Introducing TMI Data Science: Delivering Alpha With Custom NLP-Based Leading Indicators

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.

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