Diversification

Capping factors guarantee well-balanced and diversified index exposure, thus preventing large companies from dominating an index. We have developed an elaborate cap factor model that on one hand prevents overweighting and on the other hand still reflects the actual size of a company in relation to all index components. Cap factor model:

  • Country and regional indexes: Maximum cap of 8% for local companies and 4.5% for non-local companies.
  • Commodity and Sector indexes: Maximum cap of 8 percent (or 20% for selected indexes).
  • Special capping schemes: MVIS® Australia Banks and MVIS® Australia A-REITs Indexes.

 

The table shows the weight distribution of the biggest companies in the MVIS® Russia Index with and without the application of cap factors. A full overview of capping rules can be found in Chapter 4 of the MarketVectorTM Global Equity Index Guide.

Component Weighting in MVIS® Russia Index

(example values based on previous index reviews)

ComapanyCountryFloat MCapWeightCapped Float MCapCapped WeightCapping Factor
SberbankRUUSD 29,660,466,68415.66%USD 7,115,395,7108.00%0.24
GazpromRUUSD 28,197,638,43514.89%USD 7,115,395,7108.00%0.25
LukoilRUUSD 28,187,250,00014.88%USD 6,225,971,24627.00%0.22
TatneftRUUSD 17,506,214,9029.24%USD 5,781,259,0146.50%0.33
NovatekRUUSD 14,792,882,4427.81%USD 5,336,546,7826.00%0.36
.....................
LentaRUUSD 859,246,7070.45%USD 859,246,7070.97%1.000000

 

 

 

 

 

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