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SPI Multi Premia® – An official multi-factor index series for Switzerland.

14.09.2016

Finreon launches in cooperation with SIX and Credit Suisse the SPI Multi Premia® index series

As per September 13th 2016, Finreon launches its new index series SPI Multi Premia® together with SIX and Credit Suisse. The solution relies on the systematic return drivers of successful active managers. Through targeted diversification of these factors, SPI Multi Premia® exhibits robust outperformance properties.

On September 13th, 2016, the index family SPI Multi Premia® was successfully launched at SIX Swiss Exchange in the presence of Dr. Schmitz-Esser, Head Index Solutions Credit Suisse, Werner Bürki, Member of the Management Committee of SIX, and Dr. Ralf Seiz, CEO of Finreon.

Further information is available below (in German):

SPI Multi Premia Indices – Extention of the broad index offer with attractive factor indices – launch presentation Werner Bürki

Optimal combination of factor premia  – launch presentation Dr. Ralf Seiz

Active investment with index funds – launch presentation Dr. Schmitz-Esser

With the launch of the above-mentioned index family, SIX Swiss Exchange opens up a new possibility for factor investing. A cost-effective investment opportunity in the SPI Multi Premia® Index is already available with the CSIF (CH) SPI Multi Premia® Index Blue. The Muti Premia® approach has been developed by Finreon and made available to the new index family:

While the overwhelming majority of active fund managers unsuccessfully tries to outperform the market, exceptional talents such as Warren Buffet systematically outperform the market over extended periods of time. Analyses show that Warren Buffet’s success can be explained for the most part by a combination of the Value, Quality and Low Risk approaches. These approaches belong to the seven recognized systematic return sources (so called factors), which exist additionally to the market beta.

To make these return source accessible to investors, Finreon joined forces with SIX and Credit Suisse. The Multi Premia methodology which was elaborated by Finreon, is implemented by SIX in the form of an index and replicated by Credit Suisse via an investment fund.

SPI Muti Premia® exploits the seven scientifically proven factors to capture the according premia through targeted diversification and so aims for a robust outperformance. Dr. Ralf Seiz, CEO and founder of Finreon: “The SPI Multi Premia® Index allows for a broadly diversified participation in the market development as well as to benefit from seven, scientifically proven return sources. it thereby represents the ideal alternative to a core investment in Swiss stocks.”

tl_files/finreon/bilder/Multi Premia/Grafik-MultiPremia-Renditequellen_hp.pngAs the graph shows, the SPI Multi Premia® approach includes the factor premia Value (cheap stocks), Size (small stocks), Momentum (systematic trends), Residual Momentum (idiosyncratic trends), Reversal Premium (trend reversal), Low Risk (defensive stocks) and Quality (profitable stocks). Over a long-term period, they all show a premium compared to the market. However, the single factors’ short-term performance can strongly vary and underperformance phases may occur under certain conditions. Because of the factors’ low correlations, this issue can be countered through diversification. The combination of these proven factor premia enables the pursuit of an expected outperformance in the long run.

 

The SPI Multi Premia® Index is based on a three-step construction process. In a first step, the 30 best valued titles of the largest 60 SPI constituents are selected for each factor. The selection process employs various proven and robust key indicators for each and every factor. According to their risk contribution, the selected titles are then weighted in such a way that every title equally contributes to the overall risk of the single factor portfolio. Finally, the SPI Multi Premia® Index is constructed out of the seven previously created SPI Single Premia® indices. The construction follows an equal contribution to tracking error approach.

The SPI Multi Premia® series consists of 32 indices. The SPI Multi Premia Index® as well as the 7 SPI Single Premia® indices are published in CHF and EUR as well as TR and PR indices.

Further information about the SPI Multi Premia® Index series is available below: 

SIX News: launch of the SPI Multi Premia index family

SPI Multi Premia index family SIX information

 

The investment fund CSIF (CH) SPI Multi Premia® Index Blue is available as the first investment solution for the SPI Multi Premia® index series. This investment fund is open to institutional as well as to private investors.

The following share classes are available:

  • CSIF (CH) SPI Multi Premia® Index Blue (CHF) Class-FA: ISIN: CH0334031207
  • CSIF (CH) SPI Multi Premia® Index Blue (CHF) Class-QA: ISIN: CH0334031215
  • CSIF (CH) SPI Multi Premia® Index Blue (CHF) Class-DA: ISIN: CH0334031199

Below is further information about the CSIF (CH) SPI Multi Premia® Index Blue fund available: 

CSIF (CH) Multi Premia Index Blue Credit Suisse brochure

CSIF (CH) Multi Premia Index Blue Credit Suisse Q&A

CSIF (CH) Multi Premia Index Blue  Credit Suisse media release (in German)

CSIF (CH) Multi Premia Index Blue Credit Suisse fund information

 

For further information and questions, please do not hesitate to contact:

Simon T. Müller, Head of Business Development, Finreon (simon.mueller@finreon.ch, +41 71 230 08 10) 

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