RTS Released Index Monthly Wrap up (September, 2011)
OREANDA-NEWS. October 14, 2011. For the last month the RTS Index went down by 21.22% to 1 341.09 points (1 702.28 points on 31 August 2011). Besides, by the end of September RTSI was 11.05% lower compared to its closing level one year ago (1 507.66 points on 30 September 2010). The U.S. Dollar went up by 10.46% against the Ruble in September.
Decrease of the stock market in September was accompanied by a volatility-increase, Russian volatility index RTSVX went up by 40.92%.
In September 2011 49 stocks, out of RTSI's total 50 constituents, had negative impact on the Index's dynamics (minus 361.77 index points), 1 security moved positively (plus 0.59 points).
The most negative impact was coming from the decreasing prices of ordinary shares of JSC "Sberbank Rossii" (minus 55.37 points), JSC "Gazprom" (minus 53.39 points) and JSC "LUKOIL" (minus 34.38 points).
The positive impact was coming only from the price increase of ordinary shares of PJSC "
48.8% of the RTSI total capitalization concentrated in the Oil & Gas Sector. The other large- weight sectors were Finance (16.9%) and Metallurgy (14.6%).
In September the major negative contributors were the securities of the Oil & Gas Sector (minus 145.42 points), Finance (minus 76.25 points) and the Metallurgy (minus 48.71 points).
Trading in RTSI-linked derivatives amounted to RUR 3 893.75 billion or 42.23 million contracts in September 2011. Futures based on RTSI remained the most liquid derivative contracts making up 65.74% of the total FORTS (Futures and Options on the RTS) turnover in cash terms.
For the last month the RTS Index went down by 21.22%, besides the December contracts (RTS-12.11) went down by 21.54%.
The September contracts for RTSI-index were exercised on September 16th. The price of exercise was determined on June 15th and was 161 192 points.
In September all the RTSI-based futures traded below the spot level. By the end of the month the December futures were 22.99 points in backwardation.
The volume of opened positions in the RTSI-based futures went down by 46.44% against the end of August.
The RTS Standard Index went down by 11.45% to 9303.84 points (10 506.37 points on 31 August 2011). By the end of the month the RTS Standard Index was 4.83% lower compared to its closing level one year ago (9 776,44 points on 30 September 2010).
In September 2011 14 stocks, out of the RTS Standard Index total 15 constituents, had negative impact on its dynamics (minus 1234.77 index points), 1 security moved positively (plus 32.24 points).
The most negative impact was coming from the price decline of ordinary shares of JSC "Sberbank Rossii" (minus 282.72 points), JSC "Gazprom" (minus 239.58 points) and JSC "Uralkali" (minus 196.73 points).
Most of the positive impact was related to the growing prices of ordinary shares of JSC "Surgutneftegas" (plus 32.24 points).
Among the blue chips that demonstrated the major growing of prices were JSC "Severstal", the price increase of its ordinary shares was 23.76%, preferred shares of JSC "Sberbank Rossii" - 23.20%, and ordinary shares of JSC "Uralkali" - 21.79%.
The growth was demonstrated only by the ordinary shares of JSC "Surgutneftegas", its shares went up by 6.26%.
53.73% of the RTS Standard Index total capitalization concentrated in the Oil & Gas Sector. The other large-weight sectors were Finance (21.22%) and Metallurgy (13.29%).
|
Ticker |
Stock |
Weight in the RTS Standard Index, % |
Weight in the RTS Index, % |
|
GAZPS |
Gazprom, ordinary |
18,58% |
14,90% |
|
LKOHS |
LUKOIL, ordinary |
16,88% |
13,53% |
|
SBERS |
Sberbank, ordinary |
14,76% |
11,83% |
|
SBERPS |
Sberbank, preferred |
1,32% |
1,06% |
|
GMKNS |
NORILSK NICKEL, ordinary |
11,31% |
9,06% |
|
URKAS |
Uralkali, ordinary |
7,51% |
6,02% |
|
ROSNS |
Rosneft, ordinary |
7,32% |
5,87% |
|
SNGSS |
Surgutneftegas, ordinary |
5,63% |
4,51% |
|
SNGSPS |
Surgutneftegas, preferred |
1,80% |
1,45% |
|
RTKMS |
Rostelecom, ordinary |
4,25% |
3,41% |
|
VTBRS |
VTB Bank, ordinary |
4,24% |
3,40% |
|
HYDRS |
RusHydro, ordinary |
2,22% |
1,78% |
|
FEESS |
FGS UES, ordinary |
1,54% |
1,23% |
|
CHMFS |
Severstal, ordinary |
1,41% |
1,13% |
|
TRNFPS |
Transneft, preferred |
1,23% |
0,98% |
|
Total |
|
100,00% |
80,16% |
The RTS-2 Index for the past month went down by 19.47% to 1 562.11 (1 939.86 on 31 August 2011). As ofthe end ofSeptember RTS-2 was 19.99% lower compared to its closing level one year ago (1 952.39 points on 30 September 2010).
Out of 59 constituent stocks on the RTS-2 Index, 50 had negative impact on its dynamics (minus 387.60 index points), 5 had positive impact (plus 9.85 points). The price of 4 stocks remained unchanged.
The most negative impact on the RTS-2 Index was coming from the price decline of ordinary shares of JSC "Polimetall" (minus 74.04 points), JSC "IDGC Holding" (minus 27.64 points) and JSC "InterRao EES" (minus 23.64 points).
The most positive impact on Index dynamics was related to the growing prices of ordinary shares of PJSC "
In terms of weight in RTS-2 Index, the largest were the following Sectors: the Power Sector (38.10%), the Metallurgy (17.98%) and the Oil&Gas Sector (13.29%).
The largest contribution to the decreasing of RTS-
The RTS
For the last month the RTS Siberia Index went down by 12.98% to 734.98 points (844.59 points on 31 August 2011). Besides, by the end of September RTS Siberia Index was 14.80% lower compared to its closing level one year ago (862.67 points on 30 September 2010).
In September 2011 8 stocks, out of RTS Siberia Index's total 10 constituents, had negative impact on the Index's dynamics (minus 110.67 index points), 1 security had positive impact (plus 0.93 points). The price of 1 stock remained unchanged.
The most negative impact on RTS Siberia Index was coming from the price decline of ordinary shares of JSC "Raspadskaya" (minus 31.50 points), JSC "Irkutskenergo" (minus 23.19 points), JSC "RusHydro" (minus 20.80 points).
Most of the positive impact was coming from the growing prices of ordinary shares of JSC "Gazpromneft" (plus 0.93 points).
44.11% of the RTS Siberia Index total capitalization concentrated in the Power Sector. The other large-weight sectors were the Metallurgy (38.04%) and the Oil & Gas Sector (17.85%).
In September 2011 the RTS Index went down by 21.22% compared to the end of August 2011, it's closing level on 30 September reached 1 341.09 points (1 702.28 points on 31 August 2011).
For the last month The RTS Standard Index (the Index of "Blue chips") went down by 11.45% to 9 303.84 points (10 506.37 points on 31 August 2011). The RTS-2 Index for the same period went down by 19.47% to 1 562.11 points (1 939.86 points on 31 August 2011).
Decrease of the stock market in September was accompanied by a volatility-increase, Russian volatility index RTSVX went up by 40.92% to 57.27 points (40.64 points on 31 August 2011).
All key-sectors represented on the Russian stock market demonstrated negative trend in September. The leader of falling was the Metallurgy - The RTS Metals & Mining Index went down by 24.43%. A considerable falling was demonstrated by the Power Sector and Finance Sector - the Electric Utilities Index went down by 23.72% and the RTS Finance Index lost 21.51%.
The RTS Siberia Index went down by 12.98 %.
In September Dollar went up by 10.46% against the Russian Ruble - to RUR 31.88\\$ (28.86 on 31 August 2011).
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