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>Last month our text-mined indicators pointed to a year-end surge in raw materials restocking coupled with an extraordinary spike in general reporting on price increases globally</li>
<li>With a seasonal slowdown ahead of the Lunar New Year holiday and mobility restrictions, the restocking has faded; buildups in iron ore, steel and zinc inventories confirm a pause in momentum</li>
<li>Despite crowded positioning, copper maintained low beta to mining equities with a single-digit correction vs. the equities correcting closer to -10%; so far both remain near 50DMAs</li>
<li>Our text-mined copper sentiment indicator peaked at a multi-year high of +4.2x STDEVs on January 2, pulling back in recent weeks closer to neutral readings; however sharp, attribution finds the pullback is still primarily associated with pre-LNY seasonal slowdown and the relatively firm USD (as conviction levels on structural copper tightness remain high amid lean inventories)</li>
<li>Lithium sentiment stands out in the YTD, improving to +2x STDEVs on the lithium carbonate spot recovery and improving EV data points</li>
<li>Iron ore and steel diffusion indices have been dropping sharply in the YTD on falling utilization, building inventories and compressing mill margins, finally down to outright negative territory on first signs of vol in iron ore this week</li>
</ul><div class="content-highlight">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. </div>


Last month our text-mined indicators pointed to a year-end surge in raw materials restocking coupled with an extraordinary spike in general reporting on price increases globally
With a seasonal slowdown ahead of the Lunar New Year holiday and mobility restrictions, the restocking has faded; buildups in iron ore, steel and zinc inventories confirm a pause in momentum
Despite crowded positioning, copper maintained low beta to mining equities with a single-digit correction vs. the equities correcting closer to -10%; so far both remain near 50DMAs
Our text-mined copper sentiment indicator peaked at a multi-year high of +4.2x STDEVs on January 2, pulling back in recent weeks closer to neutral readings; however sharp, attribution finds the pullback is still primarily associated with pre-LNY seasonal slowdown and the relatively firm USD (as conviction levels on structural copper tightness remain high amid lean inventories)
Lithium sentiment stands out in the YTD, improving to +2x STDEVs on the lithium carbonate spot recovery and improving EV data points
Iron ore and steel diffusion indices have been dropping sharply in the YTD on falling utilization, building inventories and compressing mill margins, finally down to outright negative territory on first signs of vol in iron ore this week
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:  Metals Points - Restocking Pauses, Copper Sentiment Pulls Back from Extremes

Global Special Situations & Strategy, SR Services Ltd

David Lepper

Global Special Situations & Strategy

SR Services Ltd

SR Services provides Strategic Knowledge and Solutions services for Family Offices and Corporate Business. 

We deliver this via advisory services, strategic planning, opportunity analysis/sourcing, as well as solution implementation. 

Whilst, we create intellectual discipline and operational leverage for your projects or daily activities, our ultimate objective is to empower whilst enhancing your decision making. 

Strategic Knowledge and Solutions

Q3 delivered marked underperformanceOur Q3-2020 Small-Mid Cap High-Risk list of stocks produced an average price increase of 0.3%. In comparison, the MSCI Asia Pacific Index posted an increase of 6.3% over the same period. 15 stocks appear in our Q4 2020 screen, versus 21 in Q3 2020. As we highlighted in the previous three quarters, we are specifically on the watch for the risk of deteriorating credit metrics during 2020. This screen presents names which are worthy of investigation as they present with fundamentals which are at risk.

Q3 delivered marked underperformanceOur Q3-2020 Small-Mid Cap High-Risk list of stocks produced an average price increase of 0.3%. In comparison, the MSCI Asia Pacific Index posted an increase of 6.3% over the same period. 15 stocks appear in our Q4 2020 screen, versus 21 in Q3 2020. As we highlighted in the previous three quarters, we are specifically on the watch for the risk of deteriorating credit metrics during 2020. This screen presents names which are worthy of investigation as they present with fundamentals which are at risk.

Screening the Silk Road: Q4 2020 High Risk Names to Avoid

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Index Rebalance

S&amp;P Dow Jones Indices will announce changes to the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> as part of the December index review on 11 December and the changes will be effective after the close of trading on 18 December.The data cutoff for the December review is 27 November.Using current market data, we expect <a href="https://www.smartkarma.com/entities/tyro-payments-ltd" target="_blank" data-smartkarma-citation="entities:28393:1" rel="noopener">Tyro Payments (TYR AU)</a>, <a href="https://www.smartkarma.com/entities/kogan-com-ltd" target="_blank" data-smartkarma-citation="entities:23575:1" rel="noopener">Kogan.com (KGN AU)</a> and <a href="https://www.smartkarma.com/entities/codan-ltd-australia" target="_blank" data-smartkarma-citation="entities:6189:1" rel="noopener">Codan Ltd (CDA AU)</a> to be included in the index, and see <a href="https://www.smartkarma.com/entities/cooper-energy-ltd" target="_blank" data-smartkarma-citation="entities:14286:1" rel="noopener">Cooper Energy (COE AU)</a>, <a href="https://www.smartkarma.com/entities/western-areas-ltd" target="_blank" data-smartkarma-citation="entities:15497:1" rel="noopener">Western Areas (WSA AU)</a> and <a href="https://www.smartkarma.com/entities/service-stream-ltd" target="_blank" data-smartkarma-citation="entities:18493:1" rel="noopener">Service Stream (SSM AU)</a> as deletion candidates.Sitting very close to the buffer zone, we see a possibility of <a href="https://www.smartkarma.com/entities/de-grey-mining-ltd" target="_blank" data-smartkarma-citation="entities:6192:1" rel="noopener">De Grey Mining (DEG AU)</a> being included in the index, in which case <a href="https://www.smartkarma.com/entities/gwa-group-ltd" target="_blank" data-smartkarma-citation="entities:663:1" rel="noopener">Gwa Group Ltd (GWA AU)</a> could be deleted.

S&amp;P Dow Jones Indices will announce changes to the S&amp;P/ASX 200 (AS51 INDEX) as part of the December index review on 11 December and the changes will be effective after the close of trading on 18 December.The data cutoff for the December review is 27 November.Using current market data, we expect Tyro Payments (TYR AU), Kogan.com (KGN AU) and Codan Ltd (CDA AU) to be included in the index, and see Cooper Energy (COE AU), Western Areas (WSA AU) and Service Stream (SSM AU) as deletion candidates.Sitting very close to the buffer zone, we see a possibility of De Grey Mining (DEG AU) being included in the index, in which case Gwa Group Ltd (GWA AU) could be deleted.

ASX200 Index Rebalance Preview: Changes Down Under in December

S&amp;P Dow Jones Indices have <a href="https://www.spglobal.com/spdji/en/documents/indexnews/announcements/20200903-1214159/1214159_2020.09.04-quarta-200.pdf" target="_blank" rel="noopener">announced</a> changes to the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> as part of the September index review. The changes are effective after the close of trading on 18 September.There are 5 inclusions and 5 exclusions as part of the review.The inclusions are <a href="https://www.smartkarma.com/entities/auckland-intl-airport-ltd-8c26dbc6-035c-46ae-84c3-6401a1d454e4" target="_blank" data-smartkarma-citation="entities:24928:1" rel="noopener">Auckland Intl Airport (AIA AU)</a>, <a href="https://www.smartkarma.com/entities/aub-group-ltd" target="_blank" data-smartkarma-citation="entities:11179:1" rel="noopener">Austbrokers Holdings (AUB AU)</a>, <a href="https://www.smartkarma.com/entities/ramelius-resources-ltd" target="_blank" data-smartkarma-citation="entities:5968:1" rel="noopener">Ramelius Resources (RMS AU)</a>, <a href="https://www.smartkarma.com/entities/westgold-resources-ltd" target="_blank" data-smartkarma-citation="entities:24269:1" rel="noopener">Westgold Resources (WGX AU)</a> and <a href="https://www.smartkarma.com/entities/zip-co-ltd-3708706d-4978-4e29-acbc-d9702b971da9" target="_blank" data-smartkarma-citation="entities:29126:1" rel="noopener">Zip Co Ltd (Z1P AU)</a> and the exclusions are <a href="https://www.smartkarma.com/entities/mcmillan-shakespeare-ltd" target="_blank" data-smartkarma-citation="entities:3023:1" rel="noopener">Mcmillan Shakespeare (MMS AU)</a>, <a href="https://www.smartkarma.com/entities/new-hope-corp-ltd" target="_blank" data-smartkarma-citation="entities:4414:1" rel="noopener">New Hope Corp (NHC AU)</a>, <a href="https://www.smartkarma.com/entities/ooh-media-ltd" target="_blank" data-smartkarma-citation="entities:8662:1" rel="noopener">oOh!Media Ltd (OML AU)</a>, <a href="https://www.smartkarma.com/entities/orocobre-ltd" target="_blank" data-smartkarma-citation="entities:3572:1" rel="noopener">Orocobre Ltd (ORE AU)</a> and <a href="https://www.smartkarma.com/entities/southern-cross-media-group-ltd" target="_blank" data-smartkarma-citation="entities:10374:1" rel="noopener">Southern Cross Media (SXL AU)</a>.Most of the names were expected to be included/excluded from the index. For us, <a href="https://www.smartkarma.com/entities/auckland-intl-airport-ltd-8c26dbc6-035c-46ae-84c3-6401a1d454e4" target="_blank" data-smartkarma-citation="entities:24928:1" rel="noopener">Auckland Intl Airport (AIA AU)</a> was a surprise among the inclusions and <a href="https://www.smartkarma.com/entities/mcmillan-shakespeare-ltd" target="_blank" data-smartkarma-citation="entities:3023:1" rel="noopener">Mcmillan Shakespeare (MMS AU)</a> was a surprise among the deletions.Quite a few stocks have more than 2 days of passive buying/selling. The one stock that does not is <a href="https://www.smartkarma.com/entities/zip-co-ltd-3708706d-4978-4e29-acbc-d9702b971da9" target="_blank" data-smartkarma-citation="entities:29126:1" rel="noopener">Zip Co Ltd (Z1P AU)</a> where volumes have been elevated over the past week following Paypal's entry into the Buy Now Pay Later (BNPL) market that has sent Z1P's stock around 26% lower.Short interest is elevated on <a href="https://www.smartkarma.com/entities/new-hope-corp-ltd" target="_blank" data-smartkarma-citation="entities:4414:1" rel="noopener">New Hope Corp (NHC AU)</a>, <a href="https://www.smartkarma.com/entities/orocobre-ltd" target="_blank" data-smartkarma-citation="entities:3572:1" rel="noopener">Orocobre Ltd (ORE AU)</a> and <a href="https://www.smartkarma.com/entities/southern-cross-media-group-ltd" target="_blank" data-smartkarma-citation="entities:10374:1" rel="noopener">Southern Cross Media (SXL AU)</a> at more than 8 days to cover. Some of these stocks may rise before implementation day as borrows are recalled by passive funds/ index arb desks.

S&amp;P Dow Jones Indices have announced changes to the S&amp;P/ASX 200 (AS51 INDEX) as part of the September index review. The changes are effective after the close of trading on 18 September.There are 5 inclusions and 5 exclusions as part of the review.The inclusions are Auckland Intl Airport (AIA AU), Austbrokers Holdings (AUB AU), Ramelius Resources (RMS AU), Westgold Resources (WGX AU) and Zip Co Ltd (Z1P AU) and the exclusions are Mcmillan Shakespeare (MMS AU), New Hope Corp (NHC AU), oOh!Media Ltd (OML AU), Orocobre Ltd (ORE AU) and Southern Cross Media (SXL AU).Most of the names were expected to be included/excluded from the index. For us, Auckland Intl Airport (AIA AU) was a surprise among the inclusions and Mcmillan Shakespeare (MMS AU) was a surprise among the deletions.Quite a few stocks have more than 2 days of passive buying/selling. The one stock that does not is Zip Co Ltd (Z1P AU) where volumes have been elevated over the past week following Paypal's entry into the Buy Now Pay Later (BNPL) market that has sent Z1P's stock around 26% lower.Short interest is elevated on New Hope Corp (NHC AU), Orocobre Ltd (ORE AU) and Southern Cross Media (SXL AU) at more than 8 days to cover. Some of these stocks may rise before implementation day as borrows are recalled by passive funds/ index arb desks.

ASX200 Index Rebalance: More Changes Than Expected

S&amp;P Dow Jones Indices will announce changes to the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> as part of the September index review on 4 September. The changes are effective at the close of trading on 18 September and passive funds will need to complete their rebalancing activity at or by the close on that day.The data cutoff for the September review is 21 August.We see a high probability of <a href="https://www.smartkarma.com/entities/ramelius-resources-ltd" target="_blank" data-smartkarma-citation="entities:5968:1" rel="noopener">Ramelius Resources (RMS AU)</a> and <a href="https://www.smartkarma.com/entities/zip-co-ltd-3708706d-4978-4e29-acbc-d9702b971da9" target="_blank" data-smartkarma-citation="entities:29126:1" rel="noopener">Zip Co Ltd (Z1P AU)</a> being included in the index and of <a href="https://www.smartkarma.com/entities/southern-cross-media-group-ltd" target="_blank" data-smartkarma-citation="entities:10374:1" rel="noopener">Southern Cross Media (SXL AU)</a> and <a href="https://www.smartkarma.com/entities/ooh-media-ltd" target="_blank" data-smartkarma-citation="entities:8662:1" rel="noopener">oOh!Media Ltd (OML AU)</a> being excluded from the index.Sitting right at the edge of the buffer zone, there is a lower probability of <a href="https://www.smartkarma.com/entities/aub-group-ltd" target="_blank" data-smartkarma-citation="entities:11179:1" rel="noopener">Austbrokers Holdings (AUB AU)</a> and <a href="https://www.smartkarma.com/entities/westgold-resources-ltd" target="_blank" data-smartkarma-citation="entities:24269:1" rel="noopener">Westgold Resources (WGX AU)</a> being included and <a href="https://www.smartkarma.com/entities/orocobre-ltd" target="_blank" data-smartkarma-citation="entities:3572:1" rel="noopener">Orocobre Ltd (ORE AU)</a> and <a href="https://www.smartkarma.com/entities/western-areas-ltd" target="_blank" data-smartkarma-citation="entities:15497:1" rel="noopener">Western Areas (WSA AU)</a> being excluded.

S&amp;P Dow Jones Indices will announce changes to the S&amp;P/ASX 200 (AS51 INDEX) as part of the September index review on 4 September. The changes are effective at the close of trading on 18 September and passive funds will need to complete their rebalancing activity at or by the close on that day.The data cutoff for the September review is 21 August.We see a high probability of Ramelius Resources (RMS AU) and Zip Co Ltd (Z1P AU) being included in the index and of Southern Cross Media (SXL AU) and oOh!Media Ltd (OML AU) being excluded from the index.Sitting right at the edge of the buffer zone, there is a lower probability of Austbrokers Holdings (AUB AU) and Westgold Resources (WGX AU) being included and Orocobre Ltd (ORE AU) and Western Areas (WSA AU) being excluded.

ASX200 Index Rebalance Preview - Couple of High Probability Changes; Couple on the Cusp

Australia

Allkem Limited operates as a specialty lithium chemicals company. The Company's portfolio includes lithium brine and borax operations in Argentina, a hard-rock lithium operation in Australia and a lithium hydroxide conversion facility in Japan.

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Allkem Ltd (AKE AU)

TMI Snapshot: Metals Points - Restocking Pauses, Copper Sentiment Pulls Back from Extremes

The year-end restocking trade has faded into the Lunar New Year, dragging on the reflation trade. Lithium sentiment is the only standout this...

Elan Gore

Screening the Silk Road: Q4 2020 High Risk Names to Avoid

Our Q3 screen delivered 600bps of under performance. With volatility is set to increase as we head into H1 2020, which stocks are most at risk in...

David Lepper

ASX200 Index Rebalance Preview: Changes Down Under in December

S&P Dow Jones Indices will announce changes to the S&P/ASX 200 (AS51 INDEX) as part of the December index review on 11 December and the...

Brian Freitas

ASX200 Index Rebalance: More Changes Than Expected

SP Dow Jones Indices have announced changes to the SP/ASX 200 (AS51 INDEX) as part of the September index review.

Brian Freitas

ASX200 Index Rebalance Preview - Couple of High Probability Changes; Couple on the Cusp

S&P Dow Jones Indices will announce changes to the S&P/ASX 200 (AS51 INDEX) as part of the September index review on 4 September. The...

Brian Freitas

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