spb/firc0001_uqo

1# Universe definition (frozen for UQO Working Paper No. 0001, build of 2026-10-27/28; reconciled 2026-11-05 after peer review)23**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).45| Item | Value |6|---|---|7| 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`) |8| Secondary source | S&P 500 constituent table (Wikipedia), cached 2026-05-25 (`sp500_constituents.json`, 503 rows / 500 CIKs) |9| Identifier mapping | ticker → CIK via SEC `company_tickers.json` (fetched 2026-10-27); tickers normalised (`BRK B` → `BRK-B`) |10| 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`). |11| 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) |12| 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`) |13| Filing scope | Forms 10-K, 10-Q, 8-K (primary document only, no amendments, no exhibits), filed 2010-01-01 → 2026-10-27 |14| Observed | 2,499 issuers with ≥1 filing; 65 without (foreign private issuers filing 20-F/40-F; FDIC banks) — `data/issuers_without_filings.csv` |15| 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) |1617**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.18