Company Events & EarningsExtended setexperimental liveNew

Customer Concentration Event Spillover

Updated dailyData needs: mediumlong onlyshort onlylong short

2008

Cohen-Frazzini 2008 JF (1-day event variant).

In plain terms

When our biggest customer (proxied as TNIC peer) has a huge price move, ours follows over 1-3 weeks. Long/short directional.

How it works

Concentrated customer (>10% revenue) 1-day return shocks signal demand-side conditions the supplier under-reacts to over 5-21 days.

Live results

128 times picked on its own · 257 times inside a blend (254 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 257 such blended picks (254 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Tnic peers
Hoberg-Phillips text-based industry classification peer lists (annual).

Expected edge

Reported return: 113 bps/mo (peer return basket)
Tested over: 1980-2005 (Cohen-Frazzini)

Event-window analog of Cohen-Frazzini 113 bps/mo.

Related families

Customer MomentumReal-World & Alternative Data

When a firm's major customer has a return shock, the supplier under-reacts — its stock drifts in the same direction the following month.

TNIC Peer Event ContagionCompany Events & Earnings

When a stock similar to ours files an awful 8-K, ours often drifts down too over the next 1-3 weeks. We short alongside.

Explore Customer Concentration Event Spillover on alphactor.ai

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