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WIKI ANALYSIS
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
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]:
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]:
- Sistema JSFC
- Aeroflot
- Acron
- AvtoVAZ
- Bashneft
- Severstal
- Sibirtelekom
- CenterTelecom
- FGC UES
- Gazprom (GZPFY)
- MMC Norilsk Nickel
- RusHydro
- Irkutskenergo
- LUKOIL (LUKOY)
- Magnitogorsk Iron and Steel Works
- Magnit
- Mosenergo
- Mechel Steel Group OAO (MTL)
- Mobile TeleSystems
- NLMK
- NCSP
- VolgaTelecom
- Novatek
- OGK-2
- OGK-3
- OPIN
- Polyus Gold
- Polymetal
- Raspadskaya
- RBC Information Systems
- Rosneft
- Rostelecom (ROS)
- Sberbank
- The Seventh Continent
- Gazprom Neft
- Silvinit
- Surgutneftegas
- North-West Telecom
- Sollers JSC
- Tatneft
- TMK
- Transneft
- Ufaneftekhim
- Uralkali
- Uralsvyazinform
- VSMPO-AVISMA Corporation
- VTB Bank
- WBD Foods
References
- ↑ RTSI Description
- ↑ RTSI Description
- ↑ RTSI Description
- ↑ RTS Indices Methodology
- ↑ RTSI Calculations
- ↑ RTSI Calculations
- ↑ RTS Factsheet
- ↑ RTSI companies
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