US Benchmark Research Articles

The Importance and Application of Bonds in the Stock Market

The bond market plays a role in predicting the economy and making portfolio selection for investors. More information can be obtained by analyzing the yield curve. Based on this, this paper mainly describes the role of the bond market and related measurement and analysis methods in detail. This article choose the relationship between the US benchmark interest rate and the yield of the US 10-year Treasury bond, as well as the relationship between the yield of the US 10-year Treasury bond and its price to analyze interest rate risk. Meanwhile, by quantifying the elements in the portfolio and comparing the data, this paper expounds the management and impact of duration, continuity and cash flow matching on the risk of bond market investment. The results shown that the bond market has the function of forecasting and giving investors more choices, and for the risk strategy, the use of a variety of methods will help to reduce risks and increase returns. These help people regard the bond market more effectively and clearly.

Comments: The Stark Realities of Energy Supply

Natural gas is considered the transition fossil fuel to move the world toward a meaningful reduction in global greenhouse-gas emissions. But the clampdown of Russia’s natural gas supplies shifted the market’s dynamics, and the repercussions are being experienced around the world. Europe is one of the hardest hit by this disruption in natural gas supplies. In a commentary posted on 18 July, Fatih Birol, executive director of the International Energy Agency, called for coordinated actions across Europe to prepare for the coming winter months and for worst-case scenarios of a complete shutoff of Russian gas and limited availability from other sources. Although Russia resumed a reduced flow of gas to Germany via the Nord Stream pipeline on 21 July, there is no certainty about the fluctuations or duration of the flow. Birol wrote, “Europe is now forced to operate in a constant state of uncertainty over Russian gas supplies, and we can’t rule out a complete cutoff.” The start of Europe’s winter heating season is 1 October. Birol called for action to fill European gas storage to adequate levels by reducing current gas consumption and to put that conserved gas into storage. High natural gas prices have led to gas conservation to some extent, but more efforts are required. He wrote that the gas required to be saved over the next 3 months “is in the order of 12 billion cubic metres—enough to fill about 130 LNG tankers,” equivalent to 424 Bcf. To lend some perspective to this, consider that US LNG exports averaged 10.1 Bcf/D in June. This reflects a 1.5 Bcf/D decrease from May because of a fire on 8 June that shut down Freeport LNG in Texas, according to the US Energy Information Administration (EIA). The agency expects US LNG exports to remain below average at 10.5 Bcf/D in the second half of this year. The Freeport LNG shutdown, and the resulting lower demand for LNG export gas, decreased the US benchmark Henry Hub natural gas spot price. It fell by $1.27/MMBtu to $8.16/MMBtu on 9 June and averaged $7.70/MMBtu in June. EIA expects the spot price to continue to decline to an average of $5.97/MMBtu in the second half of this year. European imports of LNG rose by more than 50% in the first 5 months of 2022 compared with the period a year earlier, according to Bernstein, a Wall Street research firm. Although a wide range of shippers have sent fuel to Europe, the major increases in its LNG imports have come from gas produced from US shale. The increased European demand also increased the price of its imported LNG to nearly nine times what it was about 2 years ago, and those higher prices enticed LNG shippers away from Asia. European futures prices have been around $40/MMBtu. The Wall Street Journal compared that to more than $200/bbl for oil, about twice the price for Brent crude, the international benchmark, as of 22 July. In most years, China, Japan, and South Korea have been the major markets for LNG. During the first 5 months of 2022, Asian imports fell by 8%—in part because of slowing demand from China caused by COVID-19 lockdowns. Birol’s commentary began with this sentence: “The world is experiencing the first truly global energy crisis in history.” For Europe, the Russian invasion of Ukraine also sparked a cost-of-living crisis when oil and gas prices soared. Crises, by definition, require immediate and effective actions.

A new method of identifying key industries: a principal component analysis

This article using the principal components analysis identifies key industries and groups them into particular clusters. The data come from the US benchmark input–output tables of the years 2002, 2007, 2012 and the most recently published input–output table of the year 2019. We observe some intertemporal switches of industries both between and within the top clusters. The findings further suggest that structural change is a slow-moving process and it takes time for some industries to move from one cluster to the other. This information may be proved important in the designation of effective economic policies by targeting key industries and also for the stability properties of the economic system.

Balloons up: shorter time to angioembolization is associated with reduced mortality in patients with shock and complex pelvic fractures (original study)

BackgroundAngioembolization has been the gold standard for management of pelvic arterial bleeding, but applicability has been limited by delays in access at many trauma centers. We hypothesized that a quality...

Carry Strategies and the US Dollar Risk of US and Global Bonds

In this article, the authors investigate the ability of currency carry strategies to mitigate the US-dollar risk of US and global bond benchmark indices. Using the Fama-French and currency factors, the authors analyze the bond benchmarks and find that currency carry strategies can easily be modified to suit bond investors, portfolio managers, and allocators. A central finding of the authors is that currency carry strategies help to mitigate the currency risk of the US dollar. Specifically, broad indices (including credit and government exposure) deserve modified carry strategies to mitigate the impact on the US dollar The results show that the exposure to the equity-based profitability factor—one of the factors in the Fama-French five-factor model—is to some extent a natural hedge against the US-dollar risk of high-yield and corporate indices. Moreover, combined currency carry overlay strategies and fixed-income investments generate Probabilistic Sharpe ratios above a certain threshold level. The results suggest that investors should consider modified currency carry strategies rather than simple carry rules when managing both US and global-high yield, corporate, and government debt. The authors also provide a framework that can be used to diversify the impact of individual equity-based factors and the currency style factors on fixed-income benchmarks. TOPICS:Analysis of individual factors/risk premia, factor-based models, style investing Key Findings • Carry strategies seek to reduce the US-dollar risk and improve the risk-return profile of US domestic and global fixed-income investments. The carry strategies can easily be implemented and monitored by portfolio managers and allocators desiring to control for their US-dollar risk. • Fixed-income adjusted currency carry strategies produce better results than the simple carry strategy as measured by the Probabilistic Sharpe ratio. Investors can utilize currency carry and manage the currency risk of corporate and high-yield US and global bond benchmarks. • Currency carry strategies generate diversified factor exposure to the Fama-French factors by mitigating the US-dollar risk and increasing alternative factor exposure.

China and international market integration: Evidence from the law of one price in the Middle East and Africa

We model market integration in the Middle East and Africa by analyzing price dispersion and testing the law of one price (LOP) on highly-comparable actual local retail prices of 135 goods and services across 23 countries in the region over the period of 1990–2016. Second-generation panel estimators are applied to four price benchmarks: Regional average, South Africa, China, and US prices. Cross-regional price dispersion diminishes considerably over time up to 2008, particularly for non-tradeables around China price. The test of LOP indicates the percentage of convergent prices is highest in China price benchmark, followed by US, South Africa, and regional average benchmarks. Direct estimation of the convergence speed confirms this order. Overall, the results show evidence of increasing market integration in Middle East and Africa but it appears to be driven by global forces and, especially, the rise of China as a new economic power. The results show that some emerging market economies, such as China, can step up and promote integration while traditional economic powerhouses, such as the USA and UK, disengage from international economic relations.

Charting the Path Forward: Development, Goals and Initiatives of the 2019 Infectious Diseases Society of America Strategic Plan.

In October 2018, the Infectious Diseases Society of America (IDSA) Board of Directors (BOD) decided to develop a 2019 IDSA Strategic Plan. The IDSA BOD has invested in strategic planning at regular intervals as part of an ongoing process to review and to renew the vision and direction of IDSA. Herein, the 2018-2019 strategic planning process and outcomes are described. The 2019 IDSA Strategic Plan presents 4 key initiatives: (1) optimize the development, dissemination, and adoption of timely and relevant ID guidance and guidelines that improve the outcomes of clinical care; (2) quantify, communicate, and advocate for the value of ID physicians to increase professional fulfillment and compensation; (3) facilitate the growth and development of the ID workforce to meet emerging scientific, clinical, and leadership needs; and (4) develop and position a new tool to serve as the leading US benchmark to measure and drive national progress on antimicrobial resistance. The BOD looks forward to developing, implementing, assessing, and advancing the 2019 IDSA Strategic Plan working with member volunteers, Society partners, and IDSA staff.

PNS54 SYSTEMATIC REVIEW AND BENCHMARKING OF US BUDGET IMPACT ANALYSES

Reimbursement authorities commonly require budget impact analyses (BIA) to support formulary decision-making. However, unlike cost-effectiveness analyses, which rely on the use of cost-effectiveness thresholds for interpretation, proper interpretation of BIA results is hampered by the lack of an accepted gold standard against which they can be evaluated. We conducted a systematic review of full-text, peer-reviewed, US-based pharmacotherapy BIAs to establish benchmarks in reported per-member per-month costs (PMPMCs) and assess how these have been qualitatively interpreted. Systematic PubMed searches (01/2003-10/2018) were conducted to identify published US peer-reviewed BIAs that reported PMPMCs associated with the introduction of new pharmacotherapies. All costs were inflation-adjusted to 2018 US dollars. Distribution of reported outcomes (PMPMCs and BIA authors’ qualitative judgments of their results) and study characteristics (indication and publication year) were analyzed descriptively. We identified 49 BIAs reporting 133 PMPMC estimates (some studies reported PMPMCs of multiple populations/indications/payers/years). Of these 49 studies, 55% were published in/after 2015 and 86% provided qualitative conclusions of BIA results. Most BIAs were conducted in oncology (33%), autoimmune disease (14%), or cardiovascular disease (10%). The median (interquartile range [IQR]) PMPMC across all 133 estimates was $0.01 ($0.00-$0.04). Among PMPMC estimates ≥$0 (n=104), 80% were reported along with interpretations. “Modest,” “small,” or “minimal” were the most commonly used terms to describe result acceptability ($0.00≤PMPMC<$0.01: 27%, 36%, 23%; $0.01≤PMPMC<$0.04: 34%, 31%, 9%; PMPMC ≥$0.04, 33%, 0%, 13%, respectively). Published PMPMC estimates are clustered within a few cents (median: $0.01; IQR: $0.00-$0.04) and have been invariably interpreted as acceptable, despite a 4-factor change separating the median from the 75th percentile PMPMC. Without pre-specified benchmarks, BIA authors should report actual values and refrain from providing qualitative judgement regarding PMPMC acceptability. Future research and guidance are needed to develop a set of US benchmarks to help interpret BIA results.

An Ensemble of LSTM Neural Networks for High-Frequency Stock Market Classification

We propose an ensemble of Long-Short Term Memory (LSTM) Neural Networks for intraday stock predictions, using a large variety of Technical Analysis indicators as network inputs. The proposed ensemble operates in an online way, weighting the individual models proportionally to their recent performance, which allows us to deal with possible non-stationarities in an innovative way. The performance of the models is measured by Area Under the Curve of the Receiver Operating Characteristic. We evaluate the predictive power of our model on several US large-cap stocks and benchmark it against Lasso and Ridge logistic classifiers. The proposed model is found to perform better than the benchmark models or equally weighted ensembles.

Equity Return Modeling and Prediction Using Hybrid ARIMA-GARCH Model

In this paper, a hybrid ARIMA-GARCH model is proposed to model and predict the equity returns for three US benchmark indices: Dow Transportation, S&amp;P 500 and VIX. Equity returns are univariate time series data sets, one of the methods to predict them is using the Auto-Regressive Integrated Moving Average (ARIMA) models. Despite the fact that the ARIMA models are powerful and flexible, they are not be able to handle the volatility and nonlinearity that are present in the time series data. However, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models are designed to capture volatility clustering behavior in time series. In this paper, we provide motivations and descriptions of the hybrid ARIMA-GARCH model. A complete data analysis procedure that involves a series of hypothesis testings and a model fitting procedure using the Akaike Information Criterion (AIC) is provided in this paper as well. Simulation results of out of sample predictions are also provided in this paper as a reference.

The Aggregate Productivity Effects of Internal Migration: Evidence from Indonesia

We estimate the aggregate productivity gains from reducing barriers to internal labor migration in Indonesia, accounting for worker selection and spatial differences in human capital. We distinguish between movement costs, which mean workers will only move if they expect higher wages, and amenity differences, which mean some locations must pay more to attract workers. We find modest but important aggregate impacts. We estimate a 22% increase in labor productivity from removing all barriers. Reducing migration costs to the US level, a high mobility benchmark, leads to an 8% productivity boost. These figures hides substantial heterogeneity. The origin population that benefits most sees an 104% increase in average earnings from a complete barrier removal, or a 37% increase from moving to the US benchmark.

Economic Analysis of Apixaban Therapy for Patients With Atrial Fibrillation From a US Perspective

The Apixaban for Reduction in Stroke and Other Thromboembolic Events in Atrial Fibrillation (ARISTOTLE) trial reported that apixaban therapy was superior to warfarin therapy in preventing stroke and all-cause death while causing significantly fewer major bleeds. To establish the value proposition of substituting apixiban therapy for warfarin therapy in patients with atrial fibrillation, we performed a cost-effectiveness analysis using patient-level data from the ARISTOTLE trial. To assess the cost and cost-effectiveness of apixaban therapy compared with warfarin therapy in patients with atrial fibrillation from the perspective of the US health care system. This economic analysis uses patient-level resource use and clinical data collected in the ARISTOTLE trial, a multinational randomized clinical trial that observed 18 201 patients (3417 US patients) for a median of 1.8 years between 2006 and 2011. Apixaban therapy vs warfarin therapy. Within-trial resource use and cost were compared between treatments, using externally derived US cost weights. Life expectancies for US patients were estimated according to their baseline risk and treatment using time-based and age-based survival models developed using the overall ARISTOTLE population. Quality-of-life adjustment factors were obtained from external sources. Cost-effectiveness (incremental cost per quality-adjusted life-year gained) was evaluated from a US perspective, and extensive sensitivity analyses were performed. Of the 3417 US patients enrolled in ARISTOTLE, the mean (SD) age was 71 (10) years; 2329 (68.2%) were male and 3264 (95.5%) were white. After 2 years of anticoagulation therapy, health care costs (excluding the study drug) of patients treated with apixaban therapy and warfarin therapy were not statistically different (difference, -$60; 95% CI, -$2728 to $2608). Life expectancy, modeled from ARISTOTLE outcomes, was significantly longer with apixaban therapy vs warfarin therapy (7.94 vs 7.54 quality-adjusted life years). The incremental cost, including cost of anticoagulant and monitoring, of achieving these benefits was within accepted US norms ($53 925 per quality-adjusted life year, with 98% likelihood of meeting a $100 000 willingness-to-pay threshold). Results were generally consistent when model assumptions were varied, with lifetime cost-effectiveness most affected by the price of apixaban and the time horizon. Apixaban therapy for ARISTOTLE-eligible patients with atrial fibrillation provides clinical benefits at an incremental cost that represents reasonable value for money judged using US benchmarks for cost-effectiveness. clinicaltrials.gov Identifier: NCT00412984.

Arabic Translation and Adaptation of the Hospital Consumer Assessment of Healthcare Providers and Systems (HCAHPS) Patient Satisfaction Survey Instrument

Objective. To translate and adapt an effective, validated, benchmarked, and widely used patient satisfaction measurement tool for use with an Arabic-speaking population. Design. Translation of survey's items, survey administration process development, evaluation of reliability, and international benchmarking Setting. Three hundred-bed tertiary care hospital in Jeddah, Saudi Arabia. Participants. 645 patients discharged during 2011 from the hospital's inpatient care units. Interventions. the Hospital Consumer Assessment of Healthcare Providers and Systems (HCAHPS) instrument was translated into Arabic, a randomized weekly sample of patients was selected, and the survey was administered via telephone during 2011 to patients or their relatives. Main outcome measures. Scores were compiled for each of the HCAHPS questions and then for each of the six HCAHPS clinical composites, two non-clinical items, and two global items. Results. Clinical composite scores, as well as the two non-clinical and two global items were analyzed for the 645 respondents. Clinical composites were analyzed using Spearman's correlation coefficient and Cronbach's alpha to demonstrate acceptable internal consistency for these items and scales demonstrated acceptable internal consistency for the clinical composites. (Spearman's correlation coefficient = 0.327 – 0.750, P&lt;0.01; Cronbach's alpha = 0.516 – 0.851) All ten HCAHPS measures were compared quarterly to US national averages with results that closely paralleled the US benchmarks. Conclusion. The Arabic translation and adaptation of the HCAHPS is a valid, reliable, and feasible tool for evaluation and benchmarking of inpatient satisfaction in Arabic speaking populations.

Measuring the Prevalence and Incidence of Low Back Pain Disorders Among American Workers in the Aerospace and Defense Industry.

To determine the prevalence and incidence of low back pain (LBP) among workers in the aerospace and defense industry and in a specific company. Claims and demographic data from the Truven Health MarketScan normative database representing more than 1 million workers were drawn from a group of 18 US benchmark companies and compared with one particular company, Lockheed Martin Corporation. The prevalence of LBP in the MarketScan normative group was 15.6% in the final study year (2012), whereas the incidence of new cases was 7.2% and 7.3% in years 2011 and 2012, respectively. Compared with the normative group, the company's prevalence and incidence rates were lower. Women and older workers were more likely to experience LBP compared with men and younger workers. The analysis was used to inform the company's leadership about the health burden of the condition and evaluate alternative treatment options to prevent the incidences and reduce the prevalence of clinical back pain among workers.

Constrained investments and opportunity cost – evidence from Islamic funds

Purpose – The purpose of this paper is to examine the impact of Shariah guidelines on the performance of the Dow Jones Islamic Index (DJIM-US). Shariah or Islamic law is a set of rules that determines Islamic allowed activities including socially and ethically acceptable investments. Design/methodology/approach – The authors apply four risk-adjusted methodologies and co-integration analysis to investigate whether limited asset universe Shariah investments limit investment opportunities and impose an opportunity cost on investors given the prediction of conventional portfolio theories. Findings – In contrast to the prediction of conventional portfolio theories, the findings suggest no apparent opportunity cost for Shariah compatible investments. In particular, Dow Jones Islamic Mutual Funds do not under-perform the broader market US benchmarks nor do they have any co-integration with the broader indexes. Moreover, the authors find similar evidence in the studies of Islamic mutual funds in Saudi Arabia, Malaysia and Kuwait. Research limitations/implications – The findings will be reinforced when the authors will look into long run performance of Shariah compliant funds in future. Using non-linear approach will add further clarity to the findings. Practical implications – The results provide an insight suggesting that successful mutual fund managers are able to overcome Shariah restrictions and constraints through creative investment strategies. In the data set, the Amana Trust Growth fund and the Amana Trust Income fund were always the best performers with a highly significant abnormal return, no matter what the methodology was. Social implications – The performance of Islamic funds during the approximately seven-year period covered by the study is very promising. Popularity of Islamic Investment is expected to grow as Muslim population represents about 25 percent of the world population and the possibility for the Muslim funds to be considered as viable alternative by non-Shariah abiding or non-Muslim investors. The empirical results in the paper provide evidence that lack in diversification did not constrain the performance of Islamic funds. Originality/value – This paper applied comprehensive risk-adjusted methodologies and co-integration analysis to Islamic Funds for a seven-year period for multiple countries. The findings confirm previously obtained results and highlight the fact that constrained Islamic Funds may not under-perform as per conventional portfolio theories.

Sticky Prices vs. Sticky Information - A Cross-Country Study of Inflation Dynamics

Dieses Papier liefert einen empirischen Vergleich der Sticky-Price- und Sticky-Information-Phillips-Kurven und betrachtet dazu die Inflationsdynamiken in sechs verschiedenen Landern (USA, Grosbritannien, Deutschland, Frankreich, Kanada und Japan). Wir werten die Fahigkeiten der Modelle aus, empirische zweite Momente des Inflationsprozesses zu generieren. Bei Benutzung von Basiskalibrierungen schneiden die Modelle in beinahe allen Landern ahnlich ab. Unter Verwendung von geschatzten Modellversionen schneidet Sticky Information mit franzosischen Daten und Sticky Prices mit britischen und deutschen Daten besser ab. Im Allgemeinen zeigt sich, dass Sticky Prices unbedingte Inflationsmomente besser abbildet und Sticky Information erfolgreicher in Bezug auf die Beziehung zwischen Inflation und Nachfrage ist. Des Weiteren verschlechtern sich die Erklarungsgrade beider Modelle dort, wo die Inflationsdynamik substantiell von der der USA abweicht.

Government bond risk premiums in the EU revisited: The impact of the financial crisis

This article looks at US$ and DM/Euro-denominated government bond spreads relative to US and German benchmark bonds before and after the start of the current financial crisis. The study finds, first, that bond yield spreads during the crisis can largely be explained on the basis of the same variables as before the crisis. Second, markets penalise fiscal imbalances much more strongly after the Lehman default in September 2008 than before. There is also a significant increase in the spread on non-benchmark bonds due to higher general risk aversion, and German bonds obtained a safe-haven investment status similar to that of the US which they did not have before the crisis. These findings underpin the need for achieving sound fiscal positions in good times and complying with the Stability and Growth Pact.

An Assessment of the EU Approach to Medical Device Regulation against the Backdrop of the US System

A medical device is intended to alleviate a medical condition or to substitute a body function. The use of medical devices entails risks, first and foremost for patients who usually lack the necessary information, time and ability for informed decisions. Based on this, societies choose to regulate these products. Government involvement in medical device regulation seems to be more pronounced and centralised in the US than it is in the EU, where the system involves privatised elements. A consultation, initiated by the European Commission in 2008, proposed at its centre the introduction of a European medical device agency. By this the European system would follow the US benchmark. This research discusses some fundamental questions pertaining to the risk concept in medical devices, namely how risks are currently being addressed in the two most important regulatory systems of the US and the EU, and how the European system might be adjusted in the future.

Government Bond Risk Premiums in the EU Revisited: The Impact of the Financial Crisis

This note looks at US$ and DM/Euro denominated government bond spreads relative to US and German benchmark bonds before and after the start of the current financial crisis. The study finds, first, that bond yield spreads before and during the crisis can largely be explained on the basis of economic principles. Second, markets penalise fiscal imbalances much more strongly after the Lehman default in September 2008 than before. There is also a significant increase in the spread on non-benchmark bonds due to higher general risk aversion, and German bonds obtained a safe-haven investment status similar to that of the US which they did not have before the crisis. These findings underpin the need for achieving sound fiscal positions in good times and complying with the Stability and Growth Pact.

Improvement in Congenital Heart Surgery in a Developing Country

In 1997, an effort was made to disseminate US pediatric cardiac surgical practices to create a new comprehensive program in Guatemala. The objective of this study was to describe the improvement of the program by exploring the reduction in risk-adjusted in-hospital mortality. A retrospective cohort study of surgical procedures performed in Guatemala from February 1997 to July 2004 was conducted. Data were divided into 3 time periods (1997 to 1999, 2000 to 2002, and 2003 to 2004) and compared with a US benchmark (2000 Kids' Inpatient Database of 27 states and 313 institutions). The risk adjustment for congenital heart surgery (RACHS-1) method was used to adjust for case mix. Mortality rates, standardized mortality ratios, and 95% confidence intervals were calculated. A total of 1215 surgical procedures were included. Median age was 3.1 years (range, 1 day to 17.9 years). The overall mortality was 10.7% (n=130). The RACHS-1 method showed better discrimination than in prior reports (area under receiver operating characteristic curve=0.854). A decreasing trend in mortality rate was observed in every RACHS-1 risk category over the 3 time periods. When compared against the US benchmark, the reduction in risk-adjusted mortality was noted by a decrease of standardized mortality ratio from 10.0 (95% confidence interval, 7.2 to 13.7) in 1997-1999, to 7.8 (95% confidence interval, 5.9 to 10.0) in 2000-2002, and to 5.7 (95% confidence interval, 3.8 to 8.3) in 2003-2004. In a short time period, mortality after congenital heart surgery has been reduced substantially in Guatemala. Measurement of risk-adjusted mortality is a useful method to assess pediatric cardiac program improvement in the developing world.