EURO STOXX® Size Premium
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® Size Premium Index targets stocks with low market capitalization and total assets value.
|Dissemination period||18:00 CET-18:00 CET|
|Free Float Mcap||1'000.240 MEUR|
|Daily change (absolute)|
|Week to week change|
|52 week change|
|Year to date change|
|52 week low|
|52 week high|