Latest and Greatest Stock Universe?

General
1

Hi -

I am curious as to which Stock Universe people are considering the latest and greatest for the purpose of building new strategies/sims/portfolios on smaller stocks?

I really like the Small Cap, Micro Cap, and Nano Cap universes; however, I would ideally like to test on a version that is inclusive of all three of them (market cap rank 77 or less). In reading the description of these Stock Universes, can they be recreated and then customized in P123? The following part of the description is the part that I am not sure how to recreate using the built-in P123 tools: “…They are reconstituted on the first week of each quarter…”

Alternatively, I like the Easy To Trade US universe. However, I assume that the “median daily dollar volume less than $50k” is fixed for the entire data series (1999-2023) and doesn’t provide the same inflation adjustments as the quarterly re-ranks (described above) provides. Is this a fair assumption?

Open to all feedback and recommendations.

Thanks.

2

Currently, reconstitution frequency is a feature specific to Portfolio123 Predefined Universes, external to the definition of the custom universes.

To create a composite small-micro-nano universe, a custom universe can be created using base universe United States (Incl. Foreign Primary) and rule Universe(NanoCap) | Universe(MicroCap) | Universe(SmallCap). (Note that NanoCap can be used and is simply not yet documented.) This universe would inherently reflect the reconstitution frequencies of the universes referenced in the rule.

Regarding your Easy To Trade US universe, the rules of any rule-based predefined universes can be found in the Predefined Universes section of the Universes category. As can be seen in the rules, your assumption about median daily dollar volume is correct.