Sector Index Futures contracts
The Sector Indices are capitalization-weighted indices calculated based on prices of the most liquid shares of Russian issuers whose economic activity relates to a certain sector of the economy.
Index futures are currently available on the Moscow Exchange:
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Oil & Gas |
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Financials | ||
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Metals & Mining |
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Consumer & Retail |
Index performance (Jan 2017 - Dec 2021)
Characteristics of the indexes
| Index | Annualized return | Annualized volatility | Correlation with IMOEX |
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|---|---|---|---|---|---|---|---|
| 5 years | 3 years | 1 year | 5 years | 3 years | 1 year | 5 years | |
| MOEXOG | 9,5% | 9,4% | 24,7% | 20,4% | 23,0% | 19,5% | 0,91 |
| MOEXFN | 7,4% | 29,6% | 40,1% | 20,6% | 22,1% | 22,9% | 0,80 |
| MOEXMM | 14,8% | 20,8% | 7,3% | 17,9% | 18,5% | 17,4% | 0,70 |
| MOEXCN | 3,9% | 14,9% | -3,2% | 14,7% | 15,8% | 14,6% | 0,61 |
| IMOEX | 10,7% | 17,1% | 15,1% | 17,6% | 19,0% | 16,4% | 1,00 |
Data from 01.01.2017 to 31.12.2021
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Capital efficiency: initial magin |
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Low cost of the sector portfolio replication and commission costs (compared to the spot market) | |
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Possible strategies: market vs sector, sector vs sector and sector vs single stock futures | |
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Possible short sale of the whole sector |
| Contract name | Oil & Gas Index Futures Contract | Metals & Mining Index Futures Contract | Financials Index Futures Contract | Consumer & Retail Index Futures Contract |
|---|---|---|---|---|
| Contract code | OGI | MMI | FNI | CNI |
| Quotation | Oil & Gas Index | Metals & Mining Index | Financials Index | Consumer & Retail Index |
| Tick size | 1 point | |||
| Tick value | 1 RUB | |||
| Nominal amount | 1 RUB х Index | |||
| Settlement months | March, June, September, December | |||
| Settlement day | 3rd Thursday of the contract month | |||
Key characteristics of the futures. To view, please, click the contract symbol in the first column.
Derivatives Market Department
Telephone: +7 (495) 363-3232
e-mail: derivatives@moex.com