ESG Strategy Indices

ESG Strategy Indices

SPI ESG Multi and Single Premia Indices

The SPI ESG Multi Premia index family comprises seven SPI ESG Single Premia indices and one SPI ESG Multi Premia index.

The goal of the indices is the diversification over several sources of return. Seven Single Premium indices are calculated on the basis of the SPI ESG. Each one of the SPI ESG Single Premia indices consists of 30 instruments depending on the statistical factor exposure towards a specific source of return. The 30 instruments are weighted in such a way that each security contributes to the total risk (volatility) of the index in question in equal measure. The SPI ESG Multi Premia index combines the seven SPI ESG Single Premia indices and weights them aswell by equal contribution to risk (tracking error).

Launched on 29 Mar 2021
History available since 1 Jul 2010

Key Product Information

    SPI ESG Value Premium Total Return

    The SPI ESG Value Premium Total Return identifies the most undervalued equity instruments of the Swiss ESG equity market based on a statistical pattern.

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    SPI ESG Value Premium Price

    The SPI ESG Value Premium Price identifies the most undervalued equity instruments of the Swiss ESG equity market based on a statistical pattern.

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    SPI ESG Size Premium Total Return

    The SPI ESG Size Premium Total Return identifies the smallest equity instruments of the Swiss ESG equity market applying a statistical pattern.

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    SPI ESG Size Premium Price

    The SPI ESG Size Premium Price identifies the smallest equity instruments of the Swiss ESG equity market applying a statistical pattern.

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    SPI ESG Reversal Premium Total Return

    The SPI ESG Reversal Premium Total Return identifies equity instruments of the Swiss ESG equity market expecting a trend reversal based on a statistical pattern.

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    SPI ESG Reversal Premium Price

    The SPI ESG Reversal Premium Price identifies equity instruments of the Swiss ESG equity market expecting a trend reversal based on a statistical pattern.

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    SPI ESG Residual Momentum Premium Total Return

    The SPI ESG Residual Momentum Premium Total Return identifies equity instruments of the Swiss ESG equity market following an instrument specific trend based on a statistical pattern.

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    SPI ESG Residual Momentum Premium Price

    The SPI ESG Residual Momentum Premium Price identifies equity instruments of the Swiss ESG equity market following an instrument specific trend based on a statistical pattern.

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    SPI ESG Quality Premium Total Return

    The SPI ESG Quality Premium Total Return identifies the most profitable equity instruments of the Swiss ESG equity market based on a statistical pattern.

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    SPI ESG Quality Premium Price

    The SPI ESG Quality Premium Price identifies the most profitable equity instruments of the Swiss ESG equity market based on a statistical pattern.

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    SPI ESG Multi Premia Total Return

    The SPI ESG Multi Premia Total Return follows a smart beta strategy to outperform the Swiss equity market based on statistical patterns. Seven single-premium indices are calculated on the basis of the SPI ESG.

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    SPI ESG Multi Premia Price

    The SPI ESG Multi Premia Price follows a smart beta strategy to outperform the Swiss equity market based on statistical patterns. Seven single-premium indices are calculated on the basis of the SPI ESG.

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    SPI ESG Momentum Premium Total Return

    The SPI ESG Momentum Premium Total Return identifies equity instruments of the Swiss ESG equity market following a systematic trend based on a statistical pattern.

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    SPI ESG Momentum Premium Price

    The SPI ESG Momentum Premium Price identifies equity instruments of the Swiss ESG equity market following a systematic trend based on a statistical pattern.

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    SPI ESG Low Risk Premium Total Return

    The SPI ESG Low Risk Premium Total Return identifies equity instruments with the lowest risk of the Swiss equity market based on a statistical pattern.

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    SPI ESG Low Risk Premium Price

    The SPI ESG Low Risk Premium Price identifies equity instruments with the lowest risk of the Swiss equity market based on a statistical pattern.

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    Methodology Rulebook Governing Equity and Real Estate Indices

    This document is an integral part of the Swiss Index Rules.

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Performance

 

Historical Index Data

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For index composition documents visit our closed user group site.

 

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