The EURO STOXX® Single Premium Indices aim to extract factor risk premia on equities while controlling risks and focusing on tradability. The index strategy was developed based on research by Finreon, a provider of innovative asset management solutions and spin-off from the University of St. Gallen. The indices are based on the EURO STOXX® Index and differ from each other by the risk premia they exploit, which consist of the following: value, size, momentum, residual momentum, reversal, low risk and quality.
Each EURO STOXX® Single Premium Index includes those constituents from the parent index which rank in the top third for that risk premium. Using an optimization process, selected constituents are weighted in such a way that each stock contributes equally to the absolute overall risk of the index, taking into account constituent, country and industry constraints. All indices are rebalanced quarterly.
The EURO STOXX® Low Risk Premium Index targets stocks with low volatility, value at risk, and correlation with the parent index.
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EUR (Gross Return)
Symbol | SXELRPEG |
Calculation | End-of-day |
Dissemination period | 18:00 CET-18:00 CET |
ISIN | CH0410156332 |
Bloomberg ID | N/A |
Free Float Mcap | 10'205.358 MEUR |
Last value | |
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52 week low | |
52 week high |