Global Empirical Forecasts of COVID-19 Trajectories Under Limited Information on the Efficacy of Intervention Strategies

Christopher Joye

Coolabah Capital

We have published a more formal paper on our internal forecasting method for COVID-19, which has projected a peak in the new infection cases in the US and Australia in April. You can download the full paper here. Abstract enclosed:

As the novel coronavirus and its associated disease COVID-19 started to rapidly transmit around the world in early 2020, the financial, social and health impacts represented a 1-in-100 year shock, the likes of which had not been observed since the last global pandemic in 1918 and the Great Depression in 1929. 

A key question for policymakers, medical researchers, and financial market participants was how the disease would propagate in an environment in which it was left unconstrained as compared with preferable alternatives where nation states implemented assertive efforts to mitigate the disease’s adverse effects. 

Medical researchers seeking to advise governments produced theoretical forecasting models, drawing on the epidemiological literature, which have often been too inflexible and abstract for use by financial markets. For this niche user group, empirical, agile, and intervention-aware forecasting methods are paramount, especially those that can accommodate the subjective judgements of different users. 

This paper outlines two such empirical forecasting frameworks for the daily confirmed case counts, eventual case counts, and time to peak daily new case counts for major countries. 

The first framework uses a linear mixed effect model for the case growth rate, accounting for the presence of intervention measures and idiosyncrasies of individual countries. 

The second framework allows users to forecast the case trends of a target country by substituting in the observed effects of interventions from qualitatively similar countries with customisable calibrations to reflect lower efficacies. 

Combined, these two frameworks are especially useful in the early days of the outbreak, when the effects of different countries’ imminent interventions have not yet shown up in observed data, but which can be inferred from similar countries further along their intervention path. 

When first applied and published on March 23, these models projected the peak in daily new COVID-19 case counts for the US and Australia would arrive in early-to-mid April 2020. To the best of our knowledge, this was one of the first early-to-mid April peak projections published globally. 

Whilst not theoretically founded in the mechanisms of infectious disease, such empirical forecast frameworks offer versatile and parsimonious projections for financial market participants seeking to make decisions under conditions of uncertainty apropos the efficacies of different intervention measures around the world.

Download the full paper here.

Disclaimer: This information has been prepared by Smarter Money Investments Pty Ltd. It is general information only and is not intended to provide you with financial advice. You should not rely on any information herein in making any investment decisions. To the extent permitted by law, no liability is accepted for any loss or damage as a result of any reliance on this information. Past performance is not an indicator of nor assures any future returns or risks. Smarter Money Investments Pty Limited (ACN 153 555 867) is authorised representative #000414337 of Coolabah Capital Institutional Investments Pty Ltd, which holds Australian Financial Services Licence No. 482238 and authorised representative #001277030 of EQT Responsible Entity Services Ltd that holds Australian Financial Services Licence No. 223271.

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Portfolio Manager & Chief Investment Officer
Coolabah Capital

Chris co-founded Coolabah in 2011, which today runs over $8 billion with a team of 26 executives focussed on generating credit alpha from mispricings across fixed-income markets. In 2019, Chris was selected as one of FE fundinfo’s Top 10 “Alpha...

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