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>We saw cyclical &amp; value sentiment melt-up into year end with one last boost from the Georgia Blue Wave; but a tough COVID winter with new mobility restrictions appears to be putting the rotation on hold</li>
<li>Surprisingly, last week USD shorts increased to levels last seen in September, positioning for further progress on the rotation trade (with Biden stimulus the likely catalyst)</li>
<li>Timing of rotation jitters at the early innings of earnings season is unrelated to short-term cyclical earnings visibility, as cyclical sector revisions showed outstanding momentum going into Q4 reporting</li>
<li>Our cyclicals sentiment indicator has corrected from &gt;3x STDEV readings at year-end to neutral readings, with most of the correction taking place in the past 2 weeks</li>
<li>Absent broad negative momentum in associated thematic trades, this appears to be a pause rather than a decisive reversal</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 tool 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>


We saw cyclical &amp; value sentiment melt-up into year end with one last boost from the Georgia Blue Wave; but a tough COVID winter with new mobility restrictions appears to be putting the rotation on hold
Surprisingly, last week USD shorts increased to levels last seen in September, positioning for further progress on the rotation trade (with Biden stimulus the likely catalyst)
Timing of rotation jitters at the early innings of earnings season is unrelated to short-term cyclical earnings visibility, as cyclical sector revisions showed outstanding momentum going into Q4 reporting
Our cyclicals sentiment indicator has corrected from &gt;3x STDEV readings at year-end to neutral readings, with most of the correction taking place in the past 2 weeks
Absent broad negative momentum in associated thematic trades, this appears to be a pause rather than a decisive reversal
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 tool 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: Pullback in Rotation Trade on Mobility Restrictions, Just as USD Shorts Doubled Down

<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"><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>


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>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

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

<div>As RSI's in the US pullback from overbought territory and move into buy territory, the favored trade is to buy weakness for a reaction rise. Poor bull energy on a secondary rally attempt is vital in confirming a bigger cycle peak or wave 2 top. September/October months vulnerable is a recovery fizzles and we then convincingly break below pivotal trendline supports at NDX 11,300 and SPX 3,440. A top below 3,530 would set up a harder decline. Clearing 3,530 is the level that would try for a new high or re test of 3,586 with projection at 3,600 and 3,650.</div><div></div><div>Macro: Views this pullback as corrective barring a more impulsive follow through decline below 3,300 and 3,220.</div><div></div><div>Trade points are outlined on the long and short side with the DJI a favored long and the Russell 2000 remaining an underperform short. Given a bit more tech fallout we want are a buyer of the NDX as long as 11,000 holds bear pressure.</div>

As RSI's in the US pullback from overbought territory and move into buy territory, the favored trade is to buy weakness for a reaction rise. Poor bull energy on a secondary rally attempt is vital in confirming a bigger cycle peak or wave 2 top. September/October months vulnerable is a recovery fizzles and we then convincingly break below pivotal trendline supports at NDX 11,300 and SPX 3,440. A top below 3,530 would set up a harder decline. Clearing 3,530 is the level that would try for a new high or re test of 3,586 with projection at 3,600 and 3,650.Macro: Views this pullback as corrective barring a more impulsive follow through decline below 3,300 and 3,220.Trade points are outlined on the long and short side with the DJI a favored long and the Russell 2000 remaining an underperform short. Given a bit more tech fallout we want are a buyer of the NDX as long as 11,000 holds bear pressure.

SPX and NDX Long Short Levels and Sector Bets

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

<p>We continue to observe the market broadening out into the Cyclical areas of the economy. Our outlook remains bullish and we believe the trajectory is up and to the right. In today’s report we highlight attractive Groups and stocks within Energy and Basic Materials: Ethanol, Metals, Steel, Integrated, U.S., Specialty Chemicals Small-Cap</p>

We continue to observe the market broadening out into the Cyclical areas of the economy. Our outlook remains bullish and we believe the trajectory is up and to the right. In today’s report we highlight attractive Groups and stocks within Energy and Basic Materials: Ethanol, Metals, Steel, Integrated, U.S., Specialty Chemicals Small-Cap

U.S. Equity Strategy: Up and to the Right

United States

Financial Select Sector SPDR Fund is an exchange-traded fund incorporated in the USA.  The Fund's objective is to provide investment results that, before expenses, correspond to the performance of The Financial Select Sector.  The Index includes financial services firms whose business' range from investment management to commercial & business banking.

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Financial Select Sector SPDR F (XLF US)

TMI Snapshot: Pullback in Rotation Trade on Mobility Restrictions, Just as USD Shorts Doubled Down

The cyclical & value rotation trade has paused, and this appears to be a function of the current wave of mobility restrictions, as our data suggests.

Elan Gore

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 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

SPX and NDX Long Short Levels and Sector Bets

As RSI's in the US pullback from overbought territory and move into buy territory, the favored trade is to buy weakness for a reaction rise. Poor...

Thomas Schroeder

U.S. Equity Strategy: Up and to the Right

We continue to observe the market broadening out into the Cyclical areas of the economy. Our outlook remains bullish and we believe the trajectory...

Vermilion Research

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