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Possible Drawback of QTradableStockUS() for Factor Strategies?

Hi everyone,

I was analysing the performance of some factors until I noticed some unexpected results. Further analysis might indicate missing data in QTradableStocksUS(). It can be that I made a mistake while implementing and would therefore like to know what you guys think about that. I noticed the following:

  1. Lack of data for an accurate SMB Factor -> Strong bias towards bigger firms
  2. Missing Data in a conditional analysis of factor and sector belongings -> Not with Q3000US()

Can it be that the dataset was constructed through weighting the factors somehow?
Does anyone have a good answer on why the universe shrank so sharp during the 2008/2009 crisis? I imagine it has do with the overall decline in market cap. I am also wondering whether this is problematic with respect towards survivorship bias?

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