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PFTS Index
Since October 1, 1997 PFTS has been calculating PFTS Index — the major and the oldest indicator of Ukrainian capital market development.
PFTS Index is a capital-weighted price index of the 20 major and most liquid Ukrainian equities traded at the PFTS Stock Exchange (PFTS SE).
The PFTS index composition is reviewed semi-annually on April 15 and October 15. The Index Committee submits recommendation on the index composition to the PFTS SE Board of Directors which approves the index composition in 5 trading days prior to the end of March and September. Free-float and weighting coefficients of the stocks included into the index are adjusted quarterly. Stocks eligible for the index composition for the next period are chosen from the PFTS Index Watch List.
The PFTS Index Watch List selection procedure looks as following. From the 100 most capitalized stocks traded at PFTS SE which have free-float of at least 2% the 40 most liquid stocks (in terms of trades quantity) are selected and ranked by composite criterion:
where:
Ri – value of composite criterion for stock i;
Capi – market capitalization of stock i, which is determined by multiplying the number of freely available shares of stock by the respective market price of stock;
Vi – turnover in stock i defined as the sum of volumes traded at the PFTS SE for stock within the preceding six months.
Stocks ranked in descending order by composite criterion are included in the PFTS Index Watch List until the following requirements are satisfied:
- The PFTS Index Watch List may include a stock which is not comprised in the current index composition.
- The PFTS Index Watch List by itself may not include more than 3 stocks from a single sector.
The number of stocks in the PFTS Index Watch List is variable, and depends on the current index composition as well as on eligible stocks liquidity and profile.
Extraordinary review to the PFTS Index composition have to be performed if a stock no longer shows required free-float level or the trading of a stock has been suspended. If a stock is suspended, it may remain in the PFTS Index at the price at which it was suspended for up to 3 business days. After this a stock is replaced with another stock chosen from the PFTS Index Watch List.
Index calculation
The stock price used to calculate the index is a volume weighted price during the official trading hours of the PFTS SE.
PFTS index is the weighted index where the weights are the market capitalization of each constituent (the free float adjusted capitalizations of all companies).
where:
IndexT-1 – value of index at previous day (T-1);
PtiT – index price for stock i at day T;
Pi(T-1) – index price for stock i at day T-1;
QiT – Number of shares in issue for stock i at day T;
WiT – weighting coefficient of stock i;
FFiT – free float of stock i at day T;
M – number of stocks in the index.
PFTS-CBonds and PFTS-CBonds/TR indexes
Since 4 October 2004 PFTS in cooperation with CBonds calculate PFTS-CBonds and PFTS-CBonds/TR indexes — indexes of the corporate bonds market.
PFTS_Cbonds Index identifies the changes of prices of corporate bonds with retirement/close offer to one year (without account of aggregated coupon income).
PFTS_Cbonds/TR Index characterizes provisional value of index portfolio that includes corporate bonds with maturity to retirement/close offer to one year, as follows the received percentage payments at once reinvesting in that index portfolio.
