In indices with weight caps, shares are weighted in the index according to the following formula:
|
Parameter |
Significance |
|---|---|
|
Wit |
weight of share i in an index on day t |
|
n |
number of shares in the index |
|
Qi |
the IANS of share i on the IANS update date preceding day t, as specified below. |
|
fit |
the weight cap factor for share i on day t |
|
Pit |
base price of share i on day t |
|
Lit |
liquidity bracket of share i on day t |
|
Fi |
the free float rate of share i on the IANS update date preceding day t |
For a description of the weight cap factor and how it is calculated – click here.
For a description of the weight cap limitation – click here
