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>Our text-mining finds cyclicals sentiment momentum now up +3.3x STDEVs, highest in the history of our series and slightly above the highs we last saw in December '17</li>
<li>Defensives sentiment momentum bottomed in the first half of December at -1x STDEV, lowest reading since May, but has since recovered to marginally positive territory potentially aided by recent tech outperformance</li>
<li>In the past year, cyclicals sentiment has been &gt;80% correlated with Global Metals &amp; Materials, 68% correlated with Global Industrials, 35% correlated with Global Financials and uncorrelated with Global Energy</li>
<li>In December, only Global Metals appear to be strongly correlated with the surge in cyclicals sentiment as energy, financials and industrials performance has been flat; one explanation is the stark divergence in '21 estimate revision trends by sector, where materials analysts are struggling to catch up with surging metals prices vs. tepid industrials and energy revisions</li>
<li>Ironically, our copper sentiment indicator registered a +3x STDEV spike in November and remains elevated, preceding the final 2020 melt-up in cyclicals sentiment (as well as the move in copper); back-testing suggests trading MSCI Global Metals based on cyclicals sentiment outperforms a passive position, but trading based on copper sentiment would have generated superior returns - implying that getting the copper trade right is key to getting the overall cyclical trade right at this stage of the economic cycle</li>
<li>Do other cyclical sectors simply catch up with metals &amp; materials in Q1?  Industrials may hold the key to the next leg of cyclical recovery as the market looks through winter seasonality to improved operating leverage starting in Q2; investors may not be as forgiving in the short-term with energy, as long as mobility is depressed; but the promise of post-vaccine normalization remains compelling across the board</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 finds cyclicals sentiment momentum now up +3.3x STDEVs, highest in the history of our series and slightly above the highs we last saw in December '17
Defensives sentiment momentum bottomed in the first half of December at -1x STDEV, lowest reading since May, but has since recovered to marginally positive territory potentially aided by recent tech outperformance
In the past year, cyclicals sentiment has been &gt;80% correlated with Global Metals &amp; Materials, 68% correlated with Global Industrials, 35% correlated with Global Financials and uncorrelated with Global Energy
In December, only Global Metals appear to be strongly correlated with the surge in cyclicals sentiment as energy, financials and industrials performance has been flat; one explanation is the stark divergence in '21 estimate revision trends by sector, where materials analysts are struggling to catch up with surging metals prices vs. tepid industrials and energy revisions
Ironically, our copper sentiment indicator registered a +3x STDEV spike in November and remains elevated, preceding the final 2020 melt-up in cyclicals sentiment (as well as the move in copper); back-testing suggests trading MSCI Global Metals based on cyclicals sentiment outperforms a passive position, but trading based on copper sentiment would have generated superior returns - implying that getting the copper trade right is key to getting the overall cyclical trade right at this stage of the economic cycle
Do other cyclical sectors simply catch up with metals &amp; materials in Q1?  Industrials may hold the key to the next leg of cyclical recovery as the market looks through winter seasonality to improved operating leverage starting in Q2; investors may not be as forgiving in the short-term with energy, as long as mobility is depressed; but the promise of post-vaccine normalization remains compelling across the board
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:  Cyclicals Sentiment Melts Up into Year-End, Impact Concentrated in Materials Sector

Deputy Chief Economist

Sharmila Whelan

Independent and original Asian investment research

Aletheia Capital

Aletheia Capital (HK) Ltd. (previously known as Asianomics) combines the extensive knowledge of its experienced team with technology and regulatory changes to disrupt Global Markets business in Asia. The firm is completely independent with no conflicts of interest either on Investment Banking advisory or Capital Markets execution.

Macroeconomics

<p>With both the US and Chinese economies softening and the US Fed refusing to play ball by lowering interest rates even as China’s PBOC expands monetary stimulus, it was always a question of who would blink first, Mr Trump or Mr Xi. Mr Trump has blinked. That is our takeaway from last weekend’s G20 meeting. Maybe Mr Trump is realising the US does not wield the economic and geopolitical power it used to?</p>

With both the US and Chinese economies softening and the US Fed refusing to play ball by lowering interest rates even as China’s PBOC expands monetary stimulus, it was always a question of who would blink first, Mr Trump or Mr Xi. Mr Trump has blinked. That is our takeaway from last weekend’s G20 meeting. Maybe Mr Trump is realising the US does not wield the economic and geopolitical power it used to?

<p>Last week President Xi Jinping met President Vladimir Putin for the 29<sup>th</sup> time since 2013 and the second time in two months in St Petersburg. The growing relationship between China and Russia is a hugely important one. It has the potential to redefine global trade patterns and shift the global balance of economic and geopolitical power. Driven by need and by economics, this is relationship that is only set to grow and for that a big thanks goes to Mr Trump.</p>

Last week President Xi Jinping met President Vladimir Putin for the 29th time since 2013 and the second time in two months in St Petersburg. The growing relationship between China and Russia is a hugely important one. It has the potential to redefine global trade patterns and shift the global balance of economic and geopolitical power. Driven by need and by economics, this is relationship that is only set to grow and for that a big thanks goes to Mr Trump.

<p>It may not feel like it. It may not smell like it. But make no mistake Hong Kong is in recession. We are underweight in our relative regional equity portfolio.  The only positives are that the real cost of lending is easing (which might bring some relief to mortgage owners) and Hong Kong corporate balance sheets are in good shape to weather the current downturn. But the negative overwhelm these positives.</p>

It may not feel like it. It may not smell like it. But make no mistake Hong Kong is in recession. We are underweight in our relative regional equity portfolio.  The only positives are that the real cost of lending is easing (which might bring some relief to mortgage owners) and Hong Kong corporate balance sheets are in good shape to weather the current downturn. But the negative overwhelm these positives.

United States

iShares Global Materials ETF is an exchange-traded fund incorporated in the USA. The Fund seeks results that correspond generally to the price and yield performance of the S&P Global Materials Index.

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Ishares Global Materials ETF (MXI 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: Cyclicals Sentiment Melts Up into Year-End, Impact Concentrated in Materials Sector

Our text-mining finds that cyclicals sentiment is surging into year-end. While a consensus theme, materials equities have benefited...

Elan Gore

Mr Trump Blinks

With both the US and Chinese economies softening and the US Fed refusing to play ball by lowering interest rates even as China’s PBOC expands...

Sharmila Whelan

To China With Love From Russia

Last week President Xi Jinping met President Vladimir Putin for the 29th time since 2013 and the second time in two months in St Petersburg. The...

Sharmila Whelan

Hong Kong's Growth Mirage

It may not feel like it. It may not smell like it. But make no mistake Hong Kong is in recession. We are underweight in our relative regional...

Sharmila Whelan

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