quantlab.factor.predefined.membership_cap_weight#
An index’s capitalization weights: MembershipCapWeight.
The weight of a symbol at bar t is its market cap at t over the summed cap
of the index’s members at t, and 0 for a symbol that is not a member, has no
cap or a non-positive one. It is the benchmark book ActiveRiskOptimizer
prices active risk against (ActiveRiskConfig.benchmark): with the us3000
membership (BarraStyle’s estu, the 3,000 largest by their previous-bar
cap) the Barra styles are cap-weighted standardised over the same names, so
this book’s style exposures are about 0 and an active exposure bound is close
to an absolute one.
Classes
Cap weights of an index's members at each bar. |