Reply To: Market Capitalization

Optuma Forums Optuma General Discussion Market Capitalization Reply To: Market Capitalization

#67123
Thomas
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  • Replies: 161
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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:

Here is a screen shot of all the other settings:
screenshot - 0001

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:

Here is the screenshot:
screenshot - 0000

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

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