Market Capitalization

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  • #66381
    Thomas
    • Topics: 109
    • Replies: 139
    • Posts: 248

    Hi Darren,

    Thanks for the chart on market capitalizations on Twitter (https://twitter.com/Optuma/status/1452923394945601538?) and your forum post (https://forum.optuma.com/topic/twitter-charts/page/2/#post-66377).

    Regarding market capitalization, I have a question about the stock weights in the S&P 500 and Nasdaq 100.

    Is it possible to use the “DATAFIELD” function to calculate the percentage weighting of the market capitalization of each individual stock in the S&P 500 and Nasdaq 100 or at least for some of them?

    It should be possible to display the current market capitalization percentage weights in the form of a watchlist column as well as a chart showing the history of the market capitalization weights.

    If this is possible, please post the scripts in your Twitter forum post (https://forum.optuma.com/topic/twitter-charts) so that all the information is in one place.

    I did not want to post this post in your Twitter forum topic so that the Twitter forum post is a “clean” Optuma topic.

    Thank you Darren for your fabulous work.

    Best wishes,
    Thomas

    #66382
    Matthew
    • Topics: 5
    • Replies: 481
    • Posts: 486

    Hi,

    There are two ways you could do this.  The first would be to find a source for the official weightings for the NASDAQ 100 / SP500 Constituents, then import those as EDF’s (if available on your edition): https://help.optuma.com/kb/faq.php?id=725

    The other option would be to build a custom breadth code that sums all of the constituents market caps together.  You can then set up a custom column in the Watchlist which references the breadth code and the current market cap value to find the current weightings.

    An example of the script you could then use would be:

    The final set up would look like this:

    Ex2

    • This reply was modified 1 month ago by Matthew.
    1 user thanked author for this post.
    #66385
    Darren
    • Topics: 67
    • Replies: 697
    • Posts: 764

    Hi Thomas,

    Here’s an example of importing the weights in a .csv file eg for the SPDR Consumer Discretionary ETF ($XLY) from the Sate Street ETF website:

    https://www.ssga.com/us/en/intermediary/etfs/library-content/products/fund-data/etfs/us/holdings-daily-us-en-xly.xlsx

    The file would need to be formatted to include just the ticker and weight columns, and then imported as an External Data Field:

    https://help.optuma.com/kb/faq.php?id=712

    Current XLY weights attached, but the file would need to be updated manually and then reloaded:

    Capture

    1 user thanked author for this post.
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