Swiss Leader Index

The Swiss Leader Index (SLI) is an index comprising large and mid-cap companies primarily listed on SIX Swiss Exchange. It is made up of 30 of the largest and most liquid Swiss Performance Index (SPI) large- and mid-cap stocks.[1] As a price index, the SLI is not adjusted for dividends, but there exists a total-return version as well.[1]

Swiss Leader Index
Foundation2 July 2007
OperatorSIX Swiss Exchange
ExchangesSIX Swiss Exchange
Trading symbolSLI
Constituents30
TypeLarge and mid-cap, price index
Market capCHF 590 billion (free-float and capped-market adjusted, end 2017)[1]
Weighting methodCapitalization-weighted, with 9/4.5 capping
Related indicesSMI, SMI MID, SMI Expanded, SPI
Websitesix-group.com
ISINCH0030252883
Reuters.SLI
BloombergSLI:IND

The SPI was introduced on July 2, 2007 and computed back to December 30, 1999, with a baseline value of 1,000 points on this starting date.[2]

The capping model of the SLI makes it suitable as a benchmark for a broader range of products and markets than other indices offered by SIX Swiss Exchange, because it is compatible with regulatory requirements in the European Union as well as in the United States.[1] With its 9/4.5 caps, the SLI is more diversified, and its risk/return profile is more tilted towards smaller capitalizations, than other indices such as the SMI and SPI.

In 2020, the SLI, along with other SIX indices, was endorsed under the EU Benchmarks Regulation and is registered in ESMA, which means that it can be used as an underlying for financial products sold in the EU.[3]

Rules

Universe

The SLI comprises the 20 securities of the SMI, as well as the largest 10 securities in the SMI MID.[2]

Capped weightings

The largest four components of the SLI are capped at 9%. All other components, if necessary, are capped at 4.5%.[1]

The caps are enforced with a multiplication factor that is updated every three months.[2]

Current constituents

As of September 18, 2020, the following 30 stocks make up the SLI index.[4] Components marked as 1 have a 9% weight as of September 18, 2020.[5] Sizes are based on the SPI classification by market capitalization: L for SPI Large, M for SPI Mid.[6]

CompanysizeSMIICB SectorCantonTicker symbol
ABBLSMIelectronic and electrical equipmentZurichABBN
AdeccoMSMI MIDbusiness training and employment agenciesZurichADEN
AlconLSMIhealthcareFribourgALC
amsMSMI MIDtechnologyAustriaAMS
ClariantMSMI MIDchemicalsBasel LandschaftCLN
Credit SuisseLSMIbanksZurichCSGN
GeberitLSMIbuilding materials and fixturesSt. GallenGEBN
GivaudanLSMIspecialty chemicalsGenevaGIVN
Julius BärMSMI MIDbanksZurichBAER
Kuehne + NagelMSMI MIDindustrial goods and servicesSchwyzKNIN
LafargeHolcimLSMIbuilding materials and fixturesSt. GallenLHN
LogitechMSMI MIDtechnologyVaudLOGN
LonzaLSMIpharmaceuticals and biotechnologyBaselLONN
Nestlé1LSMIfood productsVaudNESN
Novartis1LSMIpharmaceuticalsBaselNOVN
Partners GroupLSMIfinancial servicesZugPGHN
RichemontLSMIclothing and accessoriesGenevaCFR
Roche1LSMIpharmaceuticalsBaselROG
SchindlerMSMI MIDindustrial goods and servicesLucerneSCHN
SGSLSMIbusiness support servicesGenevaSGSN
SikaLSMIspecialty chemicalsZugSIKA
SonovaLSMI MIDhealthcareZurichSOON
Swatch GroupMSMIclothing and accessoriesBernUHR
StraumannMSMI MIDpharmaceuticalsBasel CitySTMN
Swiss LifeLSMIlife insuranceZurichSLHN
Swiss ReLSMIreinsuranceZurichSREN
SwisscomLSMIfixed line telecommunicationsBernSCMN
TemenosMSMI MIDtechnologyGenevaTEMN
UBSLSMIbanksZurichUBSG
Zurich Insurance Group1LSMIfull line insuranceZurichZURN

Notes and references
  1. "SLI Family – Factsheet" (PDF). SIX Swiss Exchange. Retrieved 23 June 2019.
  2. "SLI® – the Swiss share index with capped weightings". SIX Swiss Exchange. Retrieved 23 June 2019.
  3. "Swiss Indices Endorsed Under the EU Benchmarks Regulation". SIX Swiss Exchange. Retrieved 12 April 2020.
  4. "SMI® - the Swiss Share Index with capped weightings". SIX Swiss Exchange. Retrieved 19 July 2019.
  5. "Index adjustments on the occasion of the ordinary index review" (PDF). SIX Swiss Exchange. Retrieved 3 September 2020.
  6. "Index adjustments on the occasion of the ordinary index review" (PDF). SIX Swiss Exchange. Retrieved 10 October 2019.
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