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Quantopian Universes - Updating Limited Partnership(LP) Filtering

Hi all,

Next week, we're going to be shipping changes to the Q universes (Q500US, Q1500US, default_us_equity_universe_mask) to improve how we filter out limited partnerships (LPs).

As most of you know, the Q universes are constructed by getting the top N most liquid(by 200-day average dollar volume) stocks, with no more than 30% of N going to a single sector, after excluding stocks with missing data and other properties that make them unsuitable for many quant strategies and signals.

Due to the tax implications of holding an LP, we've excluded them from the Q universes. Next week's changes include two improvements to our filter to help us catch LPs more reliably.

If you still want to use LPs in algos, it's possible to reference them directly via StaticAssets() and sid().

There are a couple of noticeable changes from the improved LP filter:

  • New (insurance) companies in the Q universe. One of our filters was an entirely false positive, and was erroneously marking certain companies - most notably insurers - as LPs, and removing them from the Q universe. The exact names will vary over time, but you should expect to see a few new insurers in the Q universes going forward. Internally, on today's Q1500US, the new code adds in sids 4569, 14064, 21418, 24838, and 44645 (HIG, L, MET, VOYA, and ALL).
  • Some LPs out of the Q universe. Certain LPs weren't being caught by any of our filters, so we've statically removed them. The new code will exclude sids 41150, 33319, 42783, 35062, and 40217 (APO, FIG, OAK, OZM and EFC) from the Q universe. As these names have been statically removed, you shouldn't expect to see them as part of the Q universe going forward. If you'd like to use these names in algos, you can continue to do so by directly referencing them via StaticAssets() and sid(), but they won't be a part of the Q500US, Q1500US or default_us_equity_universe_mask.

This change should go out next week, and I'll update here when it does.

Happy coding,
Abhi

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