Total-Market-Cap Index
Install and import#
npm install fintech-algorithmsimport { calculate } from "fintech-algorithms/index-and-benchmark-engineering/weighting-and-capping/total-market-cap-index";Signature#
calculate(data)Weight by full market capitalisation. The textbook construction, and the starting point every float and capping rule modifies.
Parameters#
| Name | Type | Notes |
|---|---|---|
data | { constituents: Constituent[]; divisor: number } | Constituents carrying price and total shares outstanding, and the current divisor. |
Returns#
{ marketValues, weights, indexLevel }
Per-constituent market values and weights alongside the level.
Errors#
- When the divisor is not positive — throws
Complexity: time O(n),
space O(n).
Worked example#
verified This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.
Input#
{
"constituents": [
{
"id": "A",
"price": 20,
"shares": 1000000,
"fx": 1
},
{
"id": "B",
"price": 40,
"shares": 500000,
"fx": 1
},
{
"id": "C",
"price": 30,
"shares": 800000,
"fx": 1.1
}
],
"divisor": 50000
}Call#
calculate(data)Returns#
object with 3 fields: marketValues, weights, indexLevel
{
"marketValues": [20000000, 20000000, 26400000],
"weights": [0.301205, 0.301205, 0.39759],
"indexLevel": 1328
}Diagrams#
Calculation flow#
Total-Market-Cap Index calculation flow
flowchart LR
A["Point-in-time inputs"] --> B["Validate units and timing"]
B --> C{"Contract feasible?"}
C -->|No| D["Reject with reason"]
C -->|Yes| E["Calculate Total-Market-Cap Index"]
E --> F["Recompute invariants"]
F --> G{"Checks pass?"}
G -->|No| D
G -->|Yes| H["Publish audited output"]
Total-Market-Cap Index methodology state
stateDiagram-v2
[*] --> FrozenInputs
FrozenInputs --> Validated: contract passes
FrozenInputs --> Rejected: missing or infeasible
Validated --> Calculated: apply named rule
Calculated --> Audited: invariants pass
Calculated --> Rejected: invariant fails
Audited --> Published: version and timestamp recorded
Published --> Revised: approved correction
Revised --> FrozenInputs: rebuild from retained source state
How it works#
This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.
References#
- S&P Dow Jones Indices Index Mathematics Methodology — S&P Dow Jones Indices
- S&P DJI Equity Indices Policies & Practices — S&P Dow Jones Indices
- FTSE Russell Capping Methodology — FTSE Russell, LSEG
- FTSE Russell Index Policy and Methodology Library — FTSE Russell, LSEG
- MSCI Global Investable Market Indexes Methodology Library — MSCI
- MSCI Minimum Volatility Indexes Methodology — MSCI
- S&P Risk Control 2.0 Indices Methodology — S&P Dow Jones Indices
- Principles for Financial Benchmarks — International Organization of Securities Commissions
- Regulation (EU) 2016/1011 — European Union
- Portfolio Selection — Harry Markowitz
- On the Properties of Equally-Weighted Risk Contributions Portfolios — Sébastien Maillard, Thierry Roncalli, and Jérôme Teïletche
- Fundamental Indexation — Robert Arnott, Jason Hsu, and Philip Moore
- FTSE Currency Hedging Methodology Overview — FTSE Russell, LSEG