Introduction

The Index builder analysis is aimed at constructing index values for financial securities and also general weighted averages of series.

There are a number of calculation methods to choose from. In all methods except Variable user units, you specify the weights of the constituents which results in an index that measures self-financing investment strategy returns.

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Standard settings

Calculation range

The calculation range can always be selected and will determine when the calculation of the index starts and ends.

If no range is specified, the longest possible range will be used.

Rebalance frequency

When the rebalance frequency is lower than the document frequency, the number of units of the index constituents will be calculated only at the rebalancing dates. The number of units will then be constant until the next rebalancing date.

The value of an index at each point in time is calculated as the number of security units multiplied by its prices.

When the index composition is specified by weights, units must be determined from weights at rebalancing points. Rebalanced units are determined by using weights at that point, by prices at that point and the value of the index with the previously defined units. The rebalanced units and the previous units give the same index value.

By rebalancing units, it is meant that the number of security units is set to reflect the value proportions expressed by the weights. So at each rebalancing date the units are set to correspond to the value proportions at that date. At the following dates the units are kept at the same value and the value proportions do not correspond to the value proportions at the rebalancing date.

As a special case: If the index is rebalanced at each point in time, the value of the index is sum of the gross rates of change multiplied by weights and multiplied by previous index value.

The rebalancing date is the last date of each period.

Missing values

If there is a missing value in a series, that series will be excluded from the calculation at that point in time. The weights will immediately be rebalanced.

Series that do not have values at a rebalancing date will not be considered until the next rebalancing date.

Capped (%)

The cap is a percentage number that is used as an upper limit on each of the weights at the rebalancing dates.

When a weight is larger than the cap, the cap is enforced by setting the weight to the cap and scaling up the other weights proportionally. This process is repeated until no weights are larger than the cap.

The value must be positive and not larger than 100. The default value of 100 means that the weights are not capped. The sum of all caps must be larger than 100.

Standard output

The following series will be produced:

Methods

Constant user weights

Calculate an index with constant user weights. The input series are typically the value or price of some asset.

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Rebalancing will take place at each observation. A weight can be selected for each series. The default is 1. The start value can be specified. The default is 100. You can import weights from a text file

Missing values

If there is a missing value in a series, that series will be excluded from the calculation at that and the next point in time.

Variable user weights

Calculate an index with variable user weights. The input series are typically the value or price of some asset.

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The start value can be specified. The default is 100.

The weights can be specified at any number of dates. The calculation will not start before the first date.

The units will be rebalanced on the specified dates to correspond to weights.

You can import the weights from a text file. Each row in the file should contain a date followed by the weights for each series in the order they are presented in the application. The values should be separated by tabs.

Weights from series

Calculate an index where other series contain the weights. The input series are typically the value or price of some asset.

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For each series, a series containing the weights must be selected.

You can change how often rebalancing will be made by changing the setting called Rebalance frequency.

The setting Capped (%) is described earlier in this document.

The start value can be specified. The default is 100.

Market cap weights

Calculate index where the relative market capitalization determines the weights. The input series are typically the market capitalization of some asset.

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This method is equal to using the method Weights from series and specify the same series for input as for weight.

The start value can be specified. The default is 100.

You can specify the setting Rebalance frequency and Capped. These setting are described earlier in this document.

Variable user units

Calculate an index by using the specified number of units of the input series at each point in time. The index is scaled to start at the specified start value.

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The number of units for each series can be specified at different dates. The calculations will not start before the first date.

The start value can be specified. The default is 100.

You can import the units from a text file. Each row in the file should contain a date followed by the units for each series in the order they are presented in the application. The values should be separated by tabs.

Aggregate, variable user weights

For each point in time, a weighted arithmetic average is calculated. The input series are typically the level of some variable.

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You can import the weights from a text file. Each row in the file should contain a date followed by the weights for each series in the order they are presented in the application. The values should be separated by tabs.

Aggregate, weight series

For each point in time, a weighted arithmetic average is calculated, where other series contain the weights. The input series are typically the level of some variable.

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You can specify the setting Capped, which is described earlier in this document.

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Sample documents