# Survivorship Bias > Use when constructing a backtest universe, computing index/sector returns, ranking strategies, or comparing performance across time. Catches the silent inflation that comes from using today's universe (or today's ticker resolution, or today's index membership) for a historical backtest. Especially severe in small caps and FPI-heavy universes where delisting rates exceed 30% over five-year windows. - Skill: `jefrnc/survivorship-bias` (Agent Skill) - Install (CLI): `npx skillmds@latest add jefrnc/survivorship-bias` - Raw SKILL.md: https://api.skillmd.com/api/skills/jefrnc/survivorship-bias/raw - Safety review: pending - Works with: Claude Code, Claude.ai, OpenAI Codex - Category: Coding & Dev Tools - License: MIT - Author: jefrnc (https://skillmd.com/u/jefrnc) - Updated: 2026-09-17 - Page: https://skillmd.com/skills/jefrnc/survivorship-bias --- # Survivorship bias The companion to `lookahead-safety`: that one stops you from using data that didn't exist yet. This one stops you from using a UNIVERSE that didn't exist yet. Together they're the two halves of "what was actually knowable, on what tickers, on a given date." ## Core principle **A backtest universe must be reconstructed at every rebalance / query date from the membership snapshot AT that date — never from today's resolution.** Today's S&P 500 contains companies that joined in 2024. Today's Russell 3000 excludes companies that delisted in 2022. Today's "all US small-caps" is filtered by who survived to today. Using any of those for a 2018 backtest is the single most common way to manufacture alpha that doesn't exist. ## Where survivorship bias enters silently ### 1. Universe construction **Bug:** "Pull all small caps with mkt cap < $300M today, then run the strategy on their 2018-2023 history." **Why wrong:** The bankrupt, merged, and reverse-split-delisted small caps from that period are gone. You're testing only on companies that survived. Returns inflated, drawdowns understated. **Fix:** point-in-time universe — at each rebalance date, query the universe AS OF that date including names that subsequently delisted. ### 2. Ticker resolution **Bug:** Vendor API returns "no data" for a delisted ticker, or silently returns the SUCCESSOR entity's data. **Why wrong:** Some yfinance / Polygon resolutions for delisted tickers map to merger-acquirer prices, fabricating the equity trajectory. (Documented for HDFCBANK demerger, FAANG-era M&A patterns, several SPAC-merger flips.) **Fix:** require a delisting / effective-date table; never trust ticker-only resolution. If a vendor returns prices for a "delisted" ticker, treat as suspect until verified. ### 3. Index membership **Bug:** "Use the Russell 3000 components for my 2018-2023 backtest." **Why wrong:** Russell rebalances in June each year. Today's R3000 is the June 2025 reconstitution; June 2018's was different and is the correct snapshot for any 2018-06-25 to 2019-06-24 query. **Fix:** historical constituents (LSEG, Siblis Research, Bloomberg's PORT) keyed by reconstitution date. ### 4. Strategy ranking / leaderboards **Bug:** "Backtested top 10 strategies on names with > 5 years of history." **Why wrong:** "5 years of history" filters by survival. The strategies that worked on subsequently-delisted names are pruned. **Fix:** include short-history names with synthetic "strategy-not-applicable" outcomes for periods before they listed. ### 5. Manager / fund track records **Bug:** Hedge fund index based on "currently reporting funds". **Why wrong:** Closed and blown-up funds drop out of the index. Inflates the asset class. **Fix:** include the dropouts at their last-reported value, not zero and not removed. ## Small-cap-specific traps (the lane this skill cares most about) ### Reverse-split-then-delist phantom returns **Pattern:** Small cap does a 1:20 reverse split to maintain Nasdaq listing compliance, then delists 30–90 days later anyway. **Why dangerous:** Adjusted-price feeds apply the 20x split factor to all pre-split prices. A name that traded $0.05 → $1.00 (from reverse split) → $0.10 (delisting) shows in adjusted feeds as a $1.00 → $1.00 → $0.10 trajectory. If you exit at the last available price BEFORE delisting, the adjusted feed makes it look like a 20x phantom return on the holding period. **Fix:** raw OHLCV + split table + delisting table. Treat any name that reverse-split + delisted within ~120 days as a survivorship- adjustment candidate; verify the actual cash-out value. ### ATM-into-delisting **Pattern:** Heavy ATM dilution + Nasdaq compliance failure + delisting → shareholders end up with shares of nothing. **Why dangerous:** Last-trade price on the last trading day overstates realizable value. Pink-sheet quotes after delisting can be 80–95% discount to last Nasdaq print. **Fix:** mark delisted positions to ZERO unless there is a documented post-delisting realization (cash distribution, M&A consideration). ### Reg SHO threshold residency as leading indicator **Pattern:** Names that sit on the Reg SHO threshold list for >13 consecutive days have an elevated probability of subsequent forced delisting (failure to meet listing standards) within 6–12 months. **Use:** when constructing a small-cap short universe, names that satisfy "Reg SHO threshold >13 days" should NOT be filtered out at the rebalance — keeping them in (with realistic borrow cost from `transaction-cost-modeling`) is what tests the strategy on the candidates that mattered. ### SPAC pre-merger / post-merger discontinuity **Pattern:** SPAC trades at $10 NAV pre-merger; post-merger the combined entity often sees significant deviation. Many SPACs that merged in 2021 are now trading <$1 or have delisted. **Why dangerous:** Backtests using "SPAC tickers" today miss the ~30%+ that have delisted; backtests starting from "pre-merger SPAC" need to handle the ticker change at merger date and the failure mode if the deal didn't close. ### Reverse-stock-split anti-pattern detection A 1:N reverse split where N >= 5 on a sub-$300M issuer is, per SEC and Nasdaq listing data, more often than not a compliance move that precedes one of: 1. Continued dilution to fund operations 2. Delisting within 12 months 3. Merger of convenience with a private operator (de-SPAC variant) Treat such names as **higher-than-baseline survivorship-adjustment risk** in any backtest covering the period. ## Data sources (where to get survivorship-bias-free universes) | Source | Notes | |--------|-------| | QuantConnect AlgoSeek | ~27,500 US tickers since 1998, includes delisted | | Norgate Data | 25,222 delisted US securities 1950-2022, paid | | Sharadar SF1 / SEP | Point-in-time fundamentals + prices, paid | | CRSP | Academic gold standard, license-only | | SEC EDGAR full-text search + delisting Form 25 filings | Free, manual reconstruction | | LSEG / FTSE Russell historical constituents | Paid, authoritative for index membership | | Polygon delisted tickers endpoint | Free with subscription, ~partial coverage | | **AVOID:** yfinance for delisted resolution | Silently maps to successor entities | Free reconstruction path: SEC's quarterly Form 25 delisting filings + EDGAR's company-tickers feed snapshot per quarter + manual ticker- change tracking from 8-K item 5.07 disclosures. ## Workflow when reviewing a backtest universe 1. Identify the universe definition (filter, index, manual list). 2. Confirm membership is point-in-time, not today's snapshot. 3. Confirm delisted names are present at their delisting date with either a realized cash value or a marked-to-zero treatment. 4. Confirm ticker-level data is sourced from a delisting-aware feed, not yfinance/info-style resolution. 5. For small-cap universes specifically: count the delisting rate over the backtest window. If it's <5%, the universe is suspiciously filtered. Reality is 10–30%+ over 5-year windows for that universe. 6. Stamp the analysis with the universe-as-of date and the delisting- data source for reproducibility. ## Composition with other skills - **`lookahead-safety`**: same principle (no future data) applied to a different dimension (universe vs. dataset). - **`dilution-event-scoring`**: high scores predict delisting risk; delistings are exactly the names survivorship bias erases. - **`transaction-cost-modeling`**: HTB borrow + extreme spreads are precursors to delisting; if the cost model is realistic, you naturally include the delisted names with their actual exit costs. - **`sec-filing-types`**: NT 10-K / NT 10-Q / Form 25 are the filings that signal listing-compliance failures. A skill-aware pipeline tracks these as leading indicators. ## Phrases that should trigger this skill - "survivorship bias" / "survivor bias" / "survival bias" - "backtest universe" / "all small caps from 2018" - "I pulled all tickers with X" → followed by historical analysis - "delisted" / "delisting" / "removed from index" - "Reg SHO threshold" - "reverse split" + small cap - "SPAC merger" + historical - "Russell 3000 components" / "S&P 500 components" + historical date - "manager track record" / "fund index" ## What this skill is NOT This is not a delisting database. It does not provide the historical membership data — that requires a paid feed or careful SEC reconstruction. It encodes the rules to spot when a universe is secretly survivor-filtered, with specific attention to the small-cap patterns (reverse-split-delist, ATM-into-delisting, SPAC-merger flips) where the bias is largest.