RTS Released Index Monthly Wrap up (November, 2011)
OREANDA-NEWS. December 13,
For the last month the RTS Index went down by 1.44% to 1 540.81 points (1 563.28 points on 31 October 2011). Besides, by the end of November RTSI was 3.54% lower compared to its closing level one year ago (1 597.35 points on 30 November 2010). The U.S. Dollar went up by 4.76% against the Ruble in November.
Decrease of the stock market in November was accompanied by a volatility-increase, Russian volatility index RTSVX went up by 1.59%.
In November 2011 25 stocks, out of RTSI's total 49 constituents, had negative impact on the Index's dynamics (minus 65.30 index points), 23 securities moved positively (plus 42.83 points). The price of 1 stock remained unchanged.
The most negative impact was coming from the decreasing prices of ordinary shares of JSC "GMK Norilsk Nickel" (minus 12.52 points), JSC "Uralkali" (minus 10.34 points) and JSC "Gazprom" (minus 10.15 points).
The most positive impact was coming only from the price increase of ordinary shares of JSC "Sberbank Rossii" (plus 9.57 points).
50.76% of the RTSI total capitalization concentrated in the Oil & Gas Sector. The other large- weight sectors were Finance (18.43%) and Metallurgy (10.57%).
In November the major negative contributors were the securities of Metallurgy (minus 20.43 points) and Chemical Production (minus 9.66 points).
Trading in RTSI-linked derivatives amounted to RUR 4 019.32 billion or 43.87 million contracts in November 2011. Futures based on RTSI remained the most liquid derivative contracts making up 70.58% of the total FORTS (Futures and Options on the RTS) turnover in cash terms.
For the last month the RTS Index went down by 1.44%, besides the December contracts (RTS-12.11) went down by 0.62%, and the March contracts (RTS-03.12) by 0.58%.
In November all the RTSI-based futures traded below the spot level, besides the December futures closed slightly above the main indicator of a stock market, the RTS Index, by 3.84 points, and the March futures closed below by 10.21 points.
The volume of opened positions in the RTSI-based futures went up by 10.06% against the end of October.
In November 2011 the Russian stock market demonstrated multidirectional dynamics.
The RTS Standard Index went up by 0.54% to 10 246.37 points (10 191.43 points on 31 October 2011). By the end of the month the RTS Standard Index was 3.99% lower compared to its closing level one year ago (10 671.83 points on 30 November 2010).
In November 2011 9 stocks, out of the RTS Standard Index total 15 constituents, had positive impact on its dynamics (plus 329.33 index points), 6 securities moved negatively (minus 274.39 points).
Most of the positive impact was related to the price growth of ordinary shares of JSC "Sberbank Rossii" (plus 108.29 points), JSC "Surgutneftegas" (plus 66.26 points) and preferred shares of JSC "Transneft" (plus 41.49 points).
Most of the negative impact was coming from the price decline of ordinary shares JSC "GMK
Among the blue chips that demonstrated the major growing in prices were preferred shares of JSC "Transneft", the price increase of its shares was 30.39%, ordinary shares of JSC "FSK EES" - 22.93% and JSC "Surgutneftegas" - 12.58%.
The largest decreasing was demonstrated by the price decline of ordinary shares of JSC "GMK Norilsk Nickel", its shares went down by 9.42%.
54.67% of the RTS Standard Index total capitalization concentrated in the Oil & Gas Sector. The other large-weight sectors were Finance (22.94%) and Metallurgy (9.98%).
|
Ticker |
Stock |
Weight in the RTS Standard Index, % |
Weight in the RTS Index, % |
|
GAZPS |
Gazprom, ordinary |
18,94% |
15,46% |
|
SBERS |
Sberbank, ordinary |
16,61% |
13,56% |
|
SBERPS |
Sberbank, preferred |
1,48% |
1 ,21 % |
|
LKOHS |
LUKOIL, ordinary |
16,11% |
13,14% |
|
GMKNS |
NORILSK NICKEL, ordinary |
7,96% |
6,50% |
|
ROSNS |
Rosneft, ordinary |
7,83% |
6,39% |
|
URKAS |
Uralkali, ordinary |
7,58% |
6,18% |
|
SNGSS |
Surgutneftegas, ordinary |
5,79% |
4,72% |
|
SNGSPS |
Surgutneftegas, preferred |
1,99% |
1,62% |
|
RTKMS |
Rostelecom, ordinary |
4,18% |
3,41% |
|
VTBRS |
VTB Bank, ordinary |
3,89% |
3,17% |
|
HYDRS |
RusHydro, ordinary |
2,30% |
1,88% |
|
FEESS |
FGS UES, ordinary |
2,02% |
1,64% |
|
TRNFPS |
Transneft, preferred |
1,74% |
1,42% |
|
CHMFS |
Severstal, ordinary |
1,60% |
1,30% |
|
Total |
|
100,00% |
81,61% |
In November 2011 the second-tier shares demonstrated negative dynamics.
The RTS-2 Index for the past month went down by 3.65% to 1 697.48 (1 761.81 on 31 October 2011). As of the end of November RTS-2 was 16.86% lower compared to its closing level one year ago (2 041.74 points on 30 November 2010).
Out of 57 constituent stocks on the RTS-2 Index, 33 had negative impact on its dynamics (minus 103.18 index points), 12 had positive impact (plus 38.85 points). The price of 12 stocks remained unchanged.
The most negative impact on the RTS-2 Index was coming from the price decline of ordinary shares of JSC "InterRao EES" (minus 15.12 points), preferred shares of JSC "Bashneft" (minus 12.78 points) and ordinary shares of JSC "Bashneft" (minus 12.48 points).
The most positive impact on Index dynamics was related to the growing prices of ordinary shares of JSC "VSMPO-AVISMA Corporation" (plus 8.78 points).
In terms of weight in RTS-2 Index, the largest were the following Sectors: the Power Sector (43.55%), the Oil&Gas Sector (15.50%) and the Consumer Goods & Trading Sector (9.82%).
The largest contribution to the decreasing of RTS-
The RTS
In November 2011 the Siberian stock market showed negative trend.
For the last month the RTS Siberia Index went down by 1.63% to 707.14 points (718.86 points on 31 October 2011). Besides, by the end of November RTS Siberia Index was 24.77% lower compared to its closing level one year ago (939.95 points on 30 November 2010).
In November 2011 5 stocks, out of RTS Siberia Index's total 10 constituents, had negative impact on the Index's dynamics (minus 32.19 index points), 3 securities had positive impact (plus 20.46 points). The price of 2 stocks remained unchanged.
The most negative impact on RTS Siberia Index was coming from the price decline of ordinary shares of JSC "Irkutskenergo" (minus 10.79 points), JSC "GMK Norilsk Nickel" (minus 9.94 points) and JSC "Raspadskaya" (minus 7.34 points).
Most of the positive impact was coming from the growing prices of the ordinary shares of JSC "Gazprom" (plus 11.67 points).
44.37% of the RTS Siberia Index total capitalization concentrated in the Power Sector. The other large-weight sectors were the Metallurgy (34.36%) and the Oil & Gas Sector (21.27%).
|
Index |
Last Value |
Change over (Period), % |
Max |
Min | ||||
|
Month |
Quarter |
Year |
Value |
Date |
Value |
Date | ||
|
RTS Standard Index |
10 246,37 |
0,54% |
-2,47% |
-3,99% |
10 364,01 |
08.11.2011 |
9 485,80 |
24.11.2011 |
|
RTS-2 Index |
1 697,48 |
-3,65% |
-12,49% |
-16,86% |
1 740,44 |
09.11.2011 |
1 645,28 |
25.11.2011 |
|
RTS Metals & Mining Index |
235,08 |
-11,07% |
-25,29% |
-22,33% |
262,93 |
07.11.2011 |
219,61 |
25.11.2011 |
|
RTS Oil & Gas Index |
196,84 |
0,59% |
-2,40% |
9,69% |
199,94 |
08.11.2011 |
180,24 |
24.11.2011 |
|
RTS Consumer & Retail Index |
309,79 |
-9,19% |
-9,93% |
-18,55% |
330,88 |
02.11.2011 |
303,72 |
25.11.2011 |
|
RTS Industrial Index |
134,37 |
-10,19% |
-25,59% |
-31,21% |
149,61 |
01.11.2011 |
134,37 |
29.11.2011 |
|
RTS Finances Index |
297,50 |
-7,59% |
-19,02% |
-27,36% |
322,03 |
08.11.2011 |
276,07 |
25.11.2011 |
|
RTS Electric Utilities Index |
195,50 |
3,26% |
-7,36% |
-26,47% |
195,50 |
30.11.2011 |
182,11 |
25.11.2011 |
|
RTS |
707,14 |
-1,63% |
-16,27% |
-24,77% |
719,38 |
07.11.2011 |
678,15 |
25.11.2011 |
|
Russian volatility Index |
46,63 |
1,59% |
14,74% |
79,22% |
55,88 |
22.11.2011 |
45,60 |
08.11.2011 |
In November 2011 the RTS Index went down by 1.44% compared to the end of October 2011, it's closing level on 30 November reached 1 540.81 points (1 563.28 points on 31 October 2011).
For the last month The RTS Standard Index (the Index of "Blue chips") went up by 0.54% to 10 246.37 points (10 191.43 points on 31 October 2011). The RTS-2 Index for the same period went down by 3.65% to 1 697.48 points (1 761.81 points on 31 October 2011).
Decrease of the stock market in November was accompanied by a volatility-increase, Russian volatility index RTSVX went up by 1.59% to 46.63 points (45.90 points on 31 October 2011).
All key-sectors represented on the Russian stock market demonstrated negative trend in November. The leader of falling was the Metallurgy - The RTS Metals & Mining Index went down by 11.07%. A considerable falling was demonstrated by the Industry and Consumer Goods & Trading Sector - the RTS Industrial Index went down by 10.19% and the RTS Consumer & Retail Index lost 9.19%. The growing was demonstrated only by the Power Sector and Oil & Gas Sector - the RTS Electric Utilities Index went up by 3.26% and the Oil & Gas Index gained 0.59%.
The RTS Siberia Index went down by 1.63%.
In November Dollar went up by 4.76% against the Russian Ruble - to RUR 31.32USD (29.90 on 31 October 2011).
|
|
Number of constituents |
MC of constituent companies, USD mln |
Combined MC, free-float adjusted, USD mln |
Share of total MC, % | |||
|
Index |
Total |
Average |
Max |
Min | |||
|
RTS Index |
49 |
738 308 |
15 068 |
135 043 |
499 |
181 502 |
86,47% |
|
RTS Standard Index |
15 |
491 864 |
32 791 |
132 450 |
2 156 |
145 290 |
57,61% |
|
RTS-2 Index |
57 |
85 676 |
1 503 |
10 785 |
74 |
17 016 |
10,03% |
|
RTS Oil & Gas Index |
14 |
424 785 |
30 342 |
135 043 |
406 |
77 808 |
49,75% |
|
RTS Consumer & Retail Index |
10 |
15 062 |
1 506 |
7 919 |
145 |
2 080 |
1,76% |
|
RTS Metals & Mining Index |
11 |
87 555 |
7 960 |
33 698 |
179 |
9 721 |
10,25% |
|
RTS Industrial Index |
7 |
4 110 |
587 |
1 676 |
106 |
445 |
0,48% |
|
RTS Electric Utilities Index |
14 |
60 516 |
4 323 |
14 217 |
622 |
11 947 |
7,09% |
|
RTS Finances Index |
9 |
93 497 |
10 389 |
61 521 |
306 |
2 561 |
10,95% |
|
RTS |
10 |
74 146 |
7 415 |
33 053 |
124 |
2 052 |
8,68% |
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