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

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 MVIS Global Equity Index Guide.

Component Weighting in MVIS Russia Index

(example values based on previous index reviews)
Comapany Country Float MCap Weight Capped Float MCap Capped Weight Capping Factor
Sberbank RU USD 29,660,466,684 15.66% USD 7,115,395,710 8.00% 0.24
Gazprom RU USD 28,197,638,435 14.89% USD 7,115,395,710 8.00% 0.25
Lukoil RU USD 28,187,250,000 14.88% USD 6,225,971,2462 7.00% 0.22
Tatneft RU USD 17,506,214,902 9.24% USD 5,781,259,014 6.50% 0.33
Novatek RU USD 14,792,882,442 7.81% USD 5,336,546,782 6.00% 0.36
... ... ... ... ... ... ...
Lenta RU USD 859,246,707 0.45% USD 859,246,707 0.97% 1.000000

Component%20Weighting_Diversification.PN


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