Momentum#68tier 1live in productionNew

`tnic momentum spillover`

cadence: Annualdata: mediumlong onlyshort onlylong short

2023

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

Mechanism

Lee, Sun, Wang & Zhang (2023) *RFS*: "Technology Spillovers and Cross- Predictability." Lagged 1-month return of a focal stock's TNIC-3 peer basket predicts the focal stock'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…

Signal rule

• Peer basket = top-N TNIC-3 peers for the focal ticker (similarity ≥ 0.2).
• Peer-return = equal-weighted 21-day return of that basket, lagged 1 day.
• LONG  when peer_return >= +5% over trailing 21d.
• SHORT when peer_return <= -5%.

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

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

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

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tnic momentum spillover