TMI Indicators:  Korea Relative Strength Continues, Exports Lift Sentiment & Housing Still Robust

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.

Cross Asset Strategy

<ul>
<li>While short-term data has been out of favour as the market envisions a post-vaccine supercycle, our text-mining detects greater relative concern on Korean in the financial media over KRW strength and COVID case counts in recent weeks</li>
<li>Japan, for example, saw similar concerns emerge on surging case counts, but news sentiment has been supported by the recent 40tr JPY stimulus package vs. limited Korean measures</li>
<li>KRW/USD's +10% move is equivalent +2x STDEVs, similar to the magnitude of CNY appreciation in the same period, vs. low single-digit moves in JPY and TWD</li>
<li>Consensus suggests foreign inflows associated with a strong KRW are likely to push the KOSPI higher even if exporter earnings (and exports) are hampered by the currency</li>
<li>While we acknowledge the macro impact of COVID resurgence is merely transitory, a key driver in our recent news attribution is the sharp decline in Korean credit card spending as reported by Shinhan for the second half of November</li>
<li>Less transitory is the KRW, and 801 Korean exporters recent polled by the Korea International Trade Association (KITA) suggested the currency is already beyond their pain threshold</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>


While short-term data has been out of favour as the market envisions a post-vaccine supercycle, our text-mining detects greater relative concern on Korean in the financial media over KRW strength and COVID case counts in recent weeks
Japan, for example, saw similar concerns emerge on surging case counts, but news sentiment has been supported by the recent 40tr JPY stimulus package vs. limited Korean measures
KRW/USD's +10% move is equivalent +2x STDEVs, similar to the magnitude of CNY appreciation in the same period, vs. low single-digit moves in JPY and TWD
Consensus suggests foreign inflows associated with a strong KRW are likely to push the KOSPI higher even if exporter earnings (and exports) are hampered by the currency
While we acknowledge the macro impact of COVID resurgence is merely transitory, a key driver in our recent news attribution is the sharp decline in Korean credit card spending as reported by Shinhan for the second half of November
Less transitory is the KRW, and 801 Korean exporters recent polled by the Korea International Trade Association (KITA) suggested the currency is already beyond their pain threshold
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:  Text-Mining Detects Potential Pullback in Korea Sentiment on KRW Rally & COVID Surge