Real-World & Alternative DataExtended setexperimental liveNew

Hq Geographic Cluster Spillover

Updated dailyData needs: mediumlong onlyshort onlylong short

2006

Pirinsky-Wang 2006 JF + Cohen-Frazzini-Malloy 2010 RFS.

In plain terms

Stocks based in the same state co-move because local investors hold them all. When the state basket moves and our stock has not caught up, we position alongside.

How it works

Firms headquartered in the same state show return co-movement from local-investor home bias. Local investors herd into local stocks creating non-fundamental correlation.

Live results

175 times picked on its own · 227 times inside a blend (218 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 227 such blended picks (218 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.
Firm hq locations
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: ~3-5%/yr comovement spread
Tested over: 1986-2003 (Pirinsky-Wang)

Pirinsky-Wang same-state co-movement effect (~3-5% annualized comovement spread).

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Explore Hq Geographic Cluster Spillover on alphactor.ai

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