Methodology of the Moscow Exchange Indices Calculation to take effect


On November 21, 2016, the new Methodology of the Moscow Exchange Indices Calculation will come into force, the text of which was disclosed on the Moscow Exchange website on August 29, 2016.

The methodology has been amended to include new provisions with regard to a liquidity factor. This factor has been added to the weighting coefficients used to select index constituents and calculate index values.

The weighting coefficients currently serve to limit the presence of a large company in the index. Under the new methodology, they will be also used to decrease the weight of non-liquid stocks with imbalance between market cap and liquidity.

The first review under the new rules will take place in December.

Furthermore, total return values will be calculated for the Moscow Exchange’s main indices, the MICEX Index and the RTS Index, and the Blue-Chip Index. Total return indices measure performance of constituent stocks with dividends reinvested. MOEX will offer gross total return indices which are before the deduction of withholding taxes, and net total return indices which are after the deduction of withholding taxes at rates for Russian and international corporates.

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Methodology of the Moscow Exchange Indices Calculation to take effect

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