Senior Equity Derivatives Trader

Simon Harris

Event-Driven

iShares China Large-Cap (FXI) / Event-Driven

<ul>
<li><span><span>Chinese equities have been on a volatile path but are finally gaining some upside momentum</span></span></li>
<li><span><span>Dollar seems to have peaked and USDCNH is retreating with renewed optimism for the Chinese economy reopening. </span></span></li>
<li><span><span>We revisit the trade and look at potential restructuring options</span></span></li>
</ul>


Chinese equities have been on a volatile path but are finally gaining some upside momentum
Dollar seems to have peaked and USDCNH is retreating with renewed optimism for the Chinese economy reopening. 
We revisit the trade and look at potential restructuring options


EQD | FXI (FXI US): - Could Chinese Equities Lead the Way Higher? Use Options for Delta-Revisited

<ul>
<li>20th National Congress of the Communist Party is due to kick off this week</li>
<li>Will economic growth be top of the agenda and is there any scope to adjust the Covid strategy?</li>
<li>With many potential growth factors, use derivatives to gain delta exposure</li>
</ul>


20th National Congress of the Communist Party is due to kick off this week
Will economic growth be top of the agenda and is there any scope to adjust the Covid strategy?
With many potential growth factors, use derivatives to gain delta exposure


EQD | FXI (FXI US): - Could Chinese Equities Lead the Way Higher? Use Options for Delta

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.

Macroeconomics

<ul>
<li>After a remarkable recovery from March to late June, TMI's Brazil Macro Sentiment indicator has been losing momentum in recent weeks together with BRL sentiment; political risk has resurfaced with the Bolsonaro vaccine scandal and Lula's lead in the polls</li>
<li>Our PBOC Easing-Tightening Diffusion suggests further downside to Chinese 10yr yields and the China FXI, having been strongly negatively correlated with both</li>
<li>While cryptocurrency sentiment remains subdued, negative momentum peaked in June; environmental concerns appear to be easing on the margin, aided by proof-of-stake optimism</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 tools text-mine 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 a remarkable recovery from March to late June, TMI's Brazil Macro Sentiment indicator has been losing momentum in recent weeks together with BRL sentiment; political risk has resurfaced with the Bolsonaro vaccine scandal and Lula's lead in the polls
Our PBOC Easing-Tightening Diffusion suggests further downside to Chinese 10yr yields and the China FXI, having been strongly negatively correlated with both
While cryptocurrency sentiment remains subdued, negative momentum peaked in June; environmental concerns appear to be easing on the margin, aided by proof-of-stake optimism
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 tools text-mine 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:  Brazil Macro Sentiment Peaking, PBOC Easing Not a Buy Signal Yet, Crypto Sentiment

Cross Asset Strategy

<ul>
<li>Consensus now sees a virtuous new EM &amp; Asia growth cycle centering on China, where outstanding growth prospects are said to coexist with structural CNY appreciation supporting continued strength in commodities and cyclicals</li>
<li>Ironically, Chinese equities sharply underperformed the rest of APAC in November just as these bullish views reached critical mass </li>
<li>Coincidentally, our text-mining finds that financial media coverage of CNY strength has recently taken an increasingly negative tone, while coverage of US-China tensions has turned neutral after a short post-election honeymoon period </li>
<li>If Chinese equities are not resilient to outgoing Trump administration flare-ups, is the CNY immune?  Should we still view the strong CNY as an indisputable positive?</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>


Consensus now sees a virtuous new EM &amp; Asia growth cycle centering on China, where outstanding growth prospects are said to coexist with structural CNY appreciation supporting continued strength in commodities and cyclicals
Ironically, Chinese equities sharply underperformed the rest of APAC in November just as these bullish views reached critical mass 
Coincidentally, our text-mining finds that financial media coverage of CNY strength has recently taken an increasingly negative tone, while coverage of US-China tensions has turned neutral after a short post-election honeymoon period 
If Chinese equities are not resilient to outgoing Trump administration flare-ups, is the CNY immune?  Should we still view the strong CNY as an indisputable positive?
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:  Is a Strong CNY Still Viewed Positively?

<ul>
<li>Our macro sentiment indicators for key East Asian jurisdictions have all turned above &gt;1.5x STDEVs, highlighting widely-perceived notions of an accelerating synchronized recovery led by China</li>
<li>Beneath the surface, concerns linger on Chinese bond defaults and a tighter regulatory environment, but the magnitude of these trends appears insufficient to derail broader macro views as our reading of Chinese credit sentiment only dropped to -0.5x STDEV</li>
<li>Nonetheless, back-testing suggests that Chinese credit sentiment has been a superior predictor of China Lg-Cap (FXI) performance in recent years, and a recent pullback in relative performance (of both A/H-shares vs. MSCI World) appears to be linked to credit</li>
<li>We suspect the bullish backdrop allows Beijing to opportunistically launch its renewed deleveraging push with relatively limited contagion for the time being</li>
</ul>


Our macro sentiment indicators for key East Asian jurisdictions have all turned above &gt;1.5x STDEVs, highlighting widely-perceived notions of an accelerating synchronized recovery led by China
Beneath the surface, concerns linger on Chinese bond defaults and a tighter regulatory environment, but the magnitude of these trends appears insufficient to derail broader macro views as our reading of Chinese credit sentiment only dropped to -0.5x STDEV
Nonetheless, back-testing suggests that Chinese credit sentiment has been a superior predictor of China Lg-Cap (FXI) performance in recent years, and a recent pullback in relative performance (of both A/H-shares vs. MSCI World) appears to be linked to credit
We suspect the bullish backdrop allows Beijing to opportunistically launch its renewed deleveraging push with relatively limited contagion for the time being


TMI Snapshot: Synchronized Asian Macro Upturn Vs. Chinese Credit Jitters, Via Text Mining

China

iShares China Large-Cap ETF is an exchange-traded fund incorporated in the USA. The ETF tracks the FTSE China 50 Index, investing in large cap stocks. Its investments are focused in the financial, oil and gas, technology and communications sectors. The ETF uses a representative sampling indexing strategy, investing at least 90% of its assets in the securities of the underlying index.

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iShares China Large-Cap (FXI) (FXI US)

EQD | FXI (FXI US): - Could Chinese Equities Lead the Way Higher? Use Options for Delta-Revisited

We revisit a trade recommendation from mid October in FXI US. We evaluate the current position and consider what trades make sense now.

Simon Harris

EQD | FXI (FXI US): - Could Chinese Equities Lead the Way Higher? Use Options for Delta

A look at FXI options to gain exposure to Chinese equity delta. With pessimism at extreme levels globally, we suggest China might actually be a...

Simon Harris

TMI Snapshots: Brazil Macro Sentiment Peaking, PBOC Easing Not a Buy Signal Yet, Crypto Sentiment

After a remarkable 3-month recovery, our Brazil Macro Sentiment has pulled back as political risk is resurfacing with Bolsonaro's vaccine scandal...

Elan Gore

TMI Snapshot: Is a Strong CNY Still Viewed Positively?

Our text-mining detects recent concerns on the strength of the CNY, and we question whether core drivers of the CNY rally may have been potentially...

Elan Gore

TMI Snapshot: Synchronized Asian Macro Upturn Vs. Chinese Credit Jitters, Via Text Mining

Our macro sentiment indicators have seen a new phase of China-led synchronized upturn in East Asia, despite high-profile SOE credit jitters.

Elan Gore

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