Cross-Asset Strategist & Quantitative Analyst, Pennock Idea Hub

Cam Hui

Cross-Asset Strategist & Quantitative Analyst

Pennock Idea Hub

We are creators of independent equity research. The Pennock Idea Hub team are veterans of the investment industry. Much of our team has spent their careers at Merrill Lynch, Deutsche Bank, RBC Capital Markets and Wood Gundy. We have taken every aspect of research back to the studs and returned to first principles. The Pennock Idea Hub marries the interests of the sell and buy side. 

We offer the best research for institutional investors by:

-Only publishing research from veteran analysts
-Eliminate the inherent conflicts of the traditional sell and buy side relationship
-Ensure our team is always accessible; collaboration with clients nurtures our collective success

Cross-Asset & Quantitative Research

Cross Asset Strategy

Despite all of the technical warnings about negative breadth, the S&amp;P 500 has been undergoing a ride along its upper Bollinger Band. While conventional technical analysis would view episodes of negative breadth divergences as bearish, there are good reasons for the bullish resilience of the S&amp;P 500.The top five sectors comprise about 75% of the weight of the index, and their relative performance determines the market’s direction. An analysis of the June relative performance of these sectors shows that three of the five — representing 43.4% of the index weight — are exhibiting positive relative strength. This is in turn putting upward pressure on the index.The stock market is also underlying an internal rotation between value and growth. Ed Clissold of Ned Davis Research wrote, “The back-and-forth leadership is the reason market breadth has been so resilient.”In the short run, count on more back-and-forth value and growth rotation that supports stock prices. History shows that the DJIA seasonal pattern in July is bullish. Enjoy.

Despite all of the technical warnings about negative breadth, the S&amp;P 500 has been undergoing a ride along its upper Bollinger Band. While conventional technical analysis would view episodes of negative breadth divergences as bearish, there are good reasons for the bullish resilience of the S&amp;P 500.The top five sectors comprise about 75% of the weight of the index, and their relative performance determines the market’s direction. An analysis of the June relative performance of these sectors shows that three of the five — representing 43.4% of the index weight — are exhibiting positive relative strength. This is in turn putting upward pressure on the index.The stock market is also underlying an internal rotation between value and growth. Ed Clissold of Ned Davis Research wrote, “The back-and-forth leadership is the reason market breadth has been so resilient.”In the short run, count on more back-and-forth value and growth rotation that supports stock prices. History shows that the DJIA seasonal pattern in July is bullish. Enjoy.

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

Vanguard Russell 2000 Growth / Technical Analysis

US rotation long bets focused in tech and growth to pick up some of the slack and find industrials beginning to underperform. A yield fade remains a key input to fuel further upside in a growth theme. Consumer discretionary (XLY) and Russell growth ETF's (IWP and IWY) are breaking to the upside out of bull wedge formations.Bull wedge breakouts are a high conviction set up.Risk lies with the rallies struggling under recent highs as weak breadth begins to eat away at the broader market. If a yield fade fails to gain traction this will also dilute the growth breakout with odds favor a C wave rise.

US rotation long bets focused in tech and growth to pick up some of the slack and find industrials beginning to underperform. A yield fade remains a key input to fuel further upside in a growth theme. Consumer discretionary (XLY) and Russell growth ETF's (IWP and IWY) are breaking to the upside out of bull wedge formations.Bull wedge breakouts are a high conviction set up.Risk lies with the rallies struggling under recent highs as weak breadth begins to eat away at the broader market. If a yield fade fails to gain traction this will also dilute the growth breakout with odds favor a C wave rise.

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.

<ul>
<li>Back in November, we text-mined for GICS sector-level sentiment shifts as the post-election cyclical rotation arrived (see <a href="https://www.smartkarma.com/insights/tmi-snapshots-quantifying-relative-sector-sentiment-in-the-recent-rotation-via-text-mining" target="_blank" data-smartkarma-citation="insights:45278" rel="noopener">TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining</a>)</li>
<li>At the time, we saw Financials sector sentiment surge along with Materials, while Industrials sentiment remained subdued; these sentiment readings have been somewhat reflected in performance, as since October 31 the S&amp;P Financials (XLF) is up +28%, S&amp;P Materials (XLB) +21%, and S&amp;P Industrials (XLI) +18%</li>
<li>All cyclical sectors are now in positive territory sentiment-wise, with Consumer Discretionary and Financials sentiment now looking quite extended at multi-STDEV readings</li>
<li>Industrials sector sentiment stood out as relatively depressed for months, but is breaking out of its range in the last 10 days</li>
<li>As we noted in our post on cyclicals sentiment last week (<a href="https://www.smartkarma.com/insights/tmi-snapshot-cyclicals-sentiment-melts-up-into-year-end-impact-concentrated-in-materials-sector" target="_blank" data-smartkarma-citation="insights:46660" rel="noopener">TMI Snapshot:  Cyclicals Sentiment Melts Up into Year-End, Impact Concentrated in Materials Sector),</a> the rotation theme has been particularly strongly correlated to the Materials sector (metals in particular) and there is potentially room for laggard cyclicals - namely industrials - to catch up as recent sentiment readings imply </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>


Back in November, we text-mined for GICS sector-level sentiment shifts as the post-election cyclical rotation arrived (see TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining)
At the time, we saw Financials sector sentiment surge along with Materials, while Industrials sentiment remained subdued; these sentiment readings have been somewhat reflected in performance, as since October 31 the S&amp;P Financials (XLF) is up +28%, S&amp;P Materials (XLB) +21%, and S&amp;P Industrials (XLI) +18%
All cyclical sectors are now in positive territory sentiment-wise, with Consumer Discretionary and Financials sentiment now looking quite extended at multi-STDEV readings
Industrials sector sentiment stood out as relatively depressed for months, but is breaking out of its range in the last 10 days
As we noted in our post on cyclicals sentiment last week (TMI Snapshot:  Cyclicals Sentiment Melts Up into Year-End, Impact Concentrated in Materials Sector), the rotation theme has been particularly strongly correlated to the Materials sector (metals in particular) and there is potentially room for laggard cyclicals - namely industrials - to catch up as recent sentiment readings imply 
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 Snapshot:  Revisiting Cyclical Sector Sentiment - Industrials Showing Signs of Life

<ul>
<li>Data from ~30 million participants in the Chase credit card panel (US) has shown a pullback in spending in recent weeks</li>
<li>The pullback appears to be independent of mobility dynamics, as in-person shopping outperformed overall spending</li>
<li>We text-mine the media for first-person accounts of hardship to find an increase in reported layoffs &amp; reduced personal spending, but the magnitude of increase has been encouragingly small (&lt;1x STDEV) so far relative to readings seen in H1</li>
<li>As we highlighted in <a href="https://www.smartkarma.com/insights/tmi-snapshots-quantifying-relative-sector-sentiment-in-the-recent-rotation-via-text-mining" target="_blank" data-smartkarma-citation="insights:45278" rel="noopener">TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining</a>, the cyclical rotation is alive and well on mid-term vaccine-driven recovery expectations; but the potential for vol around year-end funding or seasonal dynamics may be amplified by these weak Q4 trends once they appear in official macro releases</li>
</ul>


Data from ~30 million participants in the Chase credit card panel (US) has shown a pullback in spending in recent weeks
The pullback appears to be independent of mobility dynamics, as in-person shopping outperformed overall spending
We text-mine the media for first-person accounts of hardship to find an increase in reported layoffs &amp; reduced personal spending, but the magnitude of increase has been encouragingly small (&lt;1x STDEV) so far relative to readings seen in H1
As we highlighted in TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining, the cyclical rotation is alive and well on mid-term vaccine-driven recovery expectations; but the potential for vol around year-end funding or seasonal dynamics may be amplified by these weak Q4 trends once they appear in official macro releases


TMI Snapshot: High-Freq US Spending Data Pullback Looks Independent of Mobility, But Is It Relevant?

<ul>
<li>We text mine the global financial media to quantify short-term dynamics in sector sentiment looking for expressions referring to specific GICS sectors (i.e. energy, materials, industrials, consumer discretionary, consumer staples, health care, financials, tech, utilities) via sentiment analysis of associated articles</li>
<li>Of the cyclical sectors, the relative surge in sentiment (vs. tech) has been most dramatic in Financials and Materials, and more measured in Energy and Industrials</li>
<li>We find that relative sentiment on cyclicals previously surged after the June and September VIX spikes; current relative sentiment readings for industrials, materials and energy are still below levels seen in the June and September episodes</li>
<li>On an absolute basis, Tech sector sentiment has corrected from +2.2x STDEVs to neutral in the past 2 weeks</li>
<li>Similarly, we recently saw declines in Health Care, Utilities and Staples sentiment to neutral/negative readings, though less dramatic than the move seen in Tech</li>
<li>Financials appear to be the only sector where sentiment has surged more than +2x STDEVs in recent weeks</li>
<li>Importantly, the most recent short-term reversal in cyclical sector sentiment clearly began in the final week of October, well ahead of the elections and Pfizer news</li>
</ul>


We text mine the global financial media to quantify short-term dynamics in sector sentiment looking for expressions referring to specific GICS sectors (i.e. energy, materials, industrials, consumer discretionary, consumer staples, health care, financials, tech, utilities) via sentiment analysis of associated articles
Of the cyclical sectors, the relative surge in sentiment (vs. tech) has been most dramatic in Financials and Materials, and more measured in Energy and Industrials
We find that relative sentiment on cyclicals previously surged after the June and September VIX spikes; current relative sentiment readings for industrials, materials and energy are still below levels seen in the June and September episodes
On an absolute basis, Tech sector sentiment has corrected from +2.2x STDEVs to neutral in the past 2 weeks
Similarly, we recently saw declines in Health Care, Utilities and Staples sentiment to neutral/negative readings, though less dramatic than the move seen in Tech
Financials appear to be the only sector where sentiment has surged more than +2x STDEVs in recent weeks
Importantly, the most recent short-term reversal in cyclical sector sentiment clearly began in the final week of October, well ahead of the elections and Pfizer news


TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining

United States

Consumer Discretionary Select Sector SPDR Fund is an exchange-traded fund incorporated in the USA. The ETF tracks the performance of the Consumer Discretionary Select Sector Index holding primarily large capitalization companies domiciled in the US. The ETF weights its holdings using a modified market cap approach, generally investing at least 95% of its assets in the index

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Consumer Discretionary Select (XLY US)

The Resilient S&P 500

While conventional technical analysis would view recent episodes of negative breadth divergences as bearish, there are good reasons for the bullish...

Cam Hui

US Growth Rotation Long Bets

US rotation long bets focused in tech and growth to pick up some of the slack. Consumer discretionary (XLY) and Russell growth ETF's (IWP and IWY)...

Thomas Schroeder

TMI Snapshot: Revisiting Cyclical Sector Sentiment - Industrials Showing Signs of Life

Revisiting our cyclical sector sentiment indicators, we find a breakout in Industrials sentiment coming from a relatively low base - time for...

Elan Gore

TMI Snapshot: High-Freq US Spending Data Pullback Looks Independent of Mobility, But Is It Relevant?

Chase US card spending data has pulled back in recent weeks, and our own text-mined data has seen a mild increase in reported financial hardship. ...

Elan Gore

TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining

We quantify recent sector sentiment dynamics through the lens of text mining. The current cyclical rotation is in its early innings, as relative...

Elan Gore

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