1/ Let's talk about quant investing! People tend to label a lot of things "quant", but this muddies the very significant differences between various quant approaches. 2/ An options market-maker, a systematic long-short fund, an HFT platform and a trend/reversal macro trader are all quants, but they do very different things.

I see so many startups whose business plan involves "monetizing the data". Sure, they have a product, and some revenue, but the *real* payoff is the data they're collecting. Or so they say.

PSA: it's not that easy. /1 Selling the data directly is almost always a non-starter. Repeatable, scalable, high-value data sales require a set of conditions that are exceedingly rare. /2

As someone who was trading professionally (and successfully) in both 1999-00 and 2007-08, I have to say it *finally* feels like we're in the late stages of a bull market. I'm not talking about valuations or fundamentals; I'm talking about the zeitgeist. /1 The defining feature of late stage bulls is not price action; it's craziness. Think GameStop, and negative oil, and TikTok investors, and Davey. /2

1/ It's been 6 months since the low point of US markets and economic activity. Ordinarily, we'd see the first academic papers on the COVID recession emerge right around now. But thanks to new sources of data, researchers are way ahead of schedule.

🧵THREAD👇 2/ Let's begin with spending. Chen et al use daily transaction data -- bank cards and QR code usage from UnionPay -- to track the decline of consumer spending across 214 cities in China, one of the earliest indicators of pandemic-induced changes:
papers.ssrn.com/sol3/papers.cf…

Terrific piece on Sutter Hill, Mike Speiser, and the incubation model of venture, from the always insightful @kevinakwok:

https://twitter.com/kevinakwok/status/1308199504315736064

Kevin has a great 2x2 where he points out that most well-known VCs are in the "successful + brand-network-effect" quadrant, for obvious reasons -- they need the inbound deal flow. And Sutter Hill is interesting because it's in the "successful + low-profile" quadrant.

1/ Pricing curves for data are dramatically different from pricing curves for software, hardware, services, or consumer products. A thread of some things I've learned: 2/ Price per data point first increases, then decreases with quantity. Small datasets are usually worth less than big ones. But beyond a certain point, adding more data points doesn't add marginal information, and hence the price plateaus.

1/ When I was 13 years old, I spent 3 days in the hold of a converted cargo ship, escaping a war zone with nothing more than what I could carry in a small backpack.

🧵THREAD 👇 2/ Exactly 30 years ago, on August 2nd 1990, Saddam Hussein's army invaded Kuwait. I remember it clearly; I was there.

You don't have to invoke magic or time travel to explain Renaissance Technologies and their amazing track record. First-mover advantage suffices. (1/N) Consider this sequence of events:
- Rentec discovers a persistent source of mispricing in the market.
- Rentec trades *fast* to capture this mispricing.
- Rentec's activity forces prices to converge. (2)

1/ Gather round and let me tell you about Alfred Winslow Jones: you may have never heard of him, but he's one of the most important financiers of the 20th century. 2/ Jones was born into privilege; his father was a Gilded Age executive while his mother came from a blue-blooded east coast family. Jones himself went to private school and then to Harvard.

1/ More graphs and data on the real-time impact of COVID-19 on the economy: planes, trains and automobiles edition. 2/ US Railroad Traffic has bottomed out and recovered slightly in the last 4 weeks, per aar.org:

1/ It's been a while since I did one of these: a thread of charts and data on the real-time economic impact of COVID-19, from @Quandl and other sources. 2/ Let's begin with US car purchases. Daily sales data (inferred from daily insurance policy sales) shows a definite rebound from the lows of early April.

🌇 It’s time to build, says @pmarca. But why haven’t we been building? Where did our ambition go? *What went wrong?*

✍️New essay by me: abrahamthomas.info/sterner-stuff/

🧵👇 Summary thread below: Theory #1: We're still building, just elsewhere. Software and information, not heavy engineering. Infrastructure and development, most notably in China, but really all over the globe, just not in the USA.

1/ Revisiting this question from last month. How do you reconcile unprecedented economic stress -- small businesses wiped out, record unemployment -- with the S&P 500 being down just 13% from its all time high? Sharing a few notes from thoughtful observers: 2/ @SuperMugatu summarizes the fundamental case: Fiscal policy has bridged the unemployment cash shock. States are ready to reopen. Capital markets remain functional. Earnings are strong. Some firms may fail, but the system as a whole is fine. medium.com/@dan_60967/dev…

1/ Aliens exist. They live among us. We call them corporations. 2/ Like other lifeforms, corporations are born, grow, get old, and die. Some of them are ephemeral. Others live for decades.

1/ Can't stop thinking about Disney. A few months ago looked unstoppable: content (movies, live sports, IP) and experiences (theme parks, cruises, merch) coming together in an impregnable positive feedback loop. 2/ It's hard to envisage an economic shock that would specifically target cruises, live sports, theme parks and movie theatres, while leaving (say) cable news and streaming largely untouched if not actually improved -- yet the pandemic is precisely that.

1/ Let's keep going! More real-time charts and data on the economic impact of COVID-19. This week we'll look at B2B payments and delayed invoices, big-ticket consumer purchases, and healthcare utilization + revenues. 2/ All businesses manage their cash balances in part by managing the timing of their accounts payable. Our data suggests that in recent months, large firms have delayed their bill payments to an unprecedented degree.

1/ Another week, another thread of COVID-19 econ charts. This week we look at public transport, small business resilience and big business hiring. 2/ Let's start with urban mobility. There's a surprising amount of divergence in commuter volumes across cities and countries.

1/ I see a lot of smart folks on Twitter and elsewhere struggling to make sense of the market. How do you reconcile unprecedented economic stress -- small businesses wiped out, skyrocketing unemployment -- with stocks being down just 18% from their all time highs? 2/ There are a few ways to answer this question; let me put on my hedge fund hat and take a stab.

1/ THREAD: Time for another set of charts on the real-time economic and market impact of COVID-19, using proprietary data from @Quandl: 2/ Let's start with e-commerce, where we have first-party data that captures transactions by category and not just by store.

1/ THREAD: Real-time charts on the economic impact of COVID-19, using data from @Quandl and other sources both proprietary and public 👇 1/ Daily flight booking activity to and from China. Dropped >80% YOY in February. A couple of brief upticks in March but not robust or persistent; as of March 30, still down 85% YOY.

New research note from @lopezdeprado and Alex Lipton, published just this morning: Three Quant Lessons from COVID-19, papers.ssrn.com/sol3/papers.cf…. Interesting advice that I'll try to summarize below. 👇 Lesson 1: Quants should add "nowcasting" to their arsenal. Classic quant is "forecasting": using structured data to feed models (time-series, factors) that make long-range predictions. This made sense when data was limited and infrequent, but that's no longer the case. /2