Governance and Maintenance

8 algorithms in Index and Benchmark Engineering · 8 with asserted arithmetic.

In this family#

1. Eligibility Screen verified

   Applies the qualification rules that decide what may be considered for membership at all — domicile, listing status, share class, and the rest. The first gate, and the one that defines what the index claims to represent.

   calculate(data)
2. Liquidity Screen verified

   Requires sustained tradability, not a single good month. This package's convention is the median of the supplied monthly turnover ratios against a monthly threshold; the median is deliberate, because a mean is dominated by one spike of activity. The statistic is a median monthly ratio, not an annualized traded value ratio, and providers differ in window length, statistic, and whether they annualize.

   calculate(data)
3. Free-Float Factor Calculation verified

   Derives the free-float factor from one aggregate restricted-share count, then rounds it up to a band. Classifying holdings as strategic, government, insider or cross-held is upstream work: this function receives only the single total those decisions produce, and neither checks nor reports the classes separately. Rounding is deliberate: unrounded factors would force a weight change every time a holding moved a fraction of a percent.

   calculate(data)
4. IPO Fast-Entry Rule verified

   Admits a large new listing between scheduled reviews. Without a fast-entry rule an index can spend months not holding one of the biggest companies in its own market.

   calculate(data)
5. Reconstitution Algorithm verified

   Chooses the membership at a scheduled review, using an incumbent buffer so a name hovering at the boundary is not swapped in and out every period. The buffer is what separates an index from a churn machine.

   calculate(data)
6. Rebalancing Algorithm verified

   Turns a weight change into the trades that implement it, and reports the turnover. Turnover is the number that predicts what tracking the index will cost.

   calculate(data)
7. Turnover Buffer Rule verified

   The buffer in isolation: a band around the cutoff inside which incumbents keep their place. Widening it cuts turnover and lets the membership drift further from the pure ranking — that trade-off is the whole design decision.

   calculate(data)
8. Index Replication-Cost Estimator verified

   Estimates what a rebalance costs to implement — spread, market impact and commission. This is where the rulebook meets reality: a screen that looks clean on paper can be expensive to track.

   calculate(data)

What they share#

Every topic here is a record-transform, so once you have called one the rest follow the same shape. Import paths differ only in the final segment:

import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/governance-and-maintenance/eligibility-screen";
import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/governance-and-maintenance/liquidity-screen";

Read them in the order above — the sequence is pedagogical, not alphabetical.

Where this sits#

Index and Benchmark Engineering collects 40 algorithms across 6 families. For the concept behind this family rather than the call signatures, see the concept guides.