Customer Momentum
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Mykola Pinchuk
- University of Rochester
- ?University of Rochester, Simon Business School
Strategy in a nutshell
The customer momentum strategy ranks firms based on the past returns of their customers’ portfolios instead of their own. Value-weighted long-short portfolios are constructed monthly, capturing performance driven by customer behavior.
Economic rationale
Customer momentum arises from limited attention and lead-lag effects between firms and their customers. Larger customers drive stronger momentum, while post-discovery exploitation reduces its magnitude, providing insight into market inefficiencies and investor behavior.
Backtest performance
Annualised return13.49%
Volatility24.09%
Sharpe ratio0.56