D03 / Territory 3 of 49
Index and Benchmark Engineering
Calculate governed index levels from eligibility to divisor continuity.
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Every card below is included in the current governed release with its article, sources, Python, TypeScript, and available labs.
Search the released libraryIndex Initialization and Continuity
5 buildsIndex and Benchmark Engineering / Index Initialization and Continuity
Base-Date/Base-Value Initialization
Sets an index running: pick a base date and a base level, and the divisor follows from the market value on that date.Index and Benchmark Engineering / Index Initialization and Continuity
Index Divisor Initialization
The divisor itself: market value divided by the target level. Small, and the number every other calculation in this domain is defined against.Index and Benchmark Engineering / Index Initialization and Continuity
Divisor Continuity Adjustment
Rescales the divisor when market value changes for a non-market reason — a share issue, a member swap — so the level does not jump.Index and Benchmark Engineering / Index Initialization and Continuity
Corporate-Action Divisor Bridge
Applies a corporate action to an index by routing its non-market value change through the divisor.Index and Benchmark Engineering / Index Initialization and Continuity
Intraday Index-Level Calculation
Recomputes the level from a live price snapshot using fixed index shares and float factors.Weighting and Capping
8 buildsIndex and Benchmark Engineering / Weighting and Capping
Price-Weighted Index
The Dow construction: sum the prices, divide by a divisor. Weight follows share *price*, not company size — a $500 stock moves it more than a $50 one ten times the size, which is why it tells a different story from the S&P.Index and Benchmark Engineering / Weighting and Capping
Total-Market-Cap Index
Weight by full market capitalisation. The textbook construction, and the starting point every float and capping rule modifies.Index and Benchmark Engineering / Weighting and Capping
Free-Float Market-Cap Index
Weight by the shares that can actually be bought. Excluding strategic, government and insider holdings is what makes an index replicable — a fund cannot buy shares that are not for sale.Index and Benchmark Engineering / Weighting and Capping
Capped Free-Float Market-Cap Index
Float weighting with a ceiling on any single constituent. Regulation and mandate limits require it, and the redistribution is subtler than it looks: capping one name lifts the others, which can push a second name over the cap.Index and Benchmark Engineering / Weighting and Capping
Modified Market-Cap Index
Applies an exponent to market value before weighting, compressing the gap between the largest and smallest members.Index and Benchmark Engineering / Weighting and Capping
Equal-Weight Index
Every constituent counts the same: each eligible name receives the target weight 1/N at the rebalance date.Index and Benchmark Engineering / Weighting and Capping
Iterative Cap Redistribution
The redistribution engine behind every capped index. Cap the offenders, spread the excess across the rest in proportion, repeat until nothing breaches — the loop is necessary because each pass can create new breaches.Index and Benchmark Engineering / Weighting and Capping
Group-Level Capping
Caps at two levels at once: each constituent, and each group it belongs to.Alternative Weighting
6 buildsIndex and Benchmark Engineering / Alternative Weighting
Fundamental-Weighted Index
Weight by accounting size — sales, book value, cash flow, dividends — instead of market price.Index and Benchmark Engineering / Alternative Weighting
Dividend-Yield-Weighted Index
Weight by dividend yield. Straightforward arithmetic with a well-known failure mode: yield rises as price falls, so the construction naturally overweights companies in distress.Index and Benchmark Engineering / Alternative Weighting
Factor-Score-Weighted Index
Weight by a composite of factor scores — value, quality, momentum — with a floor so negative scores cannot produce negative weights.Index and Benchmark Engineering / Alternative Weighting
Minimum-Volatility Index
Solves for the weights that minimise portfolio variance for a given covariance matrix.Index and Benchmark Engineering / Alternative Weighting
Equal-Risk-Contribution Index
Risk parity: weights chosen so every constituent contributes the same share of total portfolio risk.Index and Benchmark Engineering / Alternative Weighting
Thematic-Tilt Index
Tilts a parent index toward a theme by scaling weights with a theme score, bounded so no single name runs away.Return Variants
7 buildsIndex and Benchmark Engineering / Return Variants
Price-Return Index
Level series from price returns alone, ignoring dividends. The number most often quoted, and the one that understates long-horizon performance.Index and Benchmark Engineering / Return Variants
Gross Total-Return Index
Reinvests dividends in full, with no tax deducted. The variant that assumes a holder who suffers no withholding — a domestic pension fund, typically.Index and Benchmark Engineering / Return Variants
Net Total-Return Index
Reinvests dividends after withholding tax. Over a decade the gap from the gross variant is large enough that quoting the wrong one materially misstates performance — and both are published under nearly the same name.Index and Benchmark Engineering / Return Variants
Excess-Return Index
Total return less a cash return, giving the return over funding.Index and Benchmark Engineering / Return Variants
Dividend-Point Index
Expresses dividends in index points rather than currency, which is how dividend futures and swaps are quoted.Index and Benchmark Engineering / Return Variants
Currency-Converted Index
Restates an index in another currency by compounding local returns with FX returns.Index and Benchmark Engineering / Return Variants
Currency-Hedged Index
Neutralises currency exposure with rolling forwards. Hedged and converted variants of the same index can diverge by double digits over a year — they are different products, not a formatting choice.Strategy Indices
6 buildsIndex and Benchmark Engineering / Strategy Indices
Leveraged Daily-Reset Index
Applies a leverage multiple that resets every day. Daily reset is why a 2× product does not deliver 2× over a month: in a choppy market, compounding the reset erodes the level even when the underlying ends flat.Index and Benchmark Engineering / Strategy Indices
Inverse Daily-Reset Index
An inverse multiple reset daily. The same path dependence as the leveraged case and in the same direction: over any period longer than a day, the result is not the negative of the underlying's return.Index and Benchmark Engineering / Strategy Indices
Volatility-Control Index
Scales exposure to hold realised volatility near a target, cutting it when markets get rough.Index and Benchmark Engineering / Strategy Indices
Fixed-Decrement Index
Deducts a fixed number of index points per year. Decrement indices exist to make option pricing on them cheaper, and the deduction is a real drag borne by the holder — not a fee schedule.Index and Benchmark Engineering / Strategy Indices
Percentage-Decrement Index
The same idea as a fixed decrement, but proportional to the level.Index and Benchmark Engineering / Strategy Indices
Index-of-Indices
Combines several index return streams into one under fixed weights.Governance and Maintenance
8 buildsIndex and Benchmark Engineering / Governance and Maintenance
Eligibility Screen
Applies the qualification rules that decide what may be considered for membership at all — domicile, listing status, share class, and the rest.Index and Benchmark Engineering / Governance and Maintenance
Liquidity Screen
Requires sustained tradability, not a single good month. The convention here is the median of the supplied monthly turnover ratios against a monthly threshold — a median monthly ratio, not an annualized traded value ratio.Index and Benchmark Engineering / Governance and Maintenance
Free-Float Factor Calculation
Derives the free-float factor from one aggregate restricted-share count, then rounds it up to a band. Classifying holdings into strategic, government, insider and cross-held categories is upstream work this function does not do.Index and Benchmark Engineering / Governance and Maintenance
IPO Fast-Entry Rule
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.Index and Benchmark Engineering / Governance and Maintenance
Reconstitution Algorithm
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.Index and Benchmark Engineering / Governance and Maintenance
Rebalancing Algorithm
Turns a weight change into the trades that implement it, and reports the turnover.Index and Benchmark Engineering / Governance and Maintenance
Turnover Buffer Rule
The buffer in isolation: a band around the cutoff inside which incumbents keep their place.Index and Benchmark Engineering / Governance and Maintenance
Index Replication-Cost Estimator
Estimates what a rebalance costs to implement — spread, market impact and commission.Territory coverage
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