Possible Drawback of QTradableStockUS() for Factor Strategies?

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Possible Drawback of QTradableStockUS() for Factor Strategies?

edited Jun 25, 2020

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:

Lack of data for an accurate SMB Factor -> Strong bias towards bigger firms
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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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.