Index Committee approves amendments to MOEX index methodology

On 19 July 2017, the Moscow Exchange Index Committee agreed amendments to the calculation methodology for the MOEX indices, which reflected increased liquidity requirements for constituent stocks and an option for a variable amount of securities in the index.

According to the updated methodology, the liquidity factor, i.e. the ratio of the annual trading volume to the market capitalization of shares in the free float of a company, will be the main measure of stock liquidity. To be included in the MICEX Index and RTS Index, a stock must have a liquidity factor of at least 15%. Stocks with the liquidity factor of less than 10% will be excluded from the indices.

Furthermore, the methodology sets out the minimum weight of each stock in the index. Stocks with a less than 0.2% weighting will be removed. Only stocks with a weighting of 0.25% or more will only be eligible for the indices.

The MICEX Index and RTS Index may now comprise fewer than 50 stocks that allows the gauges to track the most liquid stocks. According to historical modelling performed by the Exchange, from 38-44 stocks would have been eligible for the MICEX Index and RTS Index in the past five years under the new methodology. If the amendments take effect today, the index would have 43 securities.

The updated methodology is scheduled to come into force on 1 December 2017 with the first index review made on 22 December 2017.

Anna Kuznetsova, Managing Director of Equities and Bonds Market, said:

We expect that our updated approach will enhance the interest of all investors in the Moscow Exchange indices and allow us to represent more effectively the equity market.

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Index Committee approves amendments to MOEX index methodology


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