I'm attempting to replicate Quantitative Momentum, which includes a (fine) universe of all non-REIT, non-Closed-End Fund common stocks that are greater than the 40% NYSE breakpoint.

When debugging, I note the following Coarse and Fine universe from 3/29/2014

2014-03-29 00:00:00 :Coarse universe (2014-03-29 00:00:00) - 3167 coarse objects received, 3167 with fundamentals.2014-03-29 00:00:00 :Fine universe (2014-03-29 00:00:00) - 3167 fine objects received, 1484 in NYSE universe, 1285487322 is breakpoint, resulting in 1379 in fine universe.

Looking at the fine universe for a second and comparing it to French's ME breakpoints (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html#Breakpoints), two items of note:

  1. I'm pulling in slightly greater securities (~1,484 vs. ~1,304).
  2. My 40% MarketCap is way off (~1.285B vs. ~1.9B).

 

Open question: is it possible that MarketCap is split and dividend adjusted (to be apples-to-apples with historical prices)? Or do I just have an issue with how I'm filtering the stocks, and that's driving off my breakpoint?

Thanks.

 

Author

Michael Rand

May 2022