Entity-Graph / Sanctions#426tier 3experimental liveNew

`ofac supplier customer contagion`

cadence: Event-triggereddata: mediumshort only

2022

Caldara-Iacoviello 2022 AER.

What it checks

When OFAC adds many sanctions at once, firms with supply-chain ties to sanctioned countries can underperform. We short exposed names for the next 1-3 months.

Mechanism

Geopolitical-risk shocks (sanctions, embargo) impose asymmetric costs on firms with supply-chain exposure. TNIC product-market peers of exposed firms suffer contagion over 30-90 days.

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

OFAC SDN-add monthly count z>=1 -> SHORT focal 30/60/90d (currently data-limited: requires OFAC ingest to capture historical add-dates not just current snapshot).

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
ofac_sdn
Worker data table, see services/worker schema.
tnic_peers
Hoberg-Phillips text-based industry classification peer lists (annual).

Expected edge

Paper alpha: ~5%/yr on exposed firms
Paper window: 1985-2018 (Caldara-Iacoviello)

Caldara-Iacoviello geopolitical-risk premium ~5% / yr on exposed firms.

Related families

oil supply disruptionGeopolitical

Chokepoint disruptions (Hormuz/Red Sea/pipelines) → cross-asset: long E&P + tankers, short airlines + SPY.

gdelt event tone country exposureGeopolitical

GDELT bilateral negative-tone shocks on USA-CHN/TWN dyads precede tighter export-control pricing on country-exposed US equities.

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ofac supplier customer contagion