RTS to Use New Methodologies for Calculating of RTS Indices
OREANDA-NEWS. December 8, 2010. As of December 15, 2010 new versions of methodologies for calculating the RTS Index, the RTS Standard Index, the RTS-2 Index, the RTS Sector Indices and the RTS Regional Indices will come into force.
The new versions of methodologies were approved by the Board of Directors of OJSC "Russian Trading System" Stock Exchange on October 26, 2010.
According to the new methodologies a free-float coefficient reflecting the number of outstanding shares, is determined accurate to 2 decimal places (instead of the previous requirement to the coefficient to take values only divisible by 5%). In addition, the date of when the lists of the Indices’ constituent stocks take effect will be changed (they will come into effect on the first business day following March 15th, June 15th, September 15th and December 15th). The new date will coincide with the Indices futures’ settlement day.
New versions of Methodologies for calculating of RTS indices:
Methodology of the RTS Index calculation
Methodology of the RTS Standard Index calculation
Methodology of the RTS-2 Index calculation
Methodology of the RTS Sectoral Index calculation
Methodology of the RTS Regional Index calculation
Constituent lists of the RTS Index, RTS Standard and the RTS-2 Index are composed of shares picked by experts of the RTS Information Committee using parameters such as capitalization, liquidity and expert estimation. The lists are subject to review by the Committee every three months. The RTS Index is calculated on the basis of the 50 most capitalized stocks. The RTS Standard Index is calculated on the basis of the 15 most liquid shares of Russian companies. The RTS-2 Index is calculated on the basis of second-tier stocks.
The sector indices include securities of enterprises representing certain sectors of the economy. Each individual issuer’s weight in an index is capped at 25 percent. The number of constituent stocks in the individual indices varies from 10 to 15. The constituent lists of the RTS Index and the RTS-2 Index serve as a base for the sector indices’ starting lists.
The RTS Information Committee is made up of experts delegated by the RTS member-companies as well as independent experts, and is responsible for reviewing the index calculation methodology.
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