OREANDA-NEWS. February 10, 2012. In 2011 the MICEX Index went down by 16.93% to 1 402.23 points (1 687.99 on December 30, 2010).

The RTS dollar index went down by 21.94% to 1 381.87 points (1 770.28 on November 30, 2011). The U.S. Dollar went up by 5.47% against the Ruble in the past year.

The Russian stock-market showed increasing volatility - Russian volatility index (RTSVX) went up by 45.02% to 38.13 points (26.29 on December 30, 2011).

In the past year all key sectors represented on the Russian stock market showed negative trend. Leading the decline was the Metallurgy - the falling of the sectoral index amounted to 47.64%. A considerable decline was also demonstrated by the Industry and the Power Sector - the Industrials Index lost 40.48% and the Electric Utilities Index went down by 40.24%. The MICEX Innovation Index went down by 29.16%.

The stock market's decline primarily affected small-cap companies - MICEX Small Cap Index lost 41.85% while MICEX Mid Cap Index and MICEX Large Cap Index went down by 28.74% and 16.10%, respectively.

 

Last Value

 

 

Return ov

er the

Index

Max

Min _

period

, %

 

 

 

Year

3 Years

Composite Indices

MICEX Index

1 402.23

1 859.99 1 265.67

-16.93%

126.34%

RTS Index

1 381.87

2 123.56

1 217.21

-21.94%

118.69%

RTS Standard Index

9 592.15

12 757.60 8 513.90

-15.81%

129.76%

Sectoral Indices (in RUB)*

Oil & Gas

2 983.37

3 506.91

2 540.65

0.05%

166.31%

Electric Utilities

2 053.02

3 491.02 2 002.93

-40.24%

130.12%

Consumer & Retail

3 907.80

6 184.22 3 840.34

-36.23%

277.78%

Telecommunication

2 077.30

2 669.78 1 809.27

-14.79%

232.96%

Industrials

1 715.16

3 050.39

1 573.45

-40.48%

199.27%

Financials

4 815.12

7 613.78 4 489.68

-29.68%

115.02%

Chemicals

6 936.21

7 712.46 5 746.53

10.53%

353.69%

Metals & Mining

3 082.65

6 147.35 3 046.33

-47.64%

166.54%

Cap Indices

Large Cap

2 270.68

2 998,24 2 065,78

-16,10%

120,73%

Mid Cap

2 284.40

3 315,55 2 105,72

-28,74%

179,00%

Small Cap

3 454.75

6 031,25 3 413,99

-41,85%

184,79%

Thematic indices

Russian Volatility Index

38.13

73.34

20.75

45.02%

-40.33%

RTS Siberia Index

668.87

1 035.19

639.15

-33.11%

168.13%

MICEX Innovation Index

770.11

1 191.95

731.84

-29.16%

--

Currency (CBR)

USD/RUB

32.02

32.68

27.26

5.47%

8.98%

* Sector indices based on prices in US dollars are also available

 

As a result of described dynamics, by the end of 2011 the MICEX Index was 126.34% higher its closing level three years ago (619.53 points on December 31, 2008).

Trading in Index-based securities on an overall basis amounted to RUR 14 634.21 billion in 2011, and the total Index-based securities capitalization by the end of the year amounted to RUR 18 932.98 billion.

In 2011 26 stocks out of MICEX's Index total 33 constituents, had negative impact on its dynamics (-18.60%), 7 stocks moved positively (+1.67%).

The major negative contributors in the MICEX Index decreasing in 2011 were the securities of Metallurgy (-6.63%), Finance (-4.60%) and the Power Sector (-2.70%).

The major negative impact on the MICEX Index was coming from the price decline of ordinary shares of JSC "Sberbank Rossii' (-3.19%), JSC "GMK Norilsk Nickel" (-2.67%), JSC "Gazprom" (-1.54%) and JSC "VTB Bank" (-1.22%).

The most positive impact on the MICEX Index dynamics was coming from the price increase of ordinary shares of JSC "Novatek" (+0.94%).

56.1% of the MICEX total capitalization concentrated in the Oil & Gas Sector. The other large-weight sectors were Finance (16.9%) and Metallurgy (8.5%).

As a result of described dynamics, by the end of 2011 the RTSI was 118.69% higher compared to its closing level three years ago (631.89 points on December 21, 2008).

The falling of the RTSI in the last year was accompanied by the volatility increase - the Russian volatility index RTSVX went up by 45.02%.

In 2011 46 stocks, out of RTSI's total 60 constituents, had negative impact on its dynamics (-23.24%), 14 stocks had positive impact (+1.30%).

The largest contribution to the decreasing of RTSI in 2011 made securities of the Finance Sector (-6.48%), Metallurgy (-6.08%) and Oil & Gas Sector (-3.48%).

The most negative impact was coming from the price decrease of ordinary shares of JSC "Sberbank Rossii" (-3.87%), JSC "GMK Norilsk Nickel" (-2.69%), JSC "VTB Bank" (-1.87%) and JSC "Gazprom" (­1.46%).

The most positive impact came from the price increase of ordinary shares of JSC "Novatek" (+0.36%).

In 2011 trading in Index-based derivatives on FORTS amounted to RUR 41 382.12 billion or 415.21 million contracts.

Futures based on RTSI remained the most liquid derivative contracts on the FORTS market. The volume of trading on these contracts in the last year amounted to RUR 37 561.02 billion or 377.85 million contracts.

In 2011 the RTSI-based futures traded in backwardation. With RTSI going down by 21.94%, the March contracts fell in price by 22.9% by the end of 2011, compared to the price on the March contracts in the end of 2010.

In the last year the total volume of opened positions in the RTSI-based futures went up by 165.71%.

Trading in MICEX-linked derivatives on FORTS amounted to RUR 93.17 billion or 663.41 million contracts in 2011. By the end of the year the volume of opened positions on MICEX-based futures amounted to RUR 1.6 billion or 11.4 thousand contracts.

Trading in RTSI-based options in the last year amounted to RUR 3 596.44 billion or 35.39 million contracts. The volume of opened positions as of the end of the year amounted to RUR 40.66 billion or 444.48 thousand contracts, while the share of call options in the total open interest made up 68.7%. The major open interest on call options was concentrated at the strike of 150 000, while the maximum on put options was observed at the strike of 120 000.

For the last year, the volume of opened positions in the RTSI-based futures went up by 59.16%.