1.
여전히 매일 많은 글이 올라오는 Zerohedge. JPMorgan의 보고서와 관련한 글이 올라왔습니다. This Is Where The World Is On The “Corona Curve” At This Moment: Over The Hump라는 제목인데 Corona Curve를 통하여 현재 코로나사태가 어디에 위치하는지를 보여주고 있습니다. Corona Curve는 크게 세가지 중요한 지점을 두고 있습니다. infection growth rate slowdown (checkpoint A),net infections start to decline (checkpoint B), midpoint of recovery stage (checkpoint C)라고 명명합니다.
- Point A: This is the spot where growth of net infections (= total infections – total recoveries – total death) consistently stays below 50% W/W. Based on backward calculation on the secondary infection rate in China and Korea, JPM estimates an average secondary rate (Ro) is around 2.0. Thus, once the net infection growth rate for a week has stayed below 50% W/W, it would imply high single-digit daily infection growth rate potential. In other words, new infections become small and recoveries are developing. Considering about 2-3 weeks of the virus cycle from symptoms to release, it would be viewed that the curve is in early control stage. Under the assumption that the trend would continue, discussion on relaxed forms of social distancing could be started. The risk of point A is that as daily recoveries are small and new infections are in early control, increasing social activities through the relaxation of social distancing would create possible “acceleration” of the infection curve which would put great pressure on hospital capacity and future public healthcare interventions as a “U-turn” on policy that re-introduces stricter social distancing until the curve is in better shape is deemed to be more costly. This sudden jump of the infection tally amidst the curve control stage is called a “tipping point”, recent infection statistics in Singapore could be good evidence, although we could see soon if the curve is to be in better control again.
- Point B: This is the spot where total infection growth is below low single-digits or when net infections start to decline (i.e., new infections < new recoveries). As this suggests that a smaller population has newly been in contact with infections and more infections are in the stage of recovery, with aggressive virus testing and a certain degree of social distancing, the curve could continue to move toward a recovery trend. In this curve stage the utility function could be optimised with relatively milder disagreement among stakeholders. At this stage, as total infections/ susceptible is largely under control, the curve could face potential acceleration of the infection tally, and risk would be a possible “rebound” on the curve.
- Point C: This is the curve in the full recovery stage (i.e., very few new infections, more recoveries). If there is a strong conviction that infection is only a one-time event with one curve, this could be the ideal strategy. Closing the curve clearly means that the society could remove future uncertainties related to infection risk. However, as most view that COVID-19 could last in society until a vaccine is fully available to the public with a possible series of infection waves, this could be a relatively safe point to resume the economy, although the overall level of hospital capacity and guidance on relaxed forms of social distancing would be of added importance. Compared to point A or B, the risk on curve control should be lower at point C. The caveat is that, even though re-opening of the economy resumes at this point, it does not mean that society would fully close the curve. Thus, the risk of a second wave could be a possible scenario. Perhaps, the infection curve in the real world would be similar to the one below.
이런 개념으로 코로나사태의 현재를 그리면 아래와 같습니다.
그러면 어떤 흐름으로 코로나사태가 진행될까요? 파동형입니다. 혹 JPMorgan이 발행하는 코로나보고서를 보시려면 Coronavirus (COVID-19) research를 참고하세요. 정기적으로 업데이트를 하고 있고 PDF로 확인하실 수 있습니다.
2.
본론입니다. Three Quant Lessons from COVID-19에서 소개하였던 Marcos Lopez de Prado 교수가 앞서 보고서에 이어지는 새로운 보고서를 내놓았습니다. 코로나위기에서 벗어나기 위한 출구전략을 주제로 합니다.Exit Strategies for COVID-19: An Application of the K-SEIR Model (Presentation Slides)에서 확인하실 수 있습니다.
그러면 코로나위기에서 높은 수익율을 올린 곳이 있을까요? 헤지펀드중 75%가 손실을 보았다고 하지만 높은 수익율을 올린 곳이 몇 있습니다. 그중 하나가 “World’s Most Bearish Hedge Fund” Makes Revolutionary Transformation To His Investing Approach이 소개한 Horseman Golbal입니다.
또다른 곳은 Renaissance’s $10 Billion Medallion Fund Gains 24% Year to Date in Tumultuous Market이 소개한 Renaissance Technologies로 2020년 수익율은 24%입니다.
이유가 무엇일까요? 다 아는 이야기이지만 Jim Simons’ Legendary Medallion Fund Up 36% In 2020, Expects More Volatility Ahead은 다음과 같이 정리합니다.
During market collapses, most investments tend to plummet in unison, which can make it hard for Medallion to profit. That phenomenon may help explain why the fund treaded water in early March. In the aftermath of these difficult periods, and as markets settle, Renaissance’s 35,000 computer processors comb 30 trillion bytes of data each day searching for mispricings.
Renaissance’s predictive models, developed by the firm’s 320 or so string theorists, astronomers and other scientists and mathematicians, are built on more than 10 million lines of computer code and rely on historic prices and other data. Preset algorithms generate all its trades, eliminating human emotion from the investing decision.
In fact, because Renaissance’s system employs elements of machine learning and is so complicated, it can be challenging for the firm’s own executives to immediately understand why the firm is doing well or poorly. Some of them believe their gains, at least in part, could result from mistakes rival investors make during challenging markets.
“The computer runs itself and we hardly ever interfere, the machine tells us what we should do,” says someone close to the firm. “Every experience we’ve had shows that humans mess up worse than machines.”
Medallion is a “medium-frequency” trading firm, generally holding its investments from “moments to months,” in the words of an employee, rather than milliseconds, like high-frequency firms. Still, Medallion also can benefit from volatile markets like those trading shops.
There may be reason to think investors should brace for continued market volatility, at least according to Renaissance’s predictive models. In late March, Medallion’s investors were given the opportunity to put more money in the hedge fund so the firm could expand its size. That move may have been made because the computers anticipate more opportunity for profits—and more volatile and challenging markets—in the months ahead.
