Real-World & Alternative DataCore researchlive in production

Industry Lead Lag

Updated dailyData needs: mediumlong onlyshort onlylong short

2010

#35 industry_lead_lag — Menzly-Ozbas 2010 customer-supplier lead-lag.

In plain terms

If the sector ETF outperformed SPY recently but the stock hasn't caught up, info diffuses slowly — bet the laggard catches up.

How it works

Information 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).

Live results

154 times picked on its own · 444 times inside a blend (330 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 444 such blended picks (330 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)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Sector ETF prices
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Signal: • LONG when sector ETF outperformed SPY by 5%+ over trailing month AND own-ticker lagged sector by 2%+ — the laggard catches up.

Explore Industry Lead Lag on alphactor.ai

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