spb/firc0001_uqo

1# Coverage of the Russell 3000 by the IWV proxy (L5, cluster I)23Prepared 2026-11-05 for the Stage D revision (items FIRC0001-ADVE-09, FIRC0001-THEO-07). Machine-readable copy: `results/russell_coverage.json`. All figures were read from the public documents listed below; none was taken from a search summary.45## Sources read67| document | date of the figure | figure | URL | SHA-256 of the file read |8|---|---|---|---|---|9| FTSE Russell, *Russell 3000 Index Factsheet* (4 pages) | index characteristics as of **September 30, 2026** | Number of Holdings **2,996** (Russell 3000E: 3,432) | https://research.ftserussell.com/Analytics/FactSheets/Home/DownloadSingleIssue?issueName=US3000USD&isManual=True | `281e92643781cf19a3f4bc6a670e0719aa5ef1347d1071300491274aed0436e4` |10| iShares, *iShares Russell 3000 ETF (IWV)* product page | as of **November 4, 2026** | Number of Holdings **2,588**; benchmark "Russell 3000 Index" | https://www.ishares.com/us/products/239714/ishares-russell-3000-etf | (HTML page, read 2026-11-05) |11| iShares, *IWV Summary Prospectus* (incorporating the Prospectus and SAI dated **July 31, 2026**) | — | "BFA uses a **representative sampling** indexing strategy to manage the Fund" | https://www.ishares.com/us/literature/summary-prospectus/sp-ishares-russell-3000-etf-3-31.pdf | (PDF, 8 pages, read 2026-11-05) |12| FTSE Russell, *Russell US Equity Indexes: Construction and Methodology*, **v7.2, August 2026** (50 pages) | — | methodology document now cited by `ftserussell2026` | https://www.lseg.com/content/dam/ftse-russell/en_us/documents/ground-rules/russell-us-indexes-construction-and-methodology.pdf | `26d2d051beb27a6a808af7c17a2e2871cc5388e669bedbb42cbc4d0d3ce47c76` |1314No factsheet dated October 31, 2026 existed at retrieval time; the September 30, 2026 issue is the nearest to the holdings date of the build (October 23, 2026). The factsheet states that the index is reconstituted semi-annually with quarterly IPO additions, so both dates fall inside the same reconstitution window.1516## Coverage ratio1718| numerator (from `data/stats.json`, `universe`) | value | / 2,996 |19|---|---|---|20| distinct SEC CIKs in the proxy (share classes collapsed) | 2,555 | **85.3 %** |21| equity lines mapped to a CIK | 2,573 | 85.9 % |22| equity lines with a ticker, as reported by the build log (file not archived) | 2,587 | 86.3 % |2324Formula: `100 * numerator / index_constituents`. The headline figure for the paper is the first row (issuers are the unit of the universe).2526## What the ratio does and does not say2728- **Units differ.** The index figure counts securities; the proxy counts issuers after collapsing share classes (2,587 → 2,555). The issuer-level coverage is therefore *higher* than 85.3 % by the number of multi-class constituents, which cannot be known without the licensed constituent list.29- **Dates differ** (2026-09-30, 2026-10-23, 2026-11-04). The fund page count on November 4 (2,588) is consistent with the 2,587 equity lines of October 23.30- **Sampling.** The prospectus states representative sampling: the fund need not hold every index member, and which members are omitted is not public. Under sampling the omitted names are expected to be the least liquid, i.e. the smallest issuers — exactly the extension beyond the S&P 500 — so the proxy's coverage of the small-cap end is likely lower than 85 %. This is a qualitative statement; no number can be attached to it from public documents.31- **The gap is at most 2,996 − 2,555 = 441 securities** (14.7 % of the index count), an upper bound on omitted issuers.3233## Stage E targets (prose owned by Stage E)3435- Title / abstract / §1: "Russell 3000" → "Russell 3000 proxy (iShares IWV holdings)" where the estimand is meant; the macros `\SPIDrussellIndexConstituents` (2,996) and `\SPIDrussellProxyCoveragePct` (85.3) are generated by `code/make_tables.py` from `results/russell_coverage.json`.36- §3.1 (Estimand): add one sentence — the index listed 2,996 securities on September 30, 2026 (FTSE Russell factsheet); the IWV holdings of October 23, 2026 map to 2,555 SEC registrants, 85.3 % of that count; the fund uses representative sampling (Summary Prospectus, Prospectus dated July 31, 2026), so the omitted names are not identifiable from public documents.37- §3.2 / Table 1 note: cite `ftserussell3000factsheet2026` and `iwvholdings2026` (both in `references.bib`), and state that the 2,587 line count is reported by the build log because the holdings file was not archived.38- `docs/universe_definition.md` and `RUSSELL3000-EXTENSION.md`: align the unmatched count on the 7 names of `stats.json` (N10 supplies the per-name reason codes).39