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TNIC Momentum Spillover

Updated annualData needs: mediumlong onlyshort onlylong short

2023

Lee, Sun, Wang & Zhang (2023) *RFS*: "Technology Spillovers and Cross-

In plain terms

The 1-month lagged return of a stock's text-similarity peer basket (TNIC, crosses sectors) predicts the focal stock's next-month return.

How it works

Lee, Sun, Wang & Zhang (2023) RFS "Technology Spillovers and Cross-Predictability": the lagged 1-month return of a focal stock's TNIC-3 peer basket predicts the focal's next-month return. Sharpe 1.3, +9% annualised alpha after Fama-French 5. The signal is orthogonal to industry/sector momentum because TNIC peers cross industry boundaries (text-similarity, not SIC-similarity).

Live results

48 times picked on its own · 90 times inside a blend (85 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 90 such blended picks (85 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.
Tnic peers
Hoberg-Phillips text-based industry classification peer lists (annual).

Expected edge

Reported return: +9% ann. alpha after FF5
Reported Sharpe: 1.3 (Lee-Sun-Wang-Zhang 2023)
Tested over: 1996-2018

Sharpe 1.3, +9% annualised alpha after Fama-French 5.

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