Alt-Data#375tier 2experimental liveNew

`mall vs strip divergence`

cadence: Weeklydata: mediumlong onlyshort only

2020

Ling, D.C., Wang, C., Zhou, T. (2020). "REITs and the COVID-19 Pandemic." Journal of Real Estate Research, 42(4), 1-23.

What it checks

Compare foot traffic at mall REITs (Simon, Macerich) vs strip-center REITs (Regency, Kimco). When the gap is big (>10pp YoY), bet on the cohort that's winning — long it, short the laggard — for 1-3 months.

Mechanism

Mall REITs (SPG, MAC) and strip-center REITs (REG, KIM, BRX, FRT) have systematically diverged in foot-traffic post-pandemic. When the cohort-level 13w-smoothed YoY gap exceeds 10pp, the rotation continues — go LONG outperforming cohort and SHORT underperforming cohort.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

13w-smooth(strip_cohort_yoy - mall_cohort_yoy) gap >= 0.10 / 0.15 (T+1 after 7d publish lag) -> LONG outperforming REIT, SHORT underperforming for 21/63 trading days.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
safegraph_visits
Worker data table — see services/worker schema.

Expected edge

Paper alpha: +/-2-4% over 21-63d
Paper window: T+8d to T+63d

+/-2-4% over 21-63d on REIT cohort rotation (LWZ 2020 framework).

Example tickers where this is likely to fire

SPG MAC REG KIM BRX FRT

Illustrative only — the signal fires based on the live data, not a fixed list.

Related families

pos same store nowcastAlt-Data

SafeGraph weekly foot-traffic data lets us nowcast same-store sales direction for brick-and-mortar retailers ahead of the quarterly earnings print. HYY 2024 document that foot-traffic YoY > +5% predicts positive EPS surprise; < -5% predicts negative. This family adds a 13-week smoothing layer to the existing store_traffic_safegraph signal to reduce holiday-calendar noise.

store traffic safegraphAlt-Data

Weekly visits YoY +/-5% predicts SSS surprise for brick-mortar retail.

cross sectional momentumMomentum

Cross-sectional momentum (Jegadeesh-Titman 1993): rank stocks vs peers on trailing 12m return excluding the most-recent month, long the top tercile. The single-ticker analog compares the stock to its sector ETF — without explicit peer-by-peer ranks we use the stock-minus-sector residual return as a proxy. Sweep formation periods (126/252d) and skip windows (0 vs 21d) for the Jegadeesh-Titman convention.

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mall vs strip divergence