Step 1 · Rank by free float market cap
Free Float Market Cap - Defined
Free Float Mkt Cap = Shares in Free Float × Closing Price
Shares in free float: Only the shares that are actually available to be bought and sold by investors - excludes shares held by founders, company insiders, governments, or any party with a long-term lock-up. Sourced directly from data vendors.
× Closing price: The most recent end-of-day share price. Together, this gives the total dollar value of the company that is genuinely investable - not just the headline number.
Why this matters for ranking: A company with a $500B total market cap but 60% insider ownership has only ~$200B of investable float. Ranking by total market cap overstates its weight. Free float ranking reflects economic reality for investors.
Step 2 · Select top 200 and buffer against unnecessary turnover
The 200 highest-ranked companies by free float market cap are selected as large cap index components. A count-based buffer allows existing holdings ranked between 201 and 250 to remain - preventing unnecessary turnover when companies shift slightly around the boundary.
Selection rules
New entrant threshold · Top 200
A company must rank in the top 200 by free float market cap to be newly added to the index. Since the Quality Gate has already been applied, no factor scoring is involved - size determines eligibility entirely.
Existing holding buffer · Top 250
A company already in the index can remain if it still ranks within the top 250. Unlike the other sleeves, this buffer is count-based - a specific rank threshold - not a percentage band. This reflects the tight, well-defined nature of the large cap universe.
If still short of 200
If fewer than 200 companies meet both rules, the highest-ranking companies not yet selected are added to reach the target count of 200.
Why the buffer works differently here
In the small and mid cap sleeves, the buffer is expressed as a percentage band - existing holdings can remain if they rank within the top 40% of the sleeve. In large cap, the universe is tight and well-defined enough that a specific count (top 250) is the appropriate buffer. A company ranked 201 today due to normal market cap fluctuation shouldn't be sold and replaced immediately - the trading costs in transaction costs and bid-ask spreads don't justify the precision.
Step 3 · Weight each company by its free float market cap
The Weighting Formula
Weight_i =
Free Float Mkt Cap_i
Sum of all Free Float Mkt Caps in sleeve
No factor adjustment here. Unlike the small and mid cap sleeves - where the composite factor score multiplies market cap to reflect quality and value conviction - the large cap sleeve uses market cap alone. The quality gate already filters for capital efficiency; the ranking already selected for size. Weighting by size from there is the efficient solution.
Output - Large Cap Sleeve · Equity Ascent Index
~200 Large Cap Holdings
The 200 largest qualifying US companies by investable float - after capital destroyers removed.
Tilting toward scale is the alpha - filtering decisions are made in base universe and quality gate.
Base universe captures scaled IPOs quarterly. Quality Gate removes capital destroyers.
Count-based buffer (top 250) reduces unnecessary turnover without sacrificing precision.
Cap-weighted - appropriate for the most efficiently priced market tier.
60%
of the final index weight
Large Cap: 60% ~ 200 equities
Mid Cap: 20% ~ 72 equities
Small Cap: 20% ~ 108 equities
