What is the RTS index? Concept, types, calculation procedure, dynamics of change

The Russian Trading System (RTS) is one of the two largest exchange sites for trading in Russian securities. It was organized in 1995 as an alternative to the already existed at that time MICEX. After almost 20 years RTS has been transformed into a large-scale structure that not only provides access to exchange trades for private investors and professional participants of the securities market, but also provides a number of additional services, including clearing, settlement and depository.

The concept of the RTS index

What is the RTS index? This is an indicator of the state of the Russian securities market, which is calculated on the basis of transactions with securities entered into on the RTS trading platform. Its value reflects the total market capitalization of shares traded on the Russian stock market. In turn, the capitalization of each individual company is the market value of one share multiplied by the total number of shares in circulation, and reflects the real market value of the company.

The RTS index, along with the MICEX index, is the main indicator of the state of the domestic stock market. However, after the merger of MICEX and RTS trading platforms, both MICEX and RTS, the same unified stock exchange, are actually calculating both. The main difference between these two indicators is that the MICEX index is calculated in rubles, and the RTS - in dollars. Therefore, its change is influenced not only by the dynamics of prices for shares of Russian companies, but also by the change in the exchange rate of the ruble against the dollar. In the conditions of constant growth of the US dollar, the RTS index shows more positive dynamics compared to the MICEX index. That is, its value grows faster, but decreases more slowly compared to its "competitor".

Types of RTS indices

The RTS stock indices include a whole family of different calculated indicators. These include: the RTS Standard index, the RTS-2 index, the volatility index (RTSVX), the RTS Siberia index (RTSSIB) and a number of industry indices.

The main RTS index (RTSI) is calculated on the basis of information on trading in shares of the 50 largest Russian companies. These include Gazprom, Lukoil, Sberbank, Surgutneftegaz and a number of shares of other companies. To include the company's shares in the RTS index, they must meet two criteria. First, the shares must be admitted to trading on the RTS. Secondly, the company's capitalization should not be less than 0.5% of the total capitalization of all shares included in the index. The list of companies is reviewed quarterly.

Algorithm of calculation

The RTSI index is calculated starting from September 1, 1995. It was then that trading started on securities on the RTS trading floor. Its value is reflected in relative units. As of the date of the first trading day, the RTSI index was provisionally accepted equal to 100 points.

In order to understand what the RTS index is, let's give a conditional example of calculating its value. Suppose that, as of September 1, 1995, the total capitalization of companies whose shares were included in the RTSI index was $ 500,000. On the relative date of the next calculation, it grew, say, up to 850 000 dollars. The conditional value of the index in this case is:

850 000/500 000 * 100 points * 1,0752559 = 183 points (1,0752559 is the correction factor used in the calculations).

In other words, capitalization of the stock market increased 1.83 times.

Calculation procedure

The RTS index is calculated on the basis of data on the purchase and sale prices of shares included in the index. This is done every 15 seconds, that is, in real time. But for bidders and stock market analysts, the most important information is the data on the value of the indices at the time of opening and closing of trades, as well as the maximum and minimum value based on the results of the trading session. It is these data that they use to analyze the dynamics and trends in prices for shares of Russian issuers.

Now it became clear what the RTS index is and what is the algorithm for calculating it. It's time to evaluate the change in its value during the time of trading on the RTS stock exchange. The values of the indices are constantly changing. This complex process is influenced by a whole range of different factors, including the state of the world economy as a whole, the macroeconomic situation in the country, the state of the particular industry, and, of course, the state of affairs in each individual company. Russia today in the world classification refers to the emerging markets. Therefore, the value of domestic stock indexes are very sensitive to fluctuations in the indices of developed markets, including NASDAQ and DowJones.

History of the RTS index change

1260 points - this is the value for today has the RTS index. The dynamics testifies that over the past 19 years the capitalization of the Russian share market has grown more than 12 times. At first glance, everything looks very optimistic. But is it really so?

The index reached its peak in May 2008. At that time it was 2498.10 points. However, the crisis of 2008 led to a serious decline in the capitalization of Russian companies. As a result of this fall, the value of the index dropped to a level of 80 points. Despite the recovery of the Russian economy, the domestic stock market is still unable to fully recover from its serious losses. As a result, today, the leaders of the Russian economy are almost twice cheaper than in the middle of 2008. And this is taking into account the growth of the dollar against the ruble by more than 10 rubles. (From the level of 23-25 rubles to today's 35 rubles for one dollar).

What is the RTS index? This is a kind of litmus test of the state of the Russian stock market, and, consequently, of the entire economy as a whole. It is on the basis of its dynamics that it can be concluded that the largest domestic companies are developing successfully. Analysis of the change in the index allows us to conclude on the current state of the securities market and is one of the main criteria for making decisions on the purchase or sale of shares of Russian issuers.