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.
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
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
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
sid(), but they won't be a part of the
This change should go out next week, and I'll update here when it does.