Universe definition (frozen for UQO Working Paper No. 0001, build of 2026-10-27/28; reconciled 2026-11-05 after peer review)
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). 7 tickers reached the mapping step without a CIK and are listed in the unmatched field of the artifact: TOWN, FRBA, NBN, HIFS (FDIC-filing banks) and ADRO, THRD, HOLX (absent from company_tickers.json on 2026-10-27; reason not recorded). The holdings file and the ticker file were not archived, so the lines dropped before mapping (non-Equity, CVR / escrow / rights; 2,587 − 2,573 = 14 by subtraction from the build-log count) cannot be listed. Earlier versions of this document said 21; the only verifiable count is 7 (stats.json:universe.russell_unmatched). |
| Result | 2,587 equity lines (build-log count) → 2,573 mapped to a CIK → 2,555 CIKs (18 dual-class registrants collapsed) → merged with S&P 500 → 2,564 issuers (491 in both, 9 S&P-only, 2,064 Russell-only) |
| Index coverage | Russell 3000 factsheet of 2026-09-30: 2,996 constituents → 2,555 / 2,996 = 85.3 %; IWV uses representative sampling (Summary Prospectus, Prospectus dated 2026-07-31), so omitted members cannot be identified (docs/universe_coverage.md, results/russell_coverage.json) |
| 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; SHA-256 3967b29b…), russell3000_constituents.json (758cbebf…), sp500_constituents.json (50840752…), copied to the paper folder under data/metadata/ with SHA256SUMS (N10) |
Open items (not implemented): SHA-256 of the source files (holdings CSV, company_tickers.json — not archived, not recoverable); 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.