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>Data from ~30 million participants in the Chase credit card panel (US) has shown a pullback in spending in recent weeks</li>
<li>The pullback appears to be independent of mobility dynamics, as in-person shopping outperformed overall spending</li>
<li>We text-mine the media for first-person accounts of hardship to find an increase in reported layoffs &amp; reduced personal spending, but the magnitude of increase has been encouragingly small (&lt;1x STDEV) so far relative to readings seen in H1</li>
<li>As we highlighted in <a href="https://www.smartkarma.com/insights/tmi-snapshots-quantifying-relative-sector-sentiment-in-the-recent-rotation-via-text-mining" target="_blank" data-smartkarma-citation="insights:45278" rel="noopener">TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining</a>, the cyclical rotation is alive and well on mid-term vaccine-driven recovery expectations; but the potential for vol around year-end funding or seasonal dynamics may be amplified by these weak Q4 trends once they appear in official macro releases</li>
</ul>


Data from ~30 million participants in the Chase credit card panel (US) has shown a pullback in spending in recent weeks
The pullback appears to be independent of mobility dynamics, as in-person shopping outperformed overall spending
We text-mine the media for first-person accounts of hardship to find an increase in reported layoffs &amp; reduced personal spending, but the magnitude of increase has been encouragingly small (&lt;1x STDEV) so far relative to readings seen in H1
As we highlighted in TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining, the cyclical rotation is alive and well on mid-term vaccine-driven recovery expectations; but the potential for vol around year-end funding or seasonal dynamics may be amplified by these weak Q4 trends once they appear in official macro releases


TMI Snapshot: High-Freq US Spending Data Pullback Looks Independent of Mobility, But Is It Relevant?

<ul>
<li>We text mine the global financial media to quantify short-term dynamics in sector sentiment looking for expressions referring to specific GICS sectors (i.e. energy, materials, industrials, consumer discretionary, consumer staples, health care, financials, tech, utilities) via sentiment analysis of associated articles</li>
<li>Of the cyclical sectors, the relative surge in sentiment (vs. tech) has been most dramatic in Financials and Materials, and more measured in Energy and Industrials</li>
<li>We find that relative sentiment on cyclicals previously surged after the June and September VIX spikes; current relative sentiment readings for industrials, materials and energy are still below levels seen in the June and September episodes</li>
<li>On an absolute basis, Tech sector sentiment has corrected from +2.2x STDEVs to neutral in the past 2 weeks</li>
<li>Similarly, we recently saw declines in Health Care, Utilities and Staples sentiment to neutral/negative readings, though less dramatic than the move seen in Tech</li>
<li>Financials appear to be the only sector where sentiment has surged more than +2x STDEVs in recent weeks</li>
<li>Importantly, the most recent short-term reversal in cyclical sector sentiment clearly began in the final week of October, well ahead of the elections and Pfizer news</li>
</ul>


We text mine the global financial media to quantify short-term dynamics in sector sentiment looking for expressions referring to specific GICS sectors (i.e. energy, materials, industrials, consumer discretionary, consumer staples, health care, financials, tech, utilities) via sentiment analysis of associated articles
Of the cyclical sectors, the relative surge in sentiment (vs. tech) has been most dramatic in Financials and Materials, and more measured in Energy and Industrials
We find that relative sentiment on cyclicals previously surged after the June and September VIX spikes; current relative sentiment readings for industrials, materials and energy are still below levels seen in the June and September episodes
On an absolute basis, Tech sector sentiment has corrected from +2.2x STDEVs to neutral in the past 2 weeks
Similarly, we recently saw declines in Health Care, Utilities and Staples sentiment to neutral/negative readings, though less dramatic than the move seen in Tech
Financials appear to be the only sector where sentiment has surged more than +2x STDEVs in recent weeks
Importantly, the most recent short-term reversal in cyclical sector sentiment clearly began in the final week of October, well ahead of the elections and Pfizer news


TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

While the S&amp;P 500 has hit marginal new highs, price action of the S&amp;P 500 and the price and RS of several Sectors/subsectors is similar to the periods leading up to the October 2018 and May 2019 breakdowns. We draw several similarities in today’s report, and we continue to believe upside is likely to be muted from here barring additional positive developments.

While the S&amp;P 500 has hit marginal new highs, price action of the S&amp;P 500 and the price and RS of several Sectors/subsectors is similar to the periods leading up to the October 2018 and May 2019 breakdowns. We draw several similarities in today’s report, and we continue to believe upside is likely to be muted from here barring additional positive developments.

U.S. Equities: Mixed Signals Punctuate Muted Outlook

The S&amp;P 500 is consolidating under 2,954 - logical resistance - as market participants are in wait-and-see mode for incremental trade news ahead of the Trump/Xi G20 meeting later this week. While a breakout is certainly possible, we believe additional consolidation is the more likely scenario. In today's report we highlight a mix of positive and negative developments which lead us to this conclusion along with updates on other big picture trends. Also highlighted are attractive Groups and stocks within Materials, Health Care, and Utilities: Gold, Western Hemisphere, Cardiovascular Products, and Gas, Midwest.

The S&amp;P 500 is consolidating under 2,954 - logical resistance - as market participants are in wait-and-see mode for incremental trade news ahead of the Trump/Xi G20 meeting later this week. While a breakout is certainly possible, we believe additional consolidation is the more likely scenario. In today's report we highlight a mix of positive and negative developments which lead us to this conclusion along with updates on other big picture trends. Also highlighted are attractive Groups and stocks within Materials, Health Care, and Utilities: Gold, Western Hemisphere, Cardiovascular Products, and Gas, Midwest.

U.S. Dollar Breaking Down; Gold Breaking Out

Recent comments from Fed Chair Powell and the U.S.-China 90-day ceasefire agreement have drastically diminished (for now) concerns over two major sources of investor angst: (1) the pace of Fed tightenings and (2) trade policy. The S&amp;P 500 has opened trading today near the 2,817 resistance, a key level we are monitoring. The impending breakout - or breakdown below ~2,600 support, if resistance holds - will be key in determining where the market goes next.  In this report we highlight actionable Industry ETFs, broad EM ETFs and actionable Int’l ETFs, as well as sector rating changes: we are downgrading Technology (XLK) and upgrading Financials (XLF).

Recent comments from Fed Chair Powell and the U.S.-China 90-day ceasefire agreement have drastically diminished (for now) concerns over two major sources of investor angst: (1) the pace of Fed tightenings and (2) trade policy. The S&amp;P 500 has opened trading today near the 2,817 resistance, a key level we are monitoring. The impending breakout - or breakdown below ~2,600 support, if resistance holds - will be key in determining where the market goes next.  In this report we highlight actionable Industry ETFs, broad EM ETFs and actionable Int’l ETFs, as well as sector rating changes: we are downgrading Technology (XLK) and upgrading Financials (XLF).

Global ETF Synopsis: Highlighting Technical Trends Across the ETF Universe

United States

Consumer Discretionary Select Sector SPDR Fund is an exchange-traded fund incorporated in the USA. The ETF tracks the performance of the Consumer Discretionary Select Sector Index holding primarily large capitalization companies domiciled in the US. The ETF weights its holdings using a modified market cap approach, generally investing at least 95% of its assets in the index

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Consumer Discretionary Select (XLY US)

TMI Snapshot: High-Freq US Spending Data Pullback Looks Independent of Mobility, But Is It Relevant?

Chase US card spending data has pulled back in recent weeks, and our own text-mined data has seen a mild increase in reported financial hardship. ...

Elan Gore

TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining

We quantify recent sector sentiment dynamics through the lens of text mining. The current cyclical rotation is in its early innings, as relative...

Elan Gore

U.S. Equities: Mixed Signals Punctuate Muted Outlook

While the S&P 500 has hit marginal new highs, price action of the S&P 500 and the price and RS of several Sectors/subsectors is similar to...

Vermilion Research

U.S. Dollar Breaking Down; Gold Breaking Out

The S&P 500 is consolidating under 2,954 - logical resistance - as market participants are in wait-and-see mode for incremental trade news...

Vermilion Research

Global ETF Synopsis: Highlighting Technical Trends Across the ETF Universe

Recent comments from Fed Chair Powell and the U.S.-China 90-day ceasefire agreement have drastically diminished (for now) concerns over two major...

Vermilion Research

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