TNIC Peer Margin Shock Spillover Pit
In plain terms
Research-only accepted-time fundamental policy. It is not production-approved or an established return effect.
How it works
internal_hypothesis: Cohen-Frazzini 2008 studies customer links, not TNIC margin spillover; the successor aggregates peer gross-margin changes over the FORMATION-vintage TNIC graph (tnic_peer_vintages_pit; year Y public July 1 of Y+1) — never today's graph
Data dependencies
- Xbrl fundamental snapshots pit
A data feed this strategy reads, refreshed on its normal schedule.
- Xsec accounting factor signals
A data feed this strategy reads, refreshed on its normal schedule.
- Xsec fundamental formation manifests
A data feed this strategy reads, refreshed on its normal schedule.
- Stock borrow pit
A data feed this strategy reads, refreshed on its normal schedule.
- Tnic peer vintages pit
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
No inherited alpha claim; evaluate this causal policy post-cost against identical-episode controls.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
The 1-month lagged return of a stock's text-similarity peer basket (TNIC, crosses sectors) predicts the focal stock's next-month return.
When a stock similar to ours beats or misses earnings, ours often drifts in the same direction over the next 1-3 weeks. We position alongside.
When our biggest customer (proxied as TNIC peer) has a huge price move, ours follows over 1-3 weeks. Long/short directional.
Explore TNIC Peer Margin Shock Spillover Pit on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.