How to get NASDAQ100 index weights?
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Hi all,
I am wondering is there a way to get the weights of the constitutes of the index from the data? I need not only the current weights but also historical ones for the strategy.
To be honest I am not sure how the index value is calculated. I thought it was just a weighted sum, then I can just do a matrix inverse to get the weights. However Wikipedia gives some more complexed definition:
It is a modified capitalization-weighted index. The stocks' weights in the index are based on their market capitalizations, with certain rules capping the influence of the largest components.
I am not sure how this capping works and would appreciate it if someone has an idea. Thanks.
Best regards
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@buyers_are_back Hi, more info of course can be found here:
https://indexes.nasdaqomx.com/docs/Nasdaq_Index_Weight_Calculations.pdf
and here:
https://indexes.nasdaq.com/docs/Methodology_NDX.pdf
Pages 4 and 5 give more details on the weights and caps.
For example, no security weight may exceed 14% of the index value.
