Russian guides for the RTS - page 9
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Formalising the real value of shares has always been difficult. And once the real value of all issuers has been obtained, it is not difficult.
What does this have to do with the real value of the shares?
The objective is not to calculate the real value of the shares, but based on their present value, to calculate
index. Knowing the current dividends that the market assumes
(which is easy to calculate from the formula
F = N*S*(1+r1) - N*div*(1+r2),
where N - volume of the futures contract (number of shares),
F - price of the futures contract;
S - spot price of the share;
r1 - interest rate for the period from the date of the futures contract till its execution;
div - amount of dividends on the underlying share;
r2 - interest rate for the period from the date of closing of the share register ("cut-off") to the execution of the futures contract),
one can judge the value of the index itself (whether it is overvalued or not).
Added
All shares included in the index are in the terminal
How to calculate the RTS Index with more accessible formulas.
N example
1. The data required for the calculation.
2. Formulas
See, it's tricky to calculate free-float and correction factors, but the bottom line is this:
(a) all this coterminism (section 4) has to be accounted for in all cases - additional emissions, buy-backs and otherfree-float changes.These are the requirements of bureaucracy and accounting procedures. BUT most importantly.
b) In essence, the index price cannot change from non-price changes in the components, for this purpose a correction coefficient Z (Section 5) is introduced , in order to compensate for changes in point a), i.e. if the W coefficient of the basic formula (Section 2) changes, the Z coefficient changes so that the index value would not change (Section 5.2)
Similarly Z is changed when price of an instrument rises so much that restriction on its (or a group of first five instruments, etc.) share in the index is imposed (p. 6) and in some other cases such as suspension of trading of a share.
The bottom line on your question is.
1. Data for full counting by methodology are given here (I did not check, but they should contain all necessary)https://www.moex.com/ru/index/RTSI/constituents/.
But it seems that it may be easier to apply a formula to calculate changes of index, the check will be made once per quarter in case of coefficients change.
2. The formula in p.2.10 is greatly simplified, if there is no change in coefficients, W, C are constant, i.e. to calculate the change we just need to weigh the price changes when they occur, according to capitalization.
For example you want to know how index will change at this or that change of price of one AFKS instrument, its price has changed by 0,10$. using the table we calculate the total capitalization of index
1 524,55 mln. *100%/ 0.65 = 234,545.7 mln.
Capitalization change from AFKS price change = 0.1 * 9650 M * 0.33 = 318.45 M. Share = 318.45 / 234 545.7 = 0.13% - this is how much the index will change the value
I hope I've made it clear, it's not my place to explain, especially the numbers))
What does this have to do with the real value of the shares?
The objective is not to calculate the real value of a stock, but to use its current value to calculate an
an index. Knowing the current dividends that the market assumes
(which is easy to calculate from the formula
F = N*S*(1+r1) - N*div*(1+r2),
where N - volume of the futures contract (number of shares),
F - price of the futures contract;
S - spot price of the share;
r1 - interest rate for the period from the date of the futures contract till its execution;
div - amount of dividends on the underlying share;
r2 - interest rate for the period from the date of closing of the share register ("cut-off") to the execution of the futures contract),
one can judge the value of the index itself (whether it is overvalued or not).
Added
All shares included in the index are in the terminal
The current price in the terminal, and the settlement price (closer to the real from the point of view of the compilers of the calculation) are different things. From point 3 the definition of the price. And adjusting it by correction factors, depending on the specific weights and shares of value of the shares.
In this case, the market is not satisfied with deposit calculations, but I like them better, they are simpler and correct in most cases in the mid-term.
I do not know, but complex calculations are considered more correct for some reason, although practice shows the opposite. Perhaps to justify the salary for those who make calculations))))
See, it's tricky to calculate free-float and correction factors, but the bottom line is this: a. All of this cotation (section 4) must be accounted for in all cases - additional emissions, buybacks and other changes in free-float:
(a) all this coterminous (section 4) must be accounted for in all cases - additional emissions, buy-backs and other changes tothe free-float. These are the requirements of bureaucracy and accounting procedures. BUT most importantly.
b) In essence, the index price cannot change from non-price changes in the components, for this purpose a correction coefficient Z (Section 5) is introduced , in order to compensate for changes in point a), i.e. if the W coefficient of the basic formula (Section 2) changes, the Z coefficient changes so that the index value would not change (Section 5.2)
Similarly Z is changed when price of an instrument rises so much that restriction on its (or a group of first five, etc.) share in the index is imposed for it (p. 6) and in some other cases such as suspension of trading of a share.
The bottom line on your question is.
1. Data for full counting by methodology are given here (I did not check, but they should contain all necessary)https://www.moex.com/ru/index/RTSI/constituents/.
But it seems that it may be easier to apply a formula to calculate changes of index, the check will be made once per quarter in case of coefficients change.
2. The formula in p.2.10 is greatly simplified, if there is no change in coefficients, W, C are constant, i.e. to calculate the change we just need to weigh the price changes when they occur, according to capitalization.
For example you want to know how index will change at this or that change of price of one AFKS instrument, its price has changed by 0,10$. using the table we calculate the total capitalization of index
1 524,55 mln. *100%/ 0.65 = 234,545.7 mln.
Change of capitalization from change of AFKS price = 0.1 * 9650 M * 0.33 = 318.45 M. Share = 318.45 / 234 545.7 = 0.13% - this is how much the index will change the value
I hope I've made it clear, it's not my place to explain, especially the numbers)))
Thank you, it's cleared up, I'll look into it further...
The current price in the terminal, and the estimated price (closer to the real price from the calculators' point of view) are different things. From point 3, the definition of the price. And adjusting it by correction factors, depending on the specific weights and shares of the value of the shares.
In this case, the market is not satisfied with deposit calculation, but I like it better, it is simpler, and correct in most cases in the mid-term.
I do not know, but complex calculations are considered more correct for some reason, although practice shows the opposite. Perhaps to justify the salary for those who do the calculations))))
It's written in the methodology - the calculation is performed every 15 seconds, while in fact it was changed by 1 second. And what prices are taken for the tools at the time of calculation is described in section 3.
What other point of view of the compilers? Do they choose which millisecond of the current second to take the price?)))
The current price in the terminal, and the estimated price (closer to the real price from the point of view of the calculators) are different things. From point 3, the definition of the price. And adjusting it by correction factors, depending on the specific weights and shares of the value of the shares.
In this case, the market is not satisfied with deposit calculations, but I like them better, they are simpler and correct in most cases in the mid-term.
I do not know, but complex calculations are considered more correct for some reason, although practice shows the opposite. Perhaps to justify the salary for those who do the calculations))))
You probably do not understand the idea.
The point is not the difference between the real price and the estimated price, but how much the real price differs from the current estimated price.
Exactly the current settlement price. Because market participants form the real price according to their own data and criteria.
But there is a fair price, which depends on the amount (of money) and timing of dividends, which leads to a sharp trend,
if one of these parameters changes. And this fair price can be calculated (just like everything else on the Exchange),
based on past dividend data and analysts' forecasts. That is, with a high probability to know in advance
trend direction. But to calculate it all, you need to learn how to accurately calculate the RTS Index.
Thank you, that clears it up, I'll look into it further...
You're welcome. I see that once a quarter the table should be parsed and the index value at the time of recalculation of the table, and from that the calculation is already elementary as above.
I wonder about futures - their price is influenced not only by expectation of dividends, right? If dividends remain the same, but other moods change, then the futures will also move?
I have almost no experience in futures, but I'm already looking there.)
Please. I see that once a quarter the table should be parsed and the index value at the time of recalculation of the table, and from that the calculation is already elementary as above.
I wonder about futures - their price is not only influenced by expectation of dividends, right? If dividends remain the same, but other moods change, then the futures will also move?
I have almost no experience in futures, but I'm already looking there.)
Futures is first of all a SPOT derivative, and the spot price depends on many factors.
The RTS, for example, also depends on the currency component.
So a change in one of the factors leads to a change in the futures price.
One thing that will not change is the futures price will be equal to the SPOT price at the time of expiration (taking into account the futures lot).
Added
Here, for example, yesterday's 2000 pips rush down, the dollar didn't change much, hence there was info on someone's dividend
2000 RTS points, that's, by the way, 14.75 * 2000 = 29500 rubles!
A futures is primarily a derivative of an SPOT and the spot price depends on many factors.
The RTS, for example, also depends on the currency component.
So a change in one of the factors will result in a change in the futures price.
The only thing that will not change is the futures price will be equal to the SPOT price at the time of expiration (taking into account the futures lot).
I see. By the way, since the RTS is calculated using the CBR dollar exchange rate, i.e., it does not change during the day, and almost all shares are in rubles, it is possible to anticipate gaps in the index, only the futures of course takes into account the current ruble-dollar exchange rate immediately.
I see. By the way, since the RTS is based on the CBR dollar exchange rate, i.e. it does not change during the day, while almost all shares are in rubles, it is possible to foresee gaps in the index, but the futures of course take into account the current ruble-dollar exchange rate at once.
But it is possible to foresee, but the market wags strong changes.
Added .
Here, for example, the market can not decide on the amount and timing of dividends Sbera ordinary shares
It could be 6 or 9 or even 12 months
Gasprom is "thinking" about 9 or 12.
And the amount per share is too small....
And Severstal is almost normal (dividends declared for 6 futures 36,27 rubles) yesterday values were almost as declared (36,98)