QUOTE AND NEWS
MarketWatch  Jul 21  Comment 
Russian stocks slumped for a sixth straight day on Monday, as tensions between Moscow and the West continued to weigh following the passenger jet crash last week. The MICEX index slid 1.3% to 1,403.63, setting it on track for its lowest close...
Financial Times  Jun 25  Comment 
Over the past three months, Russia’s RTS index is the third best-performing exchange worldwide, gaining 25 per cent from its mid-March lows
The Economic Times  Jun 25  Comment 
The rouble-based MICEX index was 0.4 percent lower at 1,513 points at 0620 GMT, while the dollar-denominated RTS index was off 0.9 per cent.
The Economic Times  Jun 20  Comment 
The rouble-based MICEX index was down 0.4 per cent at 1,488.5 points at 0705 GMT, while the dollar-denominated RTS index was off 0.7 per cent at 1,362.6 points.
The Economic Times  Jun 18  Comment 
The rouble-based MICEX index was up 0.1 per cent at 1,488 points at 0730 GMT, while the dollar-denominated RTS index rose 0.3 per cent at 1,347 points.
The Economic Times  Jun 11  Comment 
At 0610 GMT, the dollar-denominated RTS index was up 0.2 percent up to 1371.5 points, while the rouble-traded MICEX added 0.3 percent to 1,494.7 points.
Reuters  May 7  Comment 
The RTS index of Russian stocks rose nearly 6 percent on the day on Wednesday after President Vladimir Putin called on separatists in eastern Ukraine to postpone a referendum on self-government.
MarketWatch  Apr 24  Comment 
Russian stocks pushed sharply lower on Thursday, dragging global markets with them as tensions between Russia and Ukraine grew more tense. Extending earlier losses, Russia's blue-chip MICEX index dropped 2.5% to 1,295.66, while the RTS index ...
Bloomberg  Mar 17  Comment 
Emerging Stocks Climb on Russia as RTS Leads World Gains Emerging-market stocks advanced, rebounding from a one-month low, as concern eased that the referendum in Crimea will...
Yahoo  Mar 14  Comment 
Russia's main stock index plunged to its lowest level since October 2009 only a couple of days before Crimea holds a referendum on whether it should break away from embattled Ukraine or join Russia. The Micex index tanked by 5% to 1,191 points...




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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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