Portfolio Manager vs Revisions

• Data can be revised ex-post, decisions and positions cannot!??
• There are three main criteria that most pros focus on to evaluate new signals/data sources for trading - speed, uniqueness or orthogonality, and impact.?
• A fourth, more subtle one, is stability. If the signal gets revised a ton, it is not as useful.?
• Atlanta’s Fed GDPNOW US growth nowcast for Q2 has changed dramatically from 4.2% two weeks ago to 2.7% today whereas macroX’s growth nowcast has changed from 2.5% to 2.2%
• Careless ex-post statistical tests will assume that one knew Q2 GDP to be 2.7% the whole quarter and would have traded accordingly! But we know that is not the case - so be careful quant friends!
• More stable data results in conviction and, when trading, conviction results in speed and alpha?
• The data revision issue is discussed in more detail in our founder Apurv Jain 's book chapter here

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This communication is provided for information purposes only. It is a sample output from some of our ML/AI models that are in the process of being tuned and generated purely for feedback purposes.

Sources used to generate the outputs include Nickolay A. Krotkov, Lok N. Lamsal, Sergey V. Marchenko, Edward A. Celarier, Eric J.Bucsela, William H. Swartz, Joanna Joiner and the OMI core team (2019), OMI/Aura NO2 Cloud-Screened Total and Tropospheric Column L3 Global Gridded 0.25 degree x 0.25 degree V3, NASA Goddard Space Flight Center, Goddard Earth Sciences Data and Information Services Center (GES DISC), Accessed: [2024-03-29], 10.5067/Aura/OMI/DATA3007, Google Trends (https://www.google.com/trends), lexisnexis (https://www.lexisnexis.com/en-us/professional/research/nexis.page), Trading Economics Data. https://tradingeconomics.com, Indeed Hiring Lab. https://www.hiringlab.org/, Zillow Research data. https://www.zillow.com/research/data/, Numbeo. https://www.numbeo.com/cost-of-living/, Data Source: https://www.newyorkfed.org/ and U.S. Department of Transportation, Bureau of Transportation Statistics, National Transportation Statistics 2000, BTS01-01 (Washington, DC, U.S. Government Printing Office, April 2001).

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