Reply To: Market Capitalization

[Thomas]

Hi Optuma team,

I have replicated the procedure to calculate the total sum of the market capitalization of the S&P 500 using the Optuma Breadth engine.

Here are my script for the Breadth engine:

DATAFIELD(FEED=FD, FIELD=MarketCapitalization)

1 2 3

DATAFIELD(FEED=FD, FIELD=MarketCapitalization)

Here is a screen shot of all the other settings:

In “Date Range” it is necessary to use “Last Week”. If not Optuma calculates nothing and the file that the Breadth engine creates is empty.

I then have created a script to calculate the %-weight of the S&P 500 components.

Here is the script:

//Reference Market Cap Breadth Code Var1 = GETDATA(CODE=SPXTOTALCAP:Market Breadth); //Reference Current Market Cap Value Var2 = DATAFIELD(FEED=FD, FIELD=MarketCapitalization, LATESTONLY=True); //Calc Weight Var2 / Var1

1 2 3 4 5 6 7 8 9 10

//Reference Market Cap Breadth Code Var1 = GETDATA(CODE=SPXTOTALCAP:Market Breadth);   //Reference Current Market Cap Value Var2 = DATAFIELD(FEED=FD, FIELD=MarketCapitalization, LATESTONLY=True);   //Calc Weight Var2 / Var1

Here is the screenshot:

All the scripts work fine. BUT the cap weights are not the same as the cap weights you can download from
…https://www.ssga.com/us/en/institutional/etfs/funds/spdr-sp-500-etf-trust-spy

There are some great differences in the %-cap weights between the Optuma calculations and the SPY %-cap weights. This is especially true for the two Alphabet companies (GOOG and GOOGL).

I have attached and Excel file with the %-cap weights of the SPY as of 01/03/2022 as well as my Optuma workbook and a PDF file of the Optuma workbook %-cap weights.

Can you please verify my calculations/scripts and inform me about the sometimes great differences between the SPY %-cap weights and the Optuma %-cap weights?

Best wishes,
Thomas