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Midlincoln Desk Note - RTS futures match RTS Price return not total return. Switch to RTS ETF instead.
    RTS futures were rolled from March to June expiry, but rolling over futures provides no exposure to RTS chunky dividend yield. For example Sberbank which has 14% weight in the RTS index will discuss 2017 dividends at its supervisory board meeting on March 20. Consensus yield on Sberbank ords is 4.3% and 5.6% on prefs.
  • Investors into RTSI$ futures will miss Sberbank’s chunky dividends as well as all other generous dividends on RTS index stocks, highlighted in the table on the right. But RTS ETF investors will get additional dividend carry which is expected to be 5.9% this year. Top line on the chart above is total return RTS index (RTSR) which outperformed underlying RTS price index by 31.7% and RTS future by 33.3% since 2010.
  • FINEX RTS ETF (FXRL RX) currently has $9MM in AUM, their TER is 90bps, while ITI Funds RTS ETF (RUSE LN) currently has $4MM AUM and has a TER of 65bps, plus it will be listed on MOEX in the next couple of weeks.
  • Clients switching from Finex to ITI Funds ETF will save 25bps per annum

Idea In the Report