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>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

<ul>
<li>Our text mining has seen a dramatic shift in tone as articles discussing US-China tensions in the global media have turned notably optimistic</li>
<li>Sentiment on US-China tensions has been 67% correlated with the <a href="https://www.smartkarma.com/entities/ishares-china-large-cap-etf" target="_blank" data-smartkarma-citation="entities:766:1" rel="noopener">IShares China Large-Cap (FXI US)</a> in the past year</li>
<li>Although the shock suspension of Ant Group's IPO has affected sentiment on China's overall regulatory environment, our readings are within recent ranges, as the broader credit clampdown and late-August "Three Red Lines" framework elicited far greater levels of concern</li>
<li>Predictably, China macro sentiment indicators have recovered, with property continuing to lag (though back to positive territory) &amp; auto sentiment surging in recent weeks</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>


Our text mining has seen a dramatic shift in tone as articles discussing US-China tensions in the global media have turned notably optimistic
Sentiment on US-China tensions has been 67% correlated with the IShares China Large-Cap (FXI US) in the past year
Although the shock suspension of Ant Group's IPO has affected sentiment on China's overall regulatory environment, our readings are within recent ranges, as the broader credit clampdown and late-August "Three Red Lines" framework elicited far greater levels of concern
Predictably, China macro sentiment indicators have recovered, with property continuing to lag (though back to positive territory) &amp; auto sentiment surging in recent weeks
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: Optimism Surge on US-China Tensions View, China Macro Indicators, Limited Ant Impact

<ul>
<li>Our text-mined CNY diffusion index, which measures the relative momentum of Yuan-positive vs. Yuan-negative expressions in the global financial media, is showing signs of peaking</li>
<li>News attribution suggests this is a result of the debate over Chinese FX intervention given the backdrop of tightening domestic financial conditions (and concerns over property sector leverage)</li>
<li>When optimizing a trading strategy based on the CNY diffusion index, the signal has now turned neutral on CNY; conversely, the levels of momentum on the indicator seen in September have been previously associated with negative returns on FXI and A-Shares</li>
<li>In the US, our indicators suggest the recent spike in inflation breakevens is mostly a function of surging Biden victory expectations, less so due to persistent stimulus chatter, and unlikely a function of a particularly buoyant earnings season</li>
</ul>


Our text-mined CNY diffusion index, which measures the relative momentum of Yuan-positive vs. Yuan-negative expressions in the global financial media, is showing signs of peaking
News attribution suggests this is a result of the debate over Chinese FX intervention given the backdrop of tightening domestic financial conditions (and concerns over property sector leverage)
When optimizing a trading strategy based on the CNY diffusion index, the signal has now turned neutral on CNY; conversely, the levels of momentum on the indicator seen in September have been previously associated with negative returns on FXI and A-Shares
In the US, our indicators suggest the recent spike in inflation breakevens is mostly a function of surging Biden victory expectations, less so due to persistent stimulus chatter, and unlikely a function of a particularly buoyant earnings season


TMI Thematics:  CNY Momentum Peaking? / Blue Wave Drives US Inflation Expectations, Not Earnings

<ul>
<li>Text-mining the global media, we find that improving relative and absolute sentiment on Nancy Pelosi has been leading markets given the importance of stimulus bill passage to the macro outlook</li>
<li>The "Peaceful Transition" or "Peaceful Transfer of Power" theme has been trending in the media, but to our surprise appears to be <em>positively </em>correlated with SPX, suggesting this risk is manifesting strictly in options markets for now</li>
<li>China cybersecurity threats, previously a strong driver of SPY/FXI relative performance, appear to have recently decoupled from equities in a manner which appears less friendly to Chinese equities, as the frequency of flare-ups is perceived to be structurally elevated</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>


Text-mining the global media, we find that improving relative and absolute sentiment on Nancy Pelosi has been leading markets given the importance of stimulus bill passage to the macro outlook
The "Peaceful Transition" or "Peaceful Transfer of Power" theme has been trending in the media, but to our surprise appears to be positively correlated with SPX, suggesting this risk is manifesting strictly in options markets for now
China cybersecurity threats, previously a strong driver of SPY/FXI relative performance, appear to have recently decoupled from equities in a manner which appears less friendly to Chinese equities, as the frequency of flare-ups is perceived to be structurally elevated
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: Nancy Pelosi Sentiment Moving Markets, Climbing "Peaceful Transition" Wall of Worry

<ul class="">
<li>TMI text-mines the global media for a large set of expressions covering various aspects of US-China and China-Taiwan frictions</li>
<li>Media coverage of China cybersecurity threats has been most closely correlated with the relative performance of SPY to FXI (China Large-Cap ETF) at 47% in the past year, with our indicator of China cybersecurity threat coverage recently hitting its highest level since late '18 at +2.2x STDEVs mid-August and accelerating again in the past 10 days</li>
<li>Our China-Taiwan Military Escalation indicator is now at its highest level since January '19 at +3x STDEVs; historically correlated with MSCI Taiwan relative performance, correlations have recently broken down but may mean-revert as tensions are growing</li>
<li>Market complacency is evident in Taiwanese equities as TMI analytics predict higher volatility ahead</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>


TMI text-mines the global media for a large set of expressions covering various aspects of US-China and China-Taiwan frictions
Media coverage of China cybersecurity threats has been most closely correlated with the relative performance of SPY to FXI (China Large-Cap ETF) at 47% in the past year, with our indicator of China cybersecurity threat coverage recently hitting its highest level since late '18 at +2.2x STDEVs mid-August and accelerating again in the past 10 days
Our China-Taiwan Military Escalation indicator is now at its highest level since January '19 at +3x STDEVs; historically correlated with MSCI Taiwan relative performance, correlations have recently broken down but may mean-revert as tensions are growing
Market complacency is evident in Taiwanese equities as TMI analytics predict higher volatility ahead


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. 


China-Taiwan Tensions: TMI Lead Indicators Point To Escalating Risk Of Taiwan Vol Spike

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)

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

TMI Snapshot: Optimism Surge on US-China Tensions View, China Macro Indicators, Limited Ant Impact

Our text mining has seen a dramatic shift in tone as articles discussing US-China tensions in the global media have turned decidedly optimistic, on...

Elan Gore

TMI Thematics: CNY Momentum Peaking? / Blue Wave Drives US Inflation Expectations, Not Earnings

Our indicators see signs of peaking in CNY momentum, and attribute the recent spike in US breakevens to increased conviction on a Biden victory...

Elan Gore

TMI Thematics: Nancy Pelosi Sentiment Moving Markets, Climbing "Peaceful Transition" Wall of Worry

Text-mining the global media, we find

Elan Gore

China-Taiwan Tensions: TMI Lead Indicators Point To Escalating Risk Of Taiwan Vol Spike

TMI text-mines the global media for a large set of expressions covering various aspects of US-China frictions Media coverage of China...

Elan Gore

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