor, Investable Market Value, Investable Shares Outstanding, Investable Weight in Index (Source), ISIN Code, Market Identifier Code, Market Value, Net Adjustment Factor, Previous Price, Reuters Identification Code (RIC), Sedol Code, Shares Outstanding, Total Return Investible Weight, Unadjusted Price, Valoren Code, etc.
  • Index Items: Divisor Factor , Gross Index, Last Price Date, Market Capitalization, Number of Constituents, Price Index, etc.


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