QUOTE AND NEWS
The Economic Times  Dec 1  Comment 
At 0620 GMT, the RTS was 4.1 per cent down at 937 points, as the rouble fell to 51.7 rouble per dollar and oil fell to a five-year low.
MarketWatch  Oct 23  Comment 
Russian stocks declined for a second straight day on Thursday as fears that the country is in for another sovereign downgrade had traders reaching for the sell button. The MICEX index dropped 1% to 1,360.12, building on a 1.3% loss from...
The Economic Times  Oct 9  Comment 
Dollar-denominated RTS index was up 1.2 per cent to 1,095 points, while the rouble-based MICEX index was 0.8 per cent higher at 1,391 points.
The Economic Times  Sep 26  Comment 
At 0610 GMT, the dollar-denominated RTS index was down 1.2 per cent at 1,160 points, while the rouble-based MICEX was 0.65 per cent.
The Economic Times  Sep 25  Comment 
RTS index was up 0.3 per cent to 1,193 points, while the rouble-based peer MICEX was 0.5 per cent higher at 1,448 points.
The Economic Times  Sep 22  Comment 
At 1255 GMT, Russia's dollar-denominated RTS index was down 0.8 percent at 1,160 points and its rouble-based peer MICEX was also 0.8 percent lower at 1,420 points.
The Economic Times  Sep 19  Comment 
At 0800 GMT, the dollar-denominated RTS index was down 0.6% to 1,180 points. The rouble-based MICEX was 0.7% lower at 1,439 points.
The Economic Times  Sep 11  Comment 
Dollar-denominated RTS index was down 0.06 per cent at 1,238 points, while its rouble-based peer MICEX was 0.15 per cent higher at 1,471 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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