QUOTE AND NEWS
Yahoo  10 hrs ago  Comment 
Ukraine's security and defense council said the border town of Novoazovsk and other areas of Ukraine's south-east had fallen under the control of Russian forces, together with rebels. The Federal Bureau of Investigation said it was investigating...
The Economic Times  Aug 27  Comment 
At 0615 GMT, the dollar-denominated RTS index was up 0.3 per cent at 1,263 points, while its rouble-based peer MICEX was 0.4 per cent higher.
The Economic Times  Aug 26  Comment 
At 0605 GMT, the dollar-denominated RTS index was up 0.3 per cent to 1,271 points, while its rouble-based peer MICEX was 0.3 per cent higher at 1,459 points.
The Economic Times  Aug 22  Comment 
The dollar-denominated RTS index was down 0.1 per cent at 1,274 points, while its rouble-based peer MICEX traded 0.4 per cent lower at 1,456 points.
The Economic Times  Aug 21  Comment 
The dollar-denominated RTS index was up 0.2 per cent to 1,260 points, while the rouble-based MICEX traded 0.4 per cent higher at 1,453 points.
The Economic Times  Aug 19  Comment 
The dollar-denominated RTS index was up 0.3 per cent to 1,246 points, while its rouble-based peer MICEX traded 0.2 per cent higher at 1,428 points.
The Economic Times  Aug 13  Comment 
At 0625 GMT, the dollar-denominated RTS index was up 0.3 per cent at 1,202 points, while its rouble-based peer MICEX traded 0.7 per cent higher at 1,384 points.
The Economic Times  Aug 12  Comment 
Russian shares traded mixed after strong gains on Monday. The dollar-denominated RTS index was flat while the rouble-based MICEX rose 0.5 per cent.
The Economic Times  Aug 6  Comment 
At 0615 GMT, the dollar-denominated RTS index was down 1.1 per cent at 1,177 points, while its rouble-based peer MICEX traded 0.7 per cent lower at 1,349 points.
The Economic Times  Aug 4  Comment 
The dollar-denominated RTS index was up 0.8 per cent to 1,223.1 points, while its rouble-based peer MICEX traded 0.7 per cent higher.




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The Russian Trading System Index or the RTSI, comprises of 50 of the largest stocks (both common and preferred) capturing 85% of the total market capitalization of the Russian Trading System exchange[1]. It is a capitalization weighted index with a restrictive cap of 15% on all the stocks[2]. The index is rebalanced and the constituents are checked on a quarterly basis.

The index was first calculated on 1st September, 1995 with a base value of 100[3]. The Russian Trading system works with Standard and Poor's since 2006 to calculate the RTSI[4]. The RTSI is one of the few indices which, outside the US, is calculated in USD. The Russian Ruble (RUB) index is based on the USD one.

Weighting and Calculations

The RTSI is a restricted market cap index where the weight restriction is maintained at 15% of an individual stock. The index is calculated with the Image: ACF209.gif

where the adjusting coefficient value (Zn) is 1.4026 as a 13th September 2008[5].

  • Ii = intial value of the index
  • MCn= New sum of market cap in USD
  • MCi= Initial sum of market cap in USD

The Market Capitalization is calculated by the RTS as[6]:
Image: ACF20B.gif

where:

  • Wi= Free floating coefficient of stock i
  • Ci= restrictive coefficient for the stock
  • Qi= quantity of shares issued
  • Pi= Price of the stock

The Free float Adjustment factor represents the proportion of shares that is free floated as a percentage of issued shares and then its rounded up to the nearest multiple of 5% for calculation purposes. To find the free-float capitalization of a company, first find its market cap (number of outstanding shares x share price) then multiply its free-float factor. The free-float method, therefore, does not include restricted stocks, such as those held by company insiders.

Composition

Eligibility

For the stocks to be eligible for the RTS Index, they need to satisfy the following criteria[7]:

  • Eligible stocks have to be common or preferred.
  • Stocks must be based in Russia, that covers headquarters, senior management and location of company operations.
  • Stocks have to be publicly floated, private or government holdings are removed.
  • Constituent companies are capped at 15% index of the total market capitalization of the market
  • The average number of "bid" and "ask" quotes in the exchange should be atleast two and the spread in this quote should be less than 15%.

List of companies

The list of companies on the RTSI as of September 2008[8]:

References

  1. RTSI Description
  2. RTSI Description
  3. RTSI Description
  4. RTS Indices Methodology
  5. RTSI Calculations
  6. RTSI Calculations
  7. RTS Factsheet
  8. RTSI companies
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