restricting sector weight to X% of it's market weight

Hi everyone.

Thanks for a fantastic forum. I have a model that wants to keep buying tech. is there a way that i can limit it buying tech to no more than a multiple of weight of tech in the index?

Any ideas appreciated

We have a lot of functions that can help with this: IndWeight, IndCount, SecWeight, SecCount, etc. You can use any of them in a buy rule. So, for example, if you wanted no more than 4 tech stocks in your strategy, use SecCount <= 4. If you wanted no more than 20% of your strategy in a single industry, use IndWeight < 20.

Thinking about your portfolio’s sector exposure as a multiple of the benchmark’s exposure is not the best way to measure and control “benchmark risk.” For a sector that makes up 20% of the benchmark, a 2x limit would allow an extra 20% of the portfolio to be in that sector; for a 5% sector, the limit would be only 5%. The driver of benchmark risk is the difference between the sector’s weight in the portfolio and its weight in the benchmark. (The same principle applies to weights of individual stocks, something that is important in large-cap portfolios. For both sectors and stocks, the difference in position sizes is called the “active weight.”)

To control sector weights in portfolios, I use the following (where “X” is the number of percentage points by which the portfolio’s sector weight can exceed that of the universe):
SecWeight<=100*(FSum(“MktCap”,#Sector)/FSum(“MktCap”,#All))+X

Of course, you could easily change the formula to use a multiple of the universe’s sector weight as your limit.

thank you all. truly appreciated.