Universe definition (frozen for UQO WP 28, build of 2026-10-27/28)
Estimand. Current constituents at a snapshot date, approximated by fund holdings. Not historical point-in-time Russell 3000 membership (no licensed constituent history was available).
| Item | Value |
|---|---|
| Primary source | iShares Russell 3000 ETF (IWV) latest-holdings.csv, "Fund Holdings as of Oct 23, 2026", fetched 2026-10-27 (data/metadata/russell3000_constituents.json: source, holdings_as_of, fetched_at) |
| Secondary source | S&P 500 constituent table (Wikipedia), cached 2026-05-25 (sp500_constituents.json, 503 rows / 500 CIKs) |
| Identifier mapping | ticker → CIK via SEC company_tickers.json (fetched 2026-10-27); tickers normalised (BRK B → BRK-B) |
| Exclusions | asset class ≠ Equity; CVR / escrow / rights lines; tickers with no SEC CIK (FDIC-filing banks). The 21 unmatched lines are listed in the unmatched field of the artifact. |
| Result | 2,587 equity lines → 2,555 CIKs (share classes collapsed) → merged with S&P 500 → 2,564 issuers (491 in both, 9 S&P-only, 2,064 Russell-only) |
| Filing scope | Forms 10-K, 10-Q, 8-K (primary document only, no amendments, no exhibits), filed 2010-01-01 → 2026-10-27 |
| Observed | 2,499 issuers with ≥1 filing; 65 without (foreign private issuers filing 20-F/40-F; FDIC banks) — data/issuers_without_filings.csv |
| Frozen artifact | data/metadata/universe.json (built_at 2026-10-27), copied to the paper folder under data/ |
Open items (not implemented): SHA-256 of the source files; per-row match confidence; membership dates; security-vs-issuer table (universe_snapshots); resolution of ticker changes and spin-offs over the sample period; a licensed historical constituent list.