tnic peer margin shock spillover
What it checks
When TNIC product-market peers see big margin moves, focal usually follows within 1-2 quarters.
Mechanism
TNIC-peer-basket gross-margin z over trailing 8 quarters. Margin shocks across a product-market cluster propagate to focal 1-2 quarters later.
Signal rule
long when peer-basket gross-margin 8q z >= +1.5; short on z <= -1.5; hold 21/42/63d
Data dependencies
income_statementsWorker data table, see services/worker schema.
entity_graph_edgesWorker data table, see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~3-6%/yr
- Paper Sharpe
- ~0.6
- Paper window
- T+1 to T+63d
Cohen-Frazzini 2008: 113 bps/mo cluster lead-lag generalized to margin shocks.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
tnic momentum spilloverMomentumLee, 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).
tnic earnings surprise spilloverEntity-Graph / EarningsCross-firm PEAD: when a TNIC text-similar peer beats / misses earnings, the focal firm drifts in the SAME direction over 5-21 days as shared demand-chain information slowly propagates.
customer concentration event spilloverEntity-Graph / EventConcentrated customer (>10% revenue) 1-day return shocks signal demand-side conditions the supplier under-reacts to over 5-21 days.
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