customer momentum
What it checks
When a firm's major customer has a return shock, the supplier under-reacts — its stock drifts in the same direction the following month.
Mechanism
When a firm's major customer has a return shock, the supplier's stock drifts in the same direction over the following month — investors fail to update on the link. 113bps/month alpha.
Signal rule
long supplier when major customer return >= +5% in prior month; parse 10-K Item 1 Customer Concentration
Data dependencies
sec_filings_text (Item 1)10-K / 10-Q / 8-K cleaned text + section maps.
compustat_segmentsWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- 113 bps/month original; 50-70 bps modern (Cohen-Frazzini 2008)
- Paper window
- 1980-2004
113bps/month original; modern 50-70bps/month
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
tnic momentum spilloverMomentumLee, Sun, Wang & Zhang (2023) RFS "Technology Spillovers and Cross-Predictability": the lagged 1-month return of a focal stock's TNIC-3 peer basket predicts the focal's next-month return. Sharpe 1.3, +9% annualised alpha after Fama-French 5. The signal is orthogonal to industry/sector momentum because TNIC peers cross industry boundaries (text-similarity, not SIC-similarity).
industry lead lagDiffusionInformation about industry-A fundamentals diffuses slowly to firms in industry-B that are economically linked. Menzly-Ozbas (2010, JF) show upstream industry returns predict downstream industry returns at 1-month horizon, with the slowest diffusion in retail-light / illiquid names. We approximate "upstream industry" by using the broad market (SPY) and the ticker's own sector ETF as proxies (the weak-form version of the family until the BEA input-output customer-supplier matrix is loaded).
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See which tickers this family is currently firing on, with live signals and rankings.