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>In last month's report we saw late-September USD strength contribute to softer base metals sentiment and a collapse in precious metals sentiment (amid reports of millennial preference for cryptocurrencies as an inflation hedge)</li>
<li>More recently, we saw copper sentiment surge to &gt;3x STDEVs, a multi-year record on our data, as financial media preoccupation with relative Chinese macro strength and strong EV demand met persistent newsflow on imminent labor-related supply disruptions in Chile; our back-testing suggests such anomalous sentiment readings normally lead to temporary pullbacks in the copper price</li>
<li>Gold &amp; silver sentiment fell further in October to levels last seen in April, but we see early signs of bottoming in gold; platinum sentiment improved on hydrogen economy news </li>
<li>Crude oil sentiment fell to its lowest since May, predictably attributed to the prospect of COVID-19 lockdowns spreading globally &amp; Libyan news</li>
<li>Iron ore sentiment has moved into positive territory in the final week of October, driven by 3 consecutive weeks of steel inventory draws in China and a notable rally in rebar prices</li>
<li>Despite deteriorating COVID-19 newsflow, crude weakness and USD strength, sentiment is positive on more commodities relative to late September, with supply disruptions and greater conviction on Chinese macro the key drivers</li>
</ul><div class="content-highlight"><p>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. </p></div>


In last month's report we saw late-September USD strength contribute to softer base metals sentiment and a collapse in precious metals sentiment (amid reports of millennial preference for cryptocurrencies as an inflation hedge)
More recently, we saw copper sentiment surge to &gt;3x STDEVs, a multi-year record on our data, as financial media preoccupation with relative Chinese macro strength and strong EV demand met persistent newsflow on imminent labor-related supply disruptions in Chile; our back-testing suggests such anomalous sentiment readings normally lead to temporary pullbacks in the copper price
Gold &amp; silver sentiment fell further in October to levels last seen in April, but we see early signs of bottoming in gold; platinum sentiment improved on hydrogen economy news 
Crude oil sentiment fell to its lowest since May, predictably attributed to the prospect of COVID-19 lockdowns spreading globally &amp; Libyan news
Iron ore sentiment has moved into positive territory in the final week of October, driven by 3 consecutive weeks of steel inventory draws in China and a notable rally in rebar prices
Despite deteriorating COVID-19 newsflow, crude weakness and USD strength, sentiment is positive on more commodities relative to late September, with supply disruptions and greater conviction on Chinese macro the key drivers
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:  November Commodity Sentiment - Base Overshoots, Ferrous Improves, Gold Bottoming?

<ul>
<li>As the street warms up to a potential Biden victory, arguments for improving equity breadth and cyclical rotation are starting to emerge again</li>
<li>Financial media references to a cyclical rotation saw a multi-STDEV spike in June, which coincided with a significant and notably enduring lift in the ratios of US industrials-to-staples and transports-to-staples </li>
<li>Our testing highlights the US transports-to-staples ratio as the most correlated with the cyclical rotation theme, but we see similar action in the copper/gold ratio and EM currencies</li>
<li>In the past 10 days, our text-mined data shows an incipient pro-cyclical move, but its momentum has yet to fully turn net-positive</li>
<li>Calls for a cyclical rotation softened through the September correction, COVID-19 second wave fears and more recent fiscal stimulus uncertainty; but the cyclical/defensive sector ratios endured as the structural reframing of a Biden presidency as an inflation-positive outcome went mainstream</li>
<li>While historically "cyclical rotation" and "value rotation" were strongly correlated, we have seen a decoupling in these themes due to the heavy burden of the COVID-19 crisis on financials and energy</li>
<li>Economists have pointed to the increased likelihood of a vaccine in H1 as a driver of recent bullishness and inflationary optimism, but observations from text mining and from the Superforecaster survey (Good Judgement Project) do not suggest new positives here</li>
<li>Predictably, at this stage of post-pandemic recovery the focus of cyclical rotation is on industrials and materials (particularly mining &amp; construction materials), with a Biden win implying elevated infrastructure spend</li>
</ul><div class="content-highlight"><p>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. </p></div>


As the street warms up to a potential Biden victory, arguments for improving equity breadth and cyclical rotation are starting to emerge again
Financial media references to a cyclical rotation saw a multi-STDEV spike in June, which coincided with a significant and notably enduring lift in the ratios of US industrials-to-staples and transports-to-staples 
Our testing highlights the US transports-to-staples ratio as the most correlated with the cyclical rotation theme, but we see similar action in the copper/gold ratio and EM currencies
In the past 10 days, our text-mined data shows an incipient pro-cyclical move, but its momentum has yet to fully turn net-positive
Calls for a cyclical rotation softened through the September correction, COVID-19 second wave fears and more recent fiscal stimulus uncertainty; but the cyclical/defensive sector ratios endured as the structural reframing of a Biden presidency as an inflation-positive outcome went mainstream
While historically "cyclical rotation" and "value rotation" were strongly correlated, we have seen a decoupling in these themes due to the heavy burden of the COVID-19 crisis on financials and energy
Economists have pointed to the increased likelihood of a vaccine in H1 as a driver of recent bullishness and inflationary optimism, but observations from text mining and from the Superforecaster survey (Good Judgement Project) do not suggest new positives here
Predictably, at this stage of post-pandemic recovery the focus of cyclical rotation is on industrials and materials (particularly mining &amp; construction materials), with a Biden win implying elevated infrastructure spend
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 Thematics: Cyclical Rotation Through The Lens of Text Mining

<ul>
<li>After 3 months of consistent decline, our China Property Sentiment Indicator is showing notable signs of recovery</li>
<li>News attribution suggests this is primarily driven by decreasing negative coverage as the Evergrande liquidity crisis was averted limiting broader contagion; continued momentum on developer spin-offs of property management subsidiaries; and strong Golden Week consumption metrics related to home furnishings &amp; building products (a secondary parameter in our indicator)</li>
<li>Our text mining already incorporates recent negative news on shrinking land premiums, as well as coverage on (expectedly) heavy discounting during Golden Week sales; but the overall tone of coverage remains "less negative" in the month-to-date</li>
<li>The TMI China Property Sentiment Indicator has been 58% correlated with Chinese real estate equities (via CHIR ETF), 40%-54% with Chinese HY (via KCCB ETF), and 65% with copper prices (on a T24M basis)</li>
</ul><div class="content-highlight"><p>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. </p></div>


After 3 months of consistent decline, our China Property Sentiment Indicator is showing notable signs of recovery
News attribution suggests this is primarily driven by decreasing negative coverage as the Evergrande liquidity crisis was averted limiting broader contagion; continued momentum on developer spin-offs of property management subsidiaries; and strong Golden Week consumption metrics related to home furnishings &amp; building products (a secondary parameter in our indicator)
Our text mining already incorporates recent negative news on shrinking land premiums, as well as coverage on (expectedly) heavy discounting during Golden Week sales; but the overall tone of coverage remains "less negative" in the month-to-date
The TMI China Property Sentiment Indicator has been 58% correlated with Chinese real estate equities (via CHIR ETF), 40%-54% with Chinese HY (via KCCB ETF), and 65% with copper prices (on a T24M basis)
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: China Property Sentiment Indicators Recover Post "Three Red Lines" & Evergrande Drama

Commodities

<ul>
<li>Last month our sentiment indicators pointed to potential over-exuberance in copper and platinum, early signs of improvement in corn, and an accelerating slide in crude</li>
<li>Copper sentiment has since pulled back to neutral territory, but the magnitude of the pullback was limited as momentum readings remained mildly positive throughout the month; other base metals saw sentiment pull back to a lesser extent, even as the nickel price underperformed on TSLA news flow</li>
<li>Corn has seen improvement in sentiment driven by news of better ethanol margins and potential crop damage in Northeast China driving greater US export demand</li>
<li>Precious metals sentiment collapsed, with silver sentiment dipping below -2x STDEVs to the downside and gold hitting -1.3x STDEVs this week</li>
<li>Crude sentiment attempted to stabilize in the past 2 weeks, but renewed fears of mobility restrictions are surfacing in recent days as negative catalysts in our news attribution; we also identify a very high correlation between crude sentiment and our global foot traffic indicator</li>
<li>From a broader macro perspective, we continue to see pressure on inflation expectations in our text-mined diffusion indices; but since the DXY hit a short-term high of 94.8 on 9/25, we have seen a slight lift in 5-yr TIPS breakevens which is providing some relief to the complex</li>
<li>Our main takeaway this month is the resilience of palladium an copper to recent swings in sentiment, unexpected USD strength and elevated vol in the complex; both commodities have behaved well in the face of considerable headwinds and potentially reflect a steadier underlying recovery in manufacturing, construction and autos</li>
<li>Overall, less than half of our commodity sentiment indicators are in positive territory, compared with the vast majority last month</li>
</ul><div class="content-highlight"><p>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. </p></div>


Last month our sentiment indicators pointed to potential over-exuberance in copper and platinum, early signs of improvement in corn, and an accelerating slide in crude
Copper sentiment has since pulled back to neutral territory, but the magnitude of the pullback was limited as momentum readings remained mildly positive throughout the month; other base metals saw sentiment pull back to a lesser extent, even as the nickel price underperformed on TSLA news flow
Corn has seen improvement in sentiment driven by news of better ethanol margins and potential crop damage in Northeast China driving greater US export demand
Precious metals sentiment collapsed, with silver sentiment dipping below -2x STDEVs to the downside and gold hitting -1.3x STDEVs this week
Crude sentiment attempted to stabilize in the past 2 weeks, but renewed fears of mobility restrictions are surfacing in recent days as negative catalysts in our news attribution; we also identify a very high correlation between crude sentiment and our global foot traffic indicator
From a broader macro perspective, we continue to see pressure on inflation expectations in our text-mined diffusion indices; but since the DXY hit a short-term high of 94.8 on 9/25, we have seen a slight lift in 5-yr TIPS breakevens which is providing some relief to the complex
Our main takeaway this month is the resilience of palladium an copper to recent swings in sentiment, unexpected USD strength and elevated vol in the complex; both commodities have behaved well in the face of considerable headwinds and potentially reflect a steadier underlying recovery in manufacturing, construction and autos
Overall, less than half of our commodity sentiment indicators are in positive territory, compared with the vast majority last month
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: October Commodity Sentiment - Base Neutral, Precious Weak, Palladium & Corn Positive

<ul>
<li>Last week we highlighted a downward shift in US inflation expectations, and our diffusion index of inflationary vs. deflationary expressions continues to soften (see <a href="https://www.smartkarma.com/insights/tmi-snapshot-cross-currents-in-the-us-rental-market-hint-at-pausing-inflation-expectations" target="_blank" data-smartkarma-citation="insights:43259" rel="noopener">TMI Snapshot:  Cross-Currents In The US Rental Market Hint At Pausing Inflation Expectations)</a>
</li>
<li>We believe this shift is largely responsible for unwelcome USD strength and recent pressures on precious metals as well as the overall commodity complex (as noted in <a href="https://www.smartkarma.com/insights/tmi-indicators-gold-sentiment-seeking-catalysts-following-latest-leg-up-on-us-benefit-expiration" target="_blank" data-smartkarma-citation="insights:43356" rel="noopener">TMI Indicators: Gold Sentiment Seeking Catalysts Following Latest Leg Up On US Benefit Expiration</a>)</li>
<li>While our inflation expectations note focused on emerging pressures in the US rental market and their impact on TIPS inflation breakevens, we must acknowledge that the psychology behind the emerging consensus inflationary mindset went into overdrive when extraordinary open-ended QE was perceived to be augmented by continued massive fiscal support and accelerated COVID-19 vaccine news flow</li>
<li>Our text mining sees an unprecedented spike in US political divisions coinciding with a sharp step down in fiscal stimulus expectations, as well as lowered expectations on the near-term availability of a COVID-19 vaccine</li>
<li>With two pillars of the emerging inflationary mindset now broken, the underlying narrative is seeing significant near-term challenges</li>
<li>As a potential post-election silver lining, our text mining sees a shift in perceptions of a Biden win from potentially disinflationary to inflationary (as Biden tax implications are now seen as less onerous and infrastructure investment potentially larger)</li>
<li>As long as uncertainty on post-election outcomes lingers, we suspect disinflationary pressures drive elevated vol, a stronger USD, continued pullback in precious metals &amp; the broader commodities complex, and a near-term shift away from the incipient cyclical/value rotations</li>
</ul><div class="content-highlight"><p>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. </p></div>


Last week we highlighted a downward shift in US inflation expectations, and our diffusion index of inflationary vs. deflationary expressions continues to soften (see TMI Snapshot:  Cross-Currents In The US Rental Market Hint At Pausing Inflation Expectations)

We believe this shift is largely responsible for unwelcome USD strength and recent pressures on precious metals as well as the overall commodity complex (as noted in TMI Indicators: Gold Sentiment Seeking Catalysts Following Latest Leg Up On US Benefit Expiration)
While our inflation expectations note focused on emerging pressures in the US rental market and their impact on TIPS inflation breakevens, we must acknowledge that the psychology behind the emerging consensus inflationary mindset went into overdrive when extraordinary open-ended QE was perceived to be augmented by continued massive fiscal support and accelerated COVID-19 vaccine news flow
Our text mining sees an unprecedented spike in US political divisions coinciding with a sharp step down in fiscal stimulus expectations, as well as lowered expectations on the near-term availability of a COVID-19 vaccine
With two pillars of the emerging inflationary mindset now broken, the underlying narrative is seeing significant near-term challenges
As a potential post-election silver lining, our text mining sees a shift in perceptions of a Biden win from potentially disinflationary to inflationary (as Biden tax implications are now seen as less onerous and infrastructure investment potentially larger)
As long as uncertainty on post-election outcomes lingers, we suspect disinflationary pressures drive elevated vol, a stronger USD, continued pullback in precious metals &amp; the broader commodities complex, and a near-term shift away from the incipient cyclical/value rotations
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:  More Signs Of Pressure on Inflation Expectations, USD Upside, And A Silver Lining

United States

Copper is a chemical element with symbol Cu (from Latin: cuprum) and atomic number 29. It is a soft, malleable and ductile metal with very high thermal and electrical conductivity. A freshly exposed surface of pure copper has a reddish-orange color. It is used as a conductor of heat and electricity, as a building material and as a constituent of various metal alloys, such as Sterling silver used in jewelry, cupronickel used to make marine hardware and coins and constantan used in strain gauges and thermocouples for temperature measurement.

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TMI Indicators: November Commodity Sentiment - Base Overshoots, Ferrous Improves, Gold Bottoming?

Our text-mined commodity sentiment indicators see an overshoot in copper sentiment, a notable turnaround in iron ore sentiment, and potential signs...

Elan Gore

TMI Thematics: Cyclical Rotation Through The Lens of Text Mining

As the equity melt-up sees renewed "cyclical rotation" calls, we text-mine the global financial media to find early signs of recovery in the theme...

Elan Gore

TMI Snapshots: China Property Sentiment Indicators Recover Post "Three Red Lines" & Evergrande Drama

After 3 months of consistent slowdown and a dip into outright negative territory, our China Property Indicator is showing signs of recovery News...

Elan Gore

TMI Indicators: October Commodity Sentiment - Base Neutral, Precious Weak, Palladium & Corn Positive

Last month our sentiment indicators pointed to potential over-exu

Elan Gore

TMI Snapshots: More Signs Of Pressure on Inflation Expectations, USD Upside, And A Silver Lining

Last week we highlighted

Elan Gore

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