Ofac Supplier Customer Contagion
In plain terms
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.
How it works
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.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Ofac sdn
A data feed this strategy reads, refreshed on its normal schedule.
- Tnic peers
Hoberg-Phillips text-based industry classification peer lists (annual).
Expected edge
- Reported return
- ~5%/yr on exposed firms
- Tested over
- 1985-2018 (Caldara-Iacoviello)
Caldara-Iacoviello geopolitical-risk premium ~5% / yr on exposed firms.
Related families
Tanker attacks in Hormuz/Red Sea → oil + tanker stocks rally; airlines + broad market dip 1-5 days.
GDELT scans millions of news stories. Sharply negative US-China headlines → short China-exposed chip stocks for 5 days.
Explore Ofac Supplier Customer Contagion on alphactor.ai
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