I am implementing the Black Litterman model for a few assets, in particular I am using five ETF:
- EFA (EAFE stock index: developed markets outside US and Canada)
- EEM (stocks from Emerging Markets)
- GLD (Gold)
- TLT (Long Term (20+ years) US Treasury Bonds)
- IYR (US Real Estate Investments Trusts)
My questions are the following: how can I compute the market capitalisation weights for these assets? Is it sufficient to divide the capitalisation of each ETF by a market index capitalisation? Should I normalize the weight in order that they will sum up to one?
Thank you for your answers.