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

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

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

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

Multiple Countries / 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


Hang Seng China Enterprises Index (HSCEI INDEX)

Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX EQUITY)

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