Full Description
We defined the following MarketCap groups:
MicroCap - from 0-250M
SmallCap - from 250-1000M
MidCap - from 1B-5B
LargeCap - greater than 5B
The following functions that can be used in Buy/Sell rules in the sims/portfolios to control MarketCap concentrations:
MicroWeight - returns the % allocation in the MicroCap group
SmallWeight - returns the % allocation in the SmallCap group
MidWeight - returns the % allocation in the MidCap group
LargeWeight - returns the % allocation in the LargeCap group
NOTE: For the above functions if the stock being analyzed is not
in the same MktCap group a 0 is returned
CapWeight - returns the % allocation in the market cap group of the stock being analyzed
Examples:
Here are some examples of Buy rules to limit MktCap concentrations:
CapWeight <= 25
This will limit the concentration of any MarketCap group to 25%
MicroWeight < 15
This will limit the concentration of MicroCap stocks to less than 15% of the portfolio. If a stock being analyzed is not a MicroCap, then the function returns 0, thereby allowing it to be bought