Index portfolio calculator

This service allows you to build a securities portfolio model replicating the basket of a selected RTS Index taking into account the amount of cash you are eager to invest. On the basis of your input data it will calculate for each portfolio constituent how many securities you will need to buy to ensure a return similar to the return on the benchmark index.

If you tick the box “do not exceed the investment amount” then the number of securities will be rounded down to the nearest integer. Otherwise the rules of mathematical rounding apply, in which case the calculation will be more accurate, however you may need to increase the initial investment amount.

The service also lets you compare the return on the portfolio and on the benchmark index:

• with the help of a return chart that shows the return on the index and the retrospectively calculated return on the portfolio for 30 days before the portfolio construction. The portfolio and index values are expressed as a percentage of their values on the first day, or on the day of index rebalance if it falls on this period.
• by statistical criteria – tracking error and the sum of absolute deviations of securities’ weights in the portfolio from their respective weights in the index.

Results

Date of calculation: 16.05.2012 Initial investment amount: 10,000 Index value: 1,373.82 Net Assets Value: 9,821.79 Available cash: 178.21 Tracking error daily 0.038%, annual 0.729% Tracking error is a measurement of how much the return on a portfolio deviates from the return on its benchmark index Tracking error is calculated as the standard deviation of the differences between the return on the portfolio and the return on the benchmark for the last 30 trading days To reduce the tracking error the investment amount should be increased and the portfolio composition should be adjusted after each change in the index basket change Portfolio structure’s deviation: 5.287% It shows the differences in the composition of the portfolio and the benchmark index It is calculated based on the absolute deviations of securities’ weights in the portfolio from their respective weights in the index To reduce the deviation size the investment amount should be increased

Portfolio vs Benchmark index, %

Data in CSV Code Name Weight in index Price per security Structure of portfolio Weight in portfolio Number of securities Value 1 LKOHS ОАО "LUKOIL", Common 15.361 53.60258 15.827 29 1,554.47 2 SBERS Sberbank, Common 14.208 2.81193 14.458 505 1,420.02 3 GAZPS GAZPROM, Common 13.404 4.72321 13.657 284 1,341.39 4 ROSNS Rosneft, Common 6.180 6.57675 6.294 94 618.21 5 URKAS Uralkali, Common 5.854 7.11201 5.938 82 583.18 6 NVTKS JSC "NOVATEK", Common 5.532 10.62849 5.627 52 552.68 7 GMKNS "OJSC "MMC "NORILSK NICKEL", Common 4.438 164.08907 5.012 3 492.27 8 SNGSS Surgutneftegas, Common 4.435 0.8401 4.516 528 443.57 9 RTKMS Rostelecom, Common 2.971 3.97128 3.033 75 297.85 10 VTBRS JSC VTB Bank, Common 2.860 0.00185 2.912 154581 285.97 11 TATNS TATNEFT, Common 2.100 5.09537 2.127 41 208.91 12 SNGSPS Surgutneftegas, Pref 1.626 0.48923 1.654 332 162.42 13 HYDRS JSC "RusHydro", Common 1.463 0.02841 1.489 5148 146.25 14 TNBP OAO "TNK-BP Kholding", Common 1.285 2.9 1.299 44 127.60 15 SBERPS Sberbank, Pref 1.236 2.11283 1.269 59 124.66 16 CHMFS Severstal, Common 1.187 11.71776 1.193 10 117.18 17 FEESS "FGC UES", JSC, Common 1.154 0.0074 1.175 15590 115.37 18 MGNT OJSC "Magnit", Common 1.504 112.1 1.141 1 112.10 19 MTSSS МТS OJSC, Common 0.967 6.5994 1.008 15 98.99 20 NLMKS NLMK, Common 0.886 1.78562 0.909 50 89.28 21 BANEP OAO ANK "Bashneft'", Pref 0.698 34.1 0.694 2 68.20 22 IRAO JSC "INTER RAO UES", Common 0.672 0.0009 0.684 74661 67.19 23 SIBNS Gazprom Neft, Common 0.637 4.54672 0.648 14 63.65 24 EONR OAO "E.ON Rossiya", Common 0.594 0.0725 0.605 820 59.45 25 RUALRS Sberbank, RDR 0.569 6.02133 0.552 9 54.19 26 AFKS AFK SISTEMA, Common 0.527 0.77 0.533 68 52.36 27 BANE OAO ANK "Bashneft'", Common 0.735 52.2 0.531 1 52.20 28 MRKH JSC "IDGC Holding", Common 0.518 0.068 0.528 762 51.82 29 TNBPP OAO "TNK-BP Kholding", Pref 0.495 2.657 0.514 19 50.48 30 AFLT JSC "AEROFLOT", Common 0.384 1.5 0.397 26 39.00 31 AKRN Acron, Common 0.202 35.8 0.364 1 35.80 32 NMTP PJSC "NCSP", Common 0.335 0.098 0.341 342 33.52 33 MTLR Mechel ОАО, Common 0.328 7.4 0.301 4 29.60 34 MSTT OAO "MOSTOTREST", Common 0.295 5.9 0.300 5 29.50 35 OGKB JSC "OGK-2", Common 0.252 0.018 0.257 1403 25.25 36 RASP Raspadskaya OJSC, Common 0.231 2.5 0.229 9 22.50 37 MSRS MOESK, Common 0.224 0.0433 0.228 518 22.43 38 MVID Open Joint-Stock Company "Company "M.video", Common 0.191 6.92 0.211 3 20.76 39 DIXY DIXY Group, Common 0.252 10.34 0.211 2 20.68 40 PIKK "PIK Group", Common 0.202 2.24 0.205 9 20.16 41 OGKAS JSC "OGK-1", Common 0.200 0.02067 0.204 967 19.99 42 MSNG AO MOSENERGO, Common 0.185 0.0525 0.188 352 18.48 43 LSRG OJSC LSR Group, Common 0.168 18.44 0.188 1 18.44 44 OGKC JSC "WGC-3", Common 0.161 0.0319 0.164 505 16.11 45 VZRZ V.Bank, Common 0.081 15.17 0.154 1 15.17 46 MAGNS OJSC "MMK", Common 0.120 0.3623 0.122 33 11.96 47 BSPB "Bank "Saint-Petersburg" OJSC, Common 0.105 2.1 0.107 5 10.50 48 PHST JSC "Pharmstandard", Common 0.191 47.5 0 0 0 49 TRNFPS Transneft, Pref 1.470 1,599.47653 0 0 0 50 VSMO VSMPO-AVISMA Corporation, Common 0.326 165 0 0 0