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04 Strategy Library/28 Small Capitalization Stocks Premium Anomaly Expand file tree Collapse file tree 2 files changed +2
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lines changed Original file line number Diff line number Diff line change 22 The first step is coarse universe selection. We create an investment universe with stocks that have fundmental data and with a price greater than $5.
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5- < pre class ="python "> return [x.Symbol for x in coarse if x.HasFundamentalData and x.AdjustedPrice > 5]
5+ < pre class ="python "> return [x.Symbol for x in coarse if x.HasFundamentalData and x.Price > 5]
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88< p > In fine universe selection, we sort the stocks in the universe by the market capitalization and choose 10 stocks with the lowest market cap.
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