Last Friday, Macron floated the idea of a new general lockdown in France. Ouch. And because I’m fed up with reading so much garbage and contradictory stuff on Covid, I decided to have a hard look at the French data. A (long but important) thread.
The questions I want to answer:
How bad is the 2nd wave?
How fast is it growing?
Does it affect only young people as some claim?
Is Covid really treated better?
Is the fatality rate really going down?
Can the government stop the 2nd wave quickly enough?
All important questions.
BTW this is French data but I suspect the data looks the same all over Western Europe, with time lags.
How bad is the 2nd wave? The most important thing to know is this: forget cases data, they are useless because the first wave was grossly underestimated (a factor between 10x and 20x imo).
So what can we use? Hospital data, which is consistent, homogenous, and objective. But how? There are so many data series to look at. Let’s start simply with ICU+Hospitalisations for all age groups. Image
It looks like we’re still quite away from the peak, but growing fast. Is this biased by a specific age group or another effect?
To double-check I used a PCA to identify the main factor in all hospital time series. It turns out one factor explains 80% of the variance (of 40 series!) so this is clearly the pandemic factor, and here’s what it looks like over time. Image
We’re growing dangerously fast towards the previous peak.

But how fast? That’s QUESTION 2.
You’ve all heard about R, the famous reproduction number…that no one can reproduce because it’s so complex to estimate!
See e.g. the recent thread of @gro_tsen. One main problem is again the shitty case data. Here’s what R estimates look like with EpiEstim, (state of the art) Image
If you really believe the left part of the chart I have a bridge to sell to you. How can we get around this problem? By using hospital data, again.
Sure, it’s not a proper “epidemic incidence data” per se, but if the % of people going in ICU or hospital is more or less constant, the curves have the same shape and R are the same. Here are the R estimates we get using hospital incidence data.
Daily hospital arrivals Image
Daily ICU arrivals Image
Daily deaths Image
Very interestingly, all estimates are consistent, as you can see below with a comparison of current R estimates for all series. (sorry, I’m lazy, labels still in French “réanimations” = ICU) Image
So that’s our answer: R is approximately 1.2, which means numbers double every 20 days and we should get to the (dramatic) ICU peak in 25 days.
QUESTION 3: does Covid hit mostly the young now? Short answer: No, that’s bullshit. Detailed answer now.
First clue, let’s look, for each age group, at its share of total Covid ICU, Hospi, Deaths data, compared to the demographic share. No big surprise there, except the ICU share of the very old which is important and I’ll discuss later. Image
Did that change over time? I split in three groups: all data, data before first peak and data since September. I get this.

First in hospital Image
In ICU Image
And deaths Image
If you can spot a change there… you’re good, and it’s only in ICU data for the very old. The rest is almost perfectly stable.
If you still don’t believe it, here’s a chart showing the (rescaled) hospitalization data for all age groups vs. the 20-29-year-old, per 100k. The two curves are almost perfectly superposed which means there’s no real difference in 1st wave and second wave. Image
You can use all statistics (hospitalisations, deaths, ICU) and age groups and you will get to a similar conclusion. Except one: ICU for 80+. This is the most horrible chart I know. Older people are now getting A LOT in ICU. Image
In a way it’s good, it means they get treatment, but unfortunately, what it also means is that hospitals were so swamped in the 1st wave that they had to make horrible ethical choices and had to let the oldest die without any possibility of intensive care. Grim.
What it also explains is the fact that hospitalizations grow less quickly than ICU in the second wave: that’s because we have more older people going into ICU than before.
Another relevant question: do older people in hospitals lag younger ones? In other terms, is it the young who infect the old? Here’s a cross autocorrelogram of 20-29 yo vs 80-89 yo. Image
Yes, it’s not symmetrical so the young get in the hospital first, but the effect is small (correlation weighed- lag is 2.7 days)
How bad is the disease now compared to the first wave?
It’s impossible to use fatality rates or hospitalization rates to answer that question because (AGAIN) cases data from the first wave are USELESS.
So let’s look at the other possible "transition": the share of people in the hospital going to ICU (but we have to be careful with the oldest age groups, see above). That’s what I get with all age groups. Image
The very good news is that for the same hospitalization rate, we have now approx. 25% less ICU. Clearly, hospital doctors are better equipped to deal with the disease. But it’s not true for everyone. The effect is strong for younger age groups. Image
But fades away for older age groups. Image
Does Covid kill less? I’m not a big fan of that question, because it makes the disease a kind of binary thing (you die or not) and ignores possibly long-lasting consequences.
Still, I can't deny it’s an important question.
If you look at a representative age group (70-79, other curves are similar) we get the same message as earlier: you die less (almost half less !) going to the hospital now than in the first wave. Image
However, this effect is also fading away as you’re older. Image
The reverse is true for ICU! There is no improvement in the fatality rates in ICU for the 60-69 age group, but it’s getting better for older people (which I suspect is due to the very different ICU admission policy for older people) ImageImage
The daily mortality rates in hospitals and ICU confirm this view (here for the 70-79 age group). ImageImage
Those curves also show a worrying trend: the daily mortality in hospitals is increasing, suggesting a lower quality of care as some hospitals get swamped again. (There is also obviously a lagging effect)
SIXTH QUESTION: can the government stop it quickly enough?

Yeah, I’d really like to know the answer to that one.
First, it’s clear that the incidence data (hospi, ICU or deaths) is strongly autocorrelated as the auto correlogram below shows. You’re not stopping this overnight. Image
The best approach to see what’s going on with autocorrelated data is to use an ARIMA model, and here’s the 1-week forecast of hospital incidence taking into account the weekly seasonality. Image
The problem with that kind of model is obviously that it misses the bigger point: how does R move over time? There are two main drivers imo: the number of social contacts and precautionary measures taken during those contacts.
Hard to have a view on the second topic, but the first can be measured using Google mobility data. When I correlate GMD with rolling estimates of R I find that the key variable is “transit” (but “Home” is also very useful.)
Indeed, if you plot Transit vs R with a 12-day lag, you get this (yeah, I know, borderline chart crime, but this is not an easy thing to estimate!) Image
I’ve used another approach which is to fit an optimized VARMA model on both series and to measure the so-called impulse function, i.e. how long does it take for the changes in one variable to feed into the second variable. Image
14 days are necessary to get a full effect, 8 days will get you half the job done.
What’s the general conclusion of this?

In France, 2nd wave is like 25th march on 1st wave, growing fast (R=1.2, doubling every 20 days, ICU peak in 25 days.)

There’s no difference in the age split of the pandemic in 1st and 2nd wave expect that now older people go into ICU
Hospital care is better (25% better) but deteriorating.

There’s no big difference for older people.
Based on Google mobility data, any measure will feed into hospital data with a 10-14 lag.

We should (could?) see the impact of curfew soon in the data.

If we don’t, the government will have a week (more or less) to decide new measures.
@phl43 @Sime0nStylites @DavidKeo @spignal

(Tagging a few poor souls stranded in our forsaken land)
With better resolution sorry Image
With better resolution Image
With better resolution Image
(I should point out that all charts comparing age groups are rescaled for a size effect among each group!)
Thanks to @BiasedStats for spotting an error in this chart (and another one); I plotted the wrong column of data for deaths (the conclusion is exactly the same, though). Image
And this one had the same error Image

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More from @jeuasommenulle

Nov 12
The true nature of crypto was revealed a few years ago, but few people noticed. Billionaire investor William James was giving a conference on yield farming / DeFi. He said this would fail because of the lack of underlying cash flows. You’ll never believe what happened next.
James was accosted by a little old lady. "Your theory that yield farming will fail because there are no cash flows & new investors are needed to remunerate old ones has a very convincing ring to it, Mr. James, but it's wrong. I've got a better theory," said the little old lady.
"And what is that, madam?" inquired James politely.

"That all cryptos are backed by of a giant turtle." said the old lady.
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Oct 25
A thread on a major political issue in the US & current litigation about it: the Biden plan on student debt relief.

Interestingly, it’s connected to the debate about inflation and banks…
You’ve all heard of the plan.

Legally, it’s not watertight. It’s based on the HEROES Act (a 9/11 legacy) which allows for debt waivers in case of national emergency but

a) covid is (kind of) over and
b) waiver isn’t cancellation
So unsurprisingly it’s been challenged in court by some GOP states.

This is where it gets fascinating. Indeed, a few days ago the lawsuit was dismissed because…of lack of standing!

Why? Here come the subtlety.
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Oct 24
How do global 10y yields jointly move?

Fairly basic stats tools tell us two factors are enough to have a good view on those movements.

I compared those factors on the long term (2000+) and since 2021 (inflation + higher yields).
Here's the 1st factor : long term, this factor influenced less peripheral Europe & Japan.

Interesting to point out that Portugal & Italy are now well in the pack and move along global rates.

Japan still different.

But wait for the next factor Image
This factor used to be easy to interpret : it was the periphery vs. the rest of the world, i.e. countries with a cerdit risk vs countries with a rates risk (blue bars), so a risk on risk off factor

Now ?

There's Japan and the rest of the world. Nothing else mattters. (orange) Image
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Oct 18
The UE is not only the Eurozone, and the action is not only “lo Spread” in Italy.

Hungary and Poland are also important items on the agenda of EU leaders.

Let's look at their situations and the challenges.
In Hungary, the HUF has collapsed -11% YTD, CPI is at 19.8% & 2023GDPe is only +1.2%

The MNB had to launch emergency overnight facility at 18% with upper end of the corridor at 25% and has committed to provide FX from its FX reserves to buy gas! (Highly unusual move for a CB).
At the same time, Hungary is engaged in difficult discussions with the EU over structural & next gen funds (€7.5bn + €5.8bn), that’s 10%+ of GDP, so e.g. 260bn equiv. for FRA! Hungary voted 4 anti-graft bills so the EU extended the deadline from 18/10 to 19/12.

Money time!
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Oct 13
A LOT has been written about LDIs, but I haven’t seen much about actual numbers.

How much money are we talking about exactly ? Is there a pension black hole ?

Here are a few estimates. You might be surprised.
1) +100bps in 10Y Gilts --> +£160bn of collateral required 😱 And look at YTD Gilt yields.
2) Approx ~£200bn already delivered.
3) At least £120bn still missing --> more selling pressure

That's for liquidity. But what about "solvency" ? (Or net economic situation)
1) Pension assets fell from 1.86tn to 1.41tn
2) Pension liab fell from £1.80tn to £0.94n !
3) Surplus is up +410bn$ !!!
That's your pension manager right now
Read 4 tweets
Oct 3
I haven’t tweeted much about Credit Suisse mayhem over the weekend – mostly because I found the tweet that triggered the whole thing a bit silly.

Btw the tweet has been deleted and if I were the journalist, I wouldn’t feel very at ease.

But the price action warrants a thread!
What happened? Credit Suisse has had a rough time recently.

Greensill, Archegos and other litigations plagued the bank and eroded confidence. CS has also changed management several times.

Effectively, CS is the new Deutsche : every time shit hits the fan it's for them!
Just like Deutsche did, CS needs a restructuring plan to favour capital-light businesses and overhaul its support functions.

It is in this context that we got a full house of rumours recently.

Not long ago, the bank was allegedly looking to do a 5bn capital increase.
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