Managing Director

Elan Gore

TMI Data Science

TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade & traditional media.  Our proprietary software, TMI Machine, is a text-mining platform designed with the buy-side & capital markets professional in mind, text-mining the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income & individual equities.  TMI provides custom leading indicators and systematic trading strategies, operating at the nexus of linguistics & statistics drawing on vast experience in investment banking and hedge fund settings in senior quantitative and fundamental roles.  

TMI Data Science was founded by Elan Gore, an award-winning Senior Global Basic Materials Equity Analyst & China Economist with 15 years of experience in North American hedge funds & institutional managers; and Alessandro Porrino, Ph.D., an Algorithmic Trading Analyst and Programmer with 10 years of front-office experience ranging from complex FX option pricing to auto-hedging strategies at Bank of America Merrill Lynch and Standard Chartered.  Mr. Gore holds an MBA in Finance from New York University Stern School of Business, and Mr. Porrino holds a Ph.D. in Systems Engineering from Brunel University London.

Cross Asset Strategy

<ul>
<li>Friday saw a notable spike in JPY vols on news of President Trump's positive COVID-19 test</li>
<li>Aside from traditional risk-off JPY reflex, this move followed weeks of "election hedge" discussions with multiple strategists pointing to cheap Yen-complex vols as screening most attractively in the event of prolonged US election turmoil</li>
<li>JPY has been gently trending higher for months, as CFTC data shows asset manager net speculative positioning at multi-year highs; while not egregious, JPY spec positioning now screens roughly +1x STDEV above normal</li>
<li>Last month our text mining saw fading bullishness on JPY, but our diffusion index has moved higher in the past month as we see a sharp decline in discussions of negative JPY drivers in the global financial media</li>
<li>On a short-term basis, there are many convenient excuses to be long JPY into the US elections, as the currency is persistently undervalued in real effective terms, historically outperforms during risk-off phases, JPY vols remain acceptably low (debatable after Friday), and optimism on Japan has lingered through the Suga transition thus far</li>
<li>Mid- and longer-term, Suga's pro-consumer reforms focused on price cuts in telecom &amp; pharma may require elevated fiscal stimulus to counter potentially accelerated deflationary optics, pressuring JPY; and the traditional USD/JPY risk function appears to be eroding as evidenced in JPY/equities correlations</li>
<li>We suspect continued JPY upside risks to year-end, but renewed equity-friendly pressure on JPY may resume in 2021</li>
</ul><div class="content-highlight">TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </div>


Friday saw a notable spike in JPY vols on news of President Trump's positive COVID-19 test
Aside from traditional risk-off JPY reflex, this move followed weeks of "election hedge" discussions with multiple strategists pointing to cheap Yen-complex vols as screening most attractively in the event of prolonged US election turmoil
JPY has been gently trending higher for months, as CFTC data shows asset manager net speculative positioning at multi-year highs; while not egregious, JPY spec positioning now screens roughly +1x STDEV above normal
Last month our text mining saw fading bullishness on JPY, but our diffusion index has moved higher in the past month as we see a sharp decline in discussions of negative JPY drivers in the global financial media
On a short-term basis, there are many convenient excuses to be long JPY into the US elections, as the currency is persistently undervalued in real effective terms, historically outperforms during risk-off phases, JPY vols remain acceptably low (debatable after Friday), and optimism on Japan has lingered through the Suga transition thus far
Mid- and longer-term, Suga's pro-consumer reforms focused on price cuts in telecom &amp; pharma may require elevated fiscal stimulus to counter potentially accelerated deflationary optics, pressuring JPY; and the traditional USD/JPY risk function appears to be eroding as evidenced in JPY/equities correlations
We suspect continued JPY upside risks to year-end, but renewed equity-friendly pressure on JPY may resume in 2021
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Snapshots: JPY Vols Jump On Trump News, Evidence A Convenient US Election Hedge Is Crowding Fast

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

Late last evening, Nikkei published an <a href="https://asia.nikkei.com/Business/Business-deals/NTT-to-take-over-wireless-unit-Docomo-for-38bn" target="_blank" rel="noopener">article</a> that <a href="https://www.smartkarma.com/entities/nippon-telegraph-telephone-corporation" target="_blank" data-smartkarma-citation="entities:623:1" rel="noopener">NTT (Nippon Telegraph &amp; Telephone) (9432 JP)</a> was looking to take full control of <a href="https://www.smartkarma.com/entities/ntt-docomo-inc" target="_blank" data-smartkarma-citation="entities:1089:1" rel="noopener">NTT Docomo Inc (9437 JP)</a> in a deal that could be worth around  ¥4 trillion (US$38bn) based on a 30% premium to the last close.<a href="https://www.smartkarma.com/entities/nippon-telegraph-telephone-corporation" target="_blank" data-smartkarma-citation="entities:623:1" rel="noopener">NTT (Nippon Telegraph &amp; Telephone) (9432 JP)</a> is trading 2.4% lower today while <a href="https://www.smartkarma.com/entities/ntt-docomo-inc" target="_blank" data-smartkarma-citation="entities:1089:1" rel="noopener">NTT Docomo Inc (9437 JP)</a> is still untraded on a glut of buy orders. The ADR closed 30% higher overnight.A second order effect of the buyout is that it would open up a slot in the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> that would need to be filled. <a href="https://www.smartkarma.com/entities/ntt-docomo-inc" target="_blank" data-smartkarma-citation="entities:1089:1" rel="noopener">NTT Docomo Inc (9437 JP)</a> belongs to the Technology sector and the replacement will most likely be a stock from the same sector.We see <a href="https://www.smartkarma.com/entities/murata-manufacturing-co-ltd" target="_blank" data-smartkarma-citation="entities:11649:1" rel="noopener">Murata Manufacturing (6981 JP)</a>, <a href="https://www.smartkarma.com/entities/renesas-electronics-corp" target="_blank" data-smartkarma-citation="entities:15933:1" rel="noopener">Renesas Electronics (6723 JP)</a> and <a href="https://www.smartkarma.com/entities/sharp-corp" target="_blank" data-smartkarma-citation="entities:391:1" rel="noopener">Sharp Corp (6753 JP)</a> as the most likely candidates to replace <a href="https://www.smartkarma.com/entities/ntt-docomo-inc" target="_blank" data-smartkarma-citation="entities:1089:1" rel="noopener">NTT Docomo Inc (9437 JP)</a>. There is a lower probability of <a href="https://www.smartkarma.com/entities/rohm-co-ltd" target="_blank" data-smartkarma-citation="entities:2953:1" rel="noopener">ROHM Co Ltd (6963 JP)</a> or <a href="https://www.smartkarma.com/entities/anritsu-corp" target="_blank" data-smartkarma-citation="entities:3700:1" rel="noopener">Anritsu Corp (6754 JP)</a> being included in the index.

Late last evening, Nikkei published an article that NTT (Nippon Telegraph &amp; Telephone) (9432 JP) was looking to take full control of NTT Docomo Inc (9437 JP) in a deal that could be worth around  ¥4 trillion (US$38bn) based on a 30% premium to the last close.NTT (Nippon Telegraph &amp; Telephone) (9432 JP) is trading 2.4% lower today while NTT Docomo Inc (9437 JP) is still untraded on a glut of buy orders. The ADR closed 30% higher overnight.A second order effect of the buyout is that it would open up a slot in the Nikkei 225 (NKY INDEX) that would need to be filled. NTT Docomo Inc (9437 JP) belongs to the Technology sector and the replacement will most likely be a stock from the same sector.We see Murata Manufacturing (6981 JP), Renesas Electronics (6723 JP) and Sharp Corp (6753 JP) as the most likely candidates to replace NTT Docomo Inc (9437 JP). There is a lower probability of ROHM Co Ltd (6963 JP) or Anritsu Corp (6754 JP) being included in the index.

Nikkei 225 Index Rebalance: Likely Candidates to Replace NTT Docomo

<ul>
<li>We text-mined the global financial media for mentions of the top 30 MSCI Japan members to find that Japanese equities are back on the agenda in recent weeks, recently trending in strong correlation with MSCI Japan performance relative to the MSCI World</li>
<li>By comparison, news momentum for the top 30 SPX members has been fading since 8/28</li>
<li>Surprisingly, Japanese equity news momentum has been consistently a positive driver of MSCI Japan performance; back-testing suggests this is not the case with SPX, for example</li>
<li>Looking at a broader sample of MSCI Japan members at the sector level (top 15 for each sector), we find that most of the recent "trending" (i.e. news volume increase) has been in industrials and materials; this should be no surprise in light of the recent Japan value rotation and Berkshire Hathaway news</li>
<li>From a sentiment perspective, the recent risk-off phase is showing up in our data - particularly for Japanese industrials, which peaked on sentiment at +1.8x STDEVs just 2 weeks ago and have now turned neutral; though the equities are unfazed thus far</li>
<li>We note that sentiment on the Top 30 MSCI Japan members has been much more stable than the comparable metric on SPX, and has remained positive throughout the recent global correction</li>
<li>Although the resilience of Japanese equities can be attributed to risk-off, the significant drop in correlation in recent weeks is supportive of Japanese equities as a diversifier for global portfolios; we emphasize that the spike in Japanese equity news momentum is absolute - and thus a constructive signal of increasing interest levels</li>
</ul><div class="content-highlight">TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </div>


We text-mined the global financial media for mentions of the top 30 MSCI Japan members to find that Japanese equities are back on the agenda in recent weeks, recently trending in strong correlation with MSCI Japan performance relative to the MSCI World
By comparison, news momentum for the top 30 SPX members has been fading since 8/28
Surprisingly, Japanese equity news momentum has been consistently a positive driver of MSCI Japan performance; back-testing suggests this is not the case with SPX, for example
Looking at a broader sample of MSCI Japan members at the sector level (top 15 for each sector), we find that most of the recent "trending" (i.e. news volume increase) has been in industrials and materials; this should be no surprise in light of the recent Japan value rotation and Berkshire Hathaway news
From a sentiment perspective, the recent risk-off phase is showing up in our data - particularly for Japanese industrials, which peaked on sentiment at +1.8x STDEVs just 2 weeks ago and have now turned neutral; though the equities are unfazed thus far
We note that sentiment on the Top 30 MSCI Japan members has been much more stable than the comparable metric on SPX, and has remained positive throughout the recent global correction
Although the resilience of Japanese equities can be attributed to risk-off, the significant drop in correlation in recent weeks is supportive of Japanese equities as a diversifier for global portfolios; we emphasize that the spike in Japanese equity news momentum is absolute - and thus a constructive signal of increasing interest levels
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Indicators: Text-Mining Says Japanese Equities Are Trending...Does This Drive Outperformance?

Chart based progressive global trading strategies, Chart Partners

Thomas Schroeder

Chart based progressive global trading strategies

Chart Partners

Chart Partners objective is to discover medium-term cycle turns and profit opportunities before they unfold, within structural trends while preserving capital with clear degrees of risk. We have real return ideas. 

Markets are dynamic and trading systems must reflect this. It is crucial to determine underlying correlations and lead-lag relationships within global markets and the impact on linked instruments. Our weekly Chartonics product gives you short-term trading strategies that can be applied within the medium and longer term macro trends that are mapped out in our strategy updates. 

Our methodology fuses global market variables and isolates drivers in trends. We specialize in FX, index trade in NY and Asia with a focus on Asian stocks. 

Technical Analysis

Given high conviction bear pattern breakdowns in Europe and Asia, we are assuming the US cycle has more downside per our cycle timeline toward October 19. Core shorts are in SPX and RTY. DJI is a fresh underperform and short candidate on a bounce.Europe's impulsive break down out of bear triangulation patterns is in line with our short call from Eurostoxx 50 3,400. Euro banks leading the route with the periphery in pursuit.In Asia, we were short for breakdowns in Korea, Taiwan and HK. Japan is just starting to see the macro cycle peak and turn south. Singapore, Malaysia have been high conviction shorts and now we are seeing the stronger horses break down.Fresh sell levels are outlined in Asia with primary downside targets.

Given high conviction bear pattern breakdowns in Europe and Asia, we are assuming the US cycle has more downside per our cycle timeline toward October 19. Core shorts are in SPX and RTY. DJI is a fresh underperform and short candidate on a bounce.Europe's impulsive break down out of bear triangulation patterns is in line with our short call from Eurostoxx 50 3,400. Euro banks leading the route with the periphery in pursuit.In Asia, we were short for breakdowns in Korea, Taiwan and HK. Japan is just starting to see the macro cycle peak and turn south. Singapore, Malaysia have been high conviction shorts and now we are seeing the stronger horses break down.Fresh sell levels are outlined in Asia with primary downside targets.

US Downside Targets with European and Asia Breakdowns

Nikkei has just announced the changes to the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> as part of its periodic review. In a 'surprise', <a href="https://www.smartkarma.com/entities/softbank-corp" target="_blank" data-smartkarma-citation="entities:27445:1" rel="noopener">Softbank Corp (9434 JP)</a> will be added to the index and <a href="https://www.smartkarma.com/entities/nippon-kayaku-co-ltd" target="_blank" data-smartkarma-citation="entities:6971:1" rel="noopener">Nippon Kayaku (4272 JP)</a> will be deleted from the index.The changes will be made prior to the open of the market on 1 October, so passive funds will trade at the closing auction on 30 September.At between 25-26m shares to buy (2.2% of its real world float and less than 3 days of ADV to buy), the impact on <a href="https://www.smartkarma.com/entities/softbank-corp" target="_blank" data-smartkarma-citation="entities:27445:1" rel="noopener">Softbank Corp 9434 JP)</a> will be minimal. The overhang of the block offering announced on 28 August should keep a lid on the stock for the time being.The impact on <a href="https://www.smartkarma.com/entities/nippon-kayaku-co-ltd" target="_blank" data-smartkarma-citation="entities:6971:1" rel="noopener">Nippon Kayaku (4272 JP)</a> is expected to be much larger. The 25-26m shares to sell is over 13% of the shares outstanding and represents over 40 days of ADV and this could lead to a sharp move lower in the stock.Surprisingly, <a href="https://www.smartkarma.com/entities/familymart-co-ltd" target="_blank" data-smartkarma-citation="entities:320:1" rel="noopener">FamilyMart Co Ltd (8028 JP)</a> has not been deleted from the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> following <a href="https://www.smartkarma.com/entities/itochu-corp" target="_blank" data-smartkarma-citation="entities:18448:1" rel="noopener">Itochu Corp (8001 JP)</a>'s offer to take the company private. The FamilyMart deletion could be done in an adhoc review or announced after the implementation of the Share Consolidation and implemented along with the annual review. We see <a href="https://www.smartkarma.com/entities/zozo-inc" target="_blank" data-smartkarma-citation="entities:18379:1" rel="noopener">ZOZO Inc (3092 JP)</a>, <a href="https://www.smartkarma.com/entities/kakaku-com-inc" target="_blank" data-smartkarma-citation="entities:7408:1" rel="noopener">Kakaku.com Inc (2371 JP)</a> and <a href="https://www.smartkarma.com/entities/square-enix-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:15003:1" rel="noopener">Square Enix Holdings (9684 JP)</a> as the most likely replacement candidates.

Nikkei has just announced the changes to the Nikkei 225 (NKY INDEX) as part of its periodic review. In a 'surprise', Softbank Corp (9434 JP) will be added to the index and Nippon Kayaku (4272 JP) will be deleted from the index.The changes will be made prior to the open of the market on 1 October, so passive funds will trade at the closing auction on 30 September.At between 25-26m shares to buy (2.2% of its real world float and less than 3 days of ADV to buy), the impact on Softbank Corp 9434 JP) will be minimal. The overhang of the block offering announced on 28 August should keep a lid on the stock for the time being.The impact on Nippon Kayaku (4272 JP) is expected to be much larger. The 25-26m shares to sell is over 13% of the shares outstanding and represents over 40 days of ADV and this could lead to a sharp move lower in the stock.Surprisingly, FamilyMart Co Ltd (8028 JP) has not been deleted from the Nikkei 225 (NKY INDEX) following Itochu Corp (8001 JP)'s offer to take the company private. The FamilyMart deletion could be done in an adhoc review or announced after the implementation of the Share Consolidation and implemented along with the annual review. We see ZOZO Inc (3092 JP), Kakaku.com Inc (2371 JP) and Square Enix Holdings (9684 JP) as the most likely replacement candidates.

Nikkei 225 Index Rebalance: Softbank Corp IN, Nippon Kayaku OUT

Japan

The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225. 

Nikkei 225 (NKY INDEX)

TMI Snapshots: JPY Vols Jump On Trump News, Evidence A Convenient US Election Hedge Is Crowding Fast

Friday saw a notable spike in JPY vols following widespread

Elan Gore

Nikkei 225 Index Rebalance: Likely Candidates to Replace NTT Docomo

Late last evening, Nikkei published an article

Brian Freitas

US Downside Targets with European and Asia Breakdowns

Given high conviction bear pattern breakdowns in Europe and Asia, we are assuming the US cycle has more downside per our cycle. Core shorts are in...

Thomas Schroeder

Nikkei 225 Index Rebalance: Softbank Corp IN, Nippon Kayaku OUT

A very widely tracked index with large impact on the inclusion names.

Brian Freitas

TMI Snapshots: JPY Vols Jump On Trump News, Evidence A Convenient US Election Hedge Is Crowding Fast

Friday saw a notable spike in JPY vols following widespread

Elan Gore

Nikkei 225 Index Rebalance: Likely Candidates to Replace NTT Docomo

Late last evening, Nikkei published an article

Brian Freitas

TMI Indicators: Text-Mining Says Japanese Equities Are Trending...Does This Drive Outperformance?

We text-mined the global financial media for mentions of the top 30 MSCI Japan weights

Elan Gore

US Downside Targets with European and Asia Breakdowns

Given high conviction bear pattern breakdowns in Europe and Asia, we are assuming the US cycle has more downside per our cycle. Core shorts are in...

Thomas Schroeder

Nikkei 225 Index Rebalance: Softbank Corp IN, Nippon Kayaku OUT

A very widely tracked index with large impact on the inclusion names.

Brian Freitas