Swiss Performance Index (SPI ) Family

Transcription

1 Swiss Performance Index () Family The Family: and SPI EXTRA The SPI Family comprises various indices compiled and published by the SIX Swiss Exchange. The underlying share universe includes approximately 230 equity issues. For a company s shares to be included in the SPI universe. the company must be primary listed in Switzer land and the shares must have a free-float equal to or greater than 20%. In all investment companies were taken out of the SPI Family and put into the specially designed Investment Index. The Swiss All Share Index, which includes the entire spectrum of primary listed shares on the SIX Swiss Exchange, has also been compiled and published since The SPI includes all shares in the index family and is also broken down into various sub-indices. In addition to a grouping into sector-specific indices. these sub-indices are also calculated according to total market capitalisation: i.e. SPI Large. SPI Mid and SPI Small. SPI EXTRA The SPI EXTRA. which has been published since comprises all of the SPI issues with the exception of Swiss blue chips. The latter are reflected in the SMI. The SPI EXTRA has rapidly evolved into an indispensable benchmark for those portfolio managers who invest their clients funds in small and medium-sized companies. Index structure SIX Swiss Exchange Number of Shares Family SMI -Family SLI SXI -Family Large Mid SMI SMIM SMI Expanded SLI Swiss Leader Index Sector SXI Real Estate * Sector SXI ** Life Sciences SXI Switzerland Sustainability Swiss All Share Index SPI EXTRA SPI ex SLI Small ~230 ~250 ~270 Investment Index Shares < 20% FF * Sector Real Estate: SXI Real Estate. SXI Real Estate Shares. SXI Real Estate Funds. SXI Swiss Real Estate. SXI Swiss Real Estate Shares. SXI Swiss Real Estate Funds ** Sector Life Sciences: SXI Life Sciences. SXI-Bio+Medtech

2 Family data Symbol Security no. ISIN Reuters RIC Bloomberg ticker Price SPIX CH SPIX SPIND Total Return SXGE CH SSHI SPI SPI Extra Price SPIEXX CH SPIEXX SPIEXX Total Return SPIEX CH SPIEX SPIEX Large Price SLCIX CH SBCX SPILND Total Return SLCI CH SBCC SPI21 Mid Price SMCIX CH SMIX SPIMND Total Return SMCI CH SMII SPI20 Small Price SSCIX CH SSIX SPISMLND Total Return SSCI CH SSCC SPI19 Risk and return profile YTD 1 year back 3 years back 5 years back Returns 1.41% 1.41% 4.58% 10.91% SPI Extra 8.50% 8.50% 10.29% 14.29% Large 3.48% 3.48% 3.34% 10.07% Mid 8.42% 8.42% 10.49% 14.97% Small 14.69% 14.69% 15.50% 16.80% Risk (Volatility) 10.89% 10.89% 12.15% 11.05% SPI Extra 9.03% 9.03% 11.58% 10.39% Large 11.67% 11.67% 12.54% 11.49% Mid 9.42% 9.42% 12.11% 10.81% Small 8.80% 8.80% 9.26% 8.69% Sharpe Ratio SPI Extra Large Mid Small Dividend Yield 3.42% 3.42% 3.11% 3.14% SPI Extra 2.38% 2.38% 2.34% 2.48% Large 3.65% 3.65% 3.27% 3.28% Mid 2.39% 2.39% 2.34% 2.47% Small 2.22% 2.22% 2.17% 2.39% Tracking Error* SPI Extra 1.81% 1.81% 1.57% 1.62% Large 0.38% 0.38% 0.31% 0.31% Mid 1.83% 1.83% 1.61% 1.63% Small 1.92% 1.92% 2.38% 2.40% The benchmark for the SPI Extra, SPI Large, SPI Mid and SPI Small is the 2

3 Sector weightings and basket composition as of The five largest issues in each sector Technology 1.2% Financials 19.4% Utilities 0.1% Telecommunications 1.1% Basic Materials 5% Industrials 14.0% Consumer Goods 24.5% Consumer Services 1.0% Health Care 33.6% Health Care 33.59% NOVARTIS N 15.94% ROCHE GS 13.38% ACTELION N 1.95% LONZA N 0.76% SONOVA N 0.55% Consumer Goods 24.55% NESTLE N 18.62% RICHEMONT N 2.88% SWATCH GROUP I 0.80% LINDT N 0.55% LINDT PS 0.44% Financials 19.43% UBS GROUP N 4.71% ZURICH INSURANCE N 3.46% SWISS RE N 2.55% CS GROUP N 2.37% PARTNERS GROUP N 0.86% Technology 1.18% TEMENOS N 0.34% LOGITECH N 0.32% AMS 0.16% Telecommunications 1.14% SWISSCOM N 0.95% SUNRISE N 0.19% Consumer Services 0.96% GALENICA N 0.38% DUFRY N 0.33% VALORA N 0.07% APG SGA N 0.05% Utilities 0.10% BKW N 0.06% ROMANDE ENERGIE N 0.04% Total % Industrials 14.01% ABB LTD N 3.28% LAFARGEHOLCIM N 2.11% GEBERIT N 1.24% ADECCO N 0.93% SGS N 0.93% Basic Materials 5.05% SYNGENTA N 3.05% GIVAUDAN N 1.22% CPH N 0.01% 3

4 Sector weightings and basket composition as of SPI Extra The five largest issues in each sector Telecommunications 1.0% Technology 6.5% Basic Materials 4.3% Financials 26.4% Industrials 30.6% Utilities 0.6% Consumer Services 5.3% Consumer Goods 12.5% Health Care 12.9% Industrials 30.56% SIKA I 4.77% KUEHNE+NAGEL INT N 3.42% SCHINDLER PS 3.32% FLUGHAFEN ZUERICH N 1.62% SCHINDLER N 1.57% Financials 26.38% PARTNERS GROUP N 4.76% BALOISE N 2.91% SWISS PRIME SITE N 2.70% PSP N 1.61% HELVETIA HOLDING N 1.53% Health Care 12.87% LONZA N 4.23% SONOVA N 3.06% STRAUMANN N 2.03% TECAN GROUP AG N 0.83% COSMO PHARM N 0.49% Consumer Goods 12.45% LINDT N 3.04% LINDT PS 2.42% AIRESIS N 0.02% Consumer Services 5.31% GALENICA N 2.11% DUFRY N 1.80% VALORA N 0.37% APG SGA N 0.27% TAMEDIA N 0.21% Basic Materials 4.32% CLARIANT N 2.28% EMS-CHEMIE N 1.66% GURIT I 0.14% SCHMOLZ+BICKENBACH AG N 0.13% CHAM PAPER GROUP N 0.06% Telecommunications 1.03% SUNRISE N 1.03% Utilities 0.56% BKW N 0.34% ROMANDE ENERGIE N 0.21% Total % Technology 6.51% TEMENOS N 1.90% LOGITECH N 1.79% AMS 0.87% U-BLOX N 0.59% HUBER+SUHNER N 0.38% 4

5 Risk and return over the last 5 years Average yearly returns (TR) in % Risk (Standard Deviation) in % EURO STOXX 50 SPIEX EURO STOXX MID Small DAX MID DAX MID Large Sharpe Ratio Sharpe Ratio (TR) SPI SPIEX SPI LARGE SPI MID SPI SMALL DAX DAX MID EURO STOXX 50 EURO STOXX MID YTD 1 year back 3 years back 5 years back International blue-chip index performance comparison (TR, CHF adjusted) Dec 99 Dec 00 Dec 01 Dec 02 Dec 03 Dec 04 Dec 05 Dec 06 Dec 07 Dec 08 Dec 09 Dec 10 Dec 11 Dec 12 Dec 13 Dec 14 Dec 15 Dec Small 02 SPI Extra DAX Index 05 EURO STOXX 50 5

6 Quick facts SPI EXTRA Name Swiss Performance Index SPI EXTRA Criteria for addition Primary listed securities on the SIX Swiss Exchange No investment companies free-float 20 % Primary listed securities on the SIX Swiss Exchange No investment companies free-float 20 % SPI without SMI securities Method of calculation Laspeyres free-float; capital-weighted Baseline value Total Return Index: = 1,000 Price Index: = 100 Laspeyres free-float; capital-weighted Total Return Index: = 1,000 Price Index: = 100 Historical data since Launch Publication Every 3 minutes Every 3 minutes Index-basket adjustment On the third Friday in September (after closing) On the third Friday in September (after closing) Adjustment date for no. of stocks and free float Third Friday in March, June, September and December (after closing) No. of stocks Small: 105 Middle: 80 Large: 20 Full market capitalisation CHF 1,379 billion (as of ) Market capitalisation free float CHF 1,221 billion adjusted (as of ) Third Friday in March, June, September and December (after closing) Small: 105 Middle: 79 Large: 1 CHF 335 billion CHF 221 billion Please visit our website for further information: None of the information contained herein constitutes an offer to buy or sell a financial instrument that is traded on SIX Swiss Exchange Ltd. SIX Swiss Exchange Ltd is liable neither for the completeness and accuracy of the information given, nor for any loss incurred as a result of action taken on the basis of information provided in this or any other SIX Swiss Exchange Ltd publication. SIX Swiss Exchange Ltd expressly reserves the right to alter prices or product composition at any time. SIX Swiss Exchange Ltd is a joint-stock company under Swiss law. It operates a securities exchange which is licensed and supervised by the Financial Market Supervisory Authority FINMA. SIX Swiss Exchange Ltd, SIX, SIX Swiss Exchange, SPI, Swiss Performance Index (SPI), SPI EXTRA, SPI ex SLI, SPI Select Dividend 20 Index, SPI Multi Premia Index, SPI Single Premia Indices, SPI Value Premium, SPI Size Premium, SPI Momentum Premium, SPI Low Risk Premium, SPI Quality Premium, SPI Residual Momentum Premium, SPI Reversal Premium, SMI, SMI Swiss Market Index, Swiss Market Index (SMI), SMIM, SMI MID (SMIM), SMI Expanded, SXI, SXI Real Estate, SXI Swiss Real Estate, SXI Life Sciences, SXI Bio+Medtech, SXI Switzerland Sustainability 25 Index, SLI, SLI Swiss Leader Index, SBI, SBI Swiss Bond Index, SAR, SAR SWISS AVERAGE RATE, SARON, SCR, SCR SWISS CURRENT RATE, SCRON, SAION, SCION, VSMI, SWX Immobilienfonds Index, SMI Indices are trademarks that have been registered in Switzerland and/or abroad by SIX Group Ltd respectively SIX Swiss Exchange Ltd. Their use is subject to a licence. All used data are on a yearly basis as of Source: SIX Swiss Exchange Ltd SIX Swiss Exchange Ltd P. O. Box CH-8021 Zurich Business Support Index Sales, Licensing and Data T indexdata@six-swiss-exchange.com Technical Support Index Operations T indexsupport@six-swiss-exchange.com 6