The first draft of my proposal to calculate a stockmarket index in which constituents are weighted according to their weight in the economy was sent in 2006 to a number of influent organisations: central banks, IMF, World Economic Forum ...
In this draft, a simple methodoly was proposed i.e. a revenues weighted method.
By coïncidence (?) ... a US company launched an ETF following this methodology a few months later...
The theoretical method which was then advocated proves to do, in practice, a poor job in meeting the original objective. For this reason, it is applied by this US company to the existing S&P500 index and its comparison with the nominal GDP gives, as no surprise, no additional information.
Today, I have entirely reshaped the methodology and the weighting method is far more complex than the one originally advocated. Because it deals with macro data, it is not patentable. Its plain disclosure could motivate some people to copy it ...
I have set a theoretical background for this research in 2006. The calculation of the index took over one year of work ...
If you are interested in this subject, I hope you will understand that I will be far more cautious than in the past when providing information about the present methodology.
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