US Index Research Articles

ESG Meets DeFi: Exploring Time‐Varying Linkages and Portfolio Implications

ABSTRACTThis study delves into the connection between Environmental, Social and Governance (ESG) indices and emerging Decentralised Finance (DeFi) assets. Specifically, it explores the ever‐changing, frequency‐based linkage between these ESG indices and innovative DeFi assets. Employing the wavelet coherence technique, we analyse a broad range of ESG indices, spanning emerging, developed and US indices, alongside various DeFi assets. This examination covers a period encompassing the COVID‐19 pandemic and the Russian‐Ukrainian conflict to assess market linkages during extreme events. We then calculate optimal weights and hedge ratios for ESG‐DeFi asset pairs to evaluate portfolio implications. Wavelet analysis results frequently show no connection between ESG indices and DeFi assets, underscoring the diversification benefits of adding DeFi to an ESG portfolio. However, this relationship notably strengthens at the pandemic crisis's onset, indicating DeFi assets lose diversification potential during turbulent times. Portfolio allocation should mainly favour ESG indices during normal periods, with minimal variations in optimal weights pre‐ and post‐COVID. Meanwhile, hedge ratio analysis suggests DeFi assets make sound investments during crises, although hedging costs increase during turbulent periods. These findings hold relevance for investors, portfolio managers and policymakers.

Persistence analysis of the real estate US index and major cities

This paper analyses the stochastic properties of the US real estate market in the long term (1987–2023). For this purpose, we rely on fractionally integrated methods to fill the gap left by studies focusing on possible cointegration that use linear unit root tests. Both original and log transformed data of house price indices have been used with and without taking inflation into account. Even though several studies mentioned mean reversion in the short term, in the long term the real estate market shows a clear pattern of high persistence and no reversion to the mean. The effect of inflation seems to add correlation to real prices and conversely, an increase in the integration factor. Structural breaks reveal that recent values of this integration factor are greater, thus prices are becoming more persistent.

Simplified vs modified (reduced) ultrasound 6 joint score in assessing disease activity in rheumatoid arthritis patients

Introduction and aim. With increasing ultrasound US assessment opportunities for tight rheumatoid arthritis (RA) management, more simplified accurate US-assessment is desired in clinical practice. Aim of the work is assessing modified vs simplified ultrasound 6-joint scores relevance in assessing rheumatoid arthritis disease activity. Material and methods. Fifty-five RA patients were subjected to detailed history, clinical, and musculoskeletal examination with disease activity assessment by clinical disease activity index, simple disease activity index and disease activity score in 28 joints. Com plete blood count, erythrocyte sedimentation rate, C-reactive protein, rheumatoid factor, anti-cyclic citrullinated peptide antibodies were done. Patients underwent US examination (gray-scale and power Doppler) for wrist, 2nd and 3rd metacarpophalangeal and knee joints bilaterally. Synovitis composite score was added. Two US indices were constructed: simplified S6 and modified M6 joint scores. Results. Statistical significant positive correlations were high between S6/M6 score parameters (total, grey-scale (GS), power doppler (PD), Composite) and disease activity markers. Both M6 and S6 scores differentiated mild-moderate and moderate-severe disease activity patients. However, only S6 score differentiated remission from mild disease activity patients. Conclusion. Ultrasound 6-joint scores (especially simplified S6) were rapid, easy and sensitive ultrasound tools assessing rheu matoid arthritis disease activity in clinical practice.

Global uncertainty and the spillover of tail risk between green and Islamic markets: A time-frequency domain approach with portfolio implications

This study first calculates the left tail risks in the renewable energy, green, sustainable, Islamic equity and Islamic bond markets using CAViaR models. Then, applying TVP-VAR based connectedness method it estimates various measures of dynamic connectedness and spillover of the tail risks at short, medium, and long term. Furthermore, through wavelet coherence analysis it examines how various global uncertainties impact such connectedness in time and frequency domain. Lastly, it estimates hedging effectiveness, optimal portfolio weights and Sharpe Ratios to provide practical implications for the market participants. The results show that the tail risk connectedness and spillover are mainly driven by the short-term dynamics emphasizing the importance of short-lived noises in the transmission of down-side risks. Usually, the connectedness of the tail risks is higher during the period of COVID-19 and Russia-Ukraine war. Though the tail risks of Islamic bond and developing Islamic equity markets are mostly isolated in the full sample showing hedging potential of these markets, the network analysis shows their increased connectedness with other markets during the period of COVID-19 and Russia-Ukraine war. In general, mature market indices such as Dow Jones Sustainable World and MSCI global environment indices, Dow Jones Islamic World, US and UK market indices are consistently net contributors/transmitters of tail risk shocks while Islamic bond and developing Islamic equity market indices are net receivers of shocks when they are connected to the network. Two uncertainty indices, that follow volatility related to gold and US dollar, demonstrate hedging potential and predictive power on the connectedness. Dow Jones Islamic World market index usually carries significant weights in optimal portfolio allocations while Islamic bonds from GCC countries have higher Sharpe Ratios indicating their promise as instruments for risk-adjusted profit.

Tools for studying the digital development rates of economic systems at country and region level

National economy digitalization is a powerful economic growth engine and one of the key areas for developing and maintaining the competitiveness of the state. Digital economy potential lies in accelerating the pace of economic development of enterprises, industries, regions and countries, and in improving in living standards. Under the conditions of digitalization, a tool for assessing the pace of economic system development at the country, region, industry and enterprise level becomes a source of competitive advantages. Therefore, the relevance of the study is evident. The purpose of the study is to develop tools for studying digital development rates at country and region level. The database of the study was represented by the proceeding of well-known foreign and Russian scientists and statistical data on the main indices of the US and Chinese stock markets. The methodological base was represented by the ISPI (Information System Portfolio Investor) digital model. The effectiveness of the obtained results was verified using the PRM (Profitability-Risk model) tool. The result of the study was an analysis of digital development rates at the country level by the case of the United States and China. The analysis was based on the calculation of the main parameters of the portfolio theory: expected return, risk level, return-to-risk ratio. Scatterplots were constructed for the main US and Chinese stock market indices based on the fitted data. They show the mutual distribution of groups of main indices and allow to determine the most promising areas for investment, including digital development. The findings confirm the possibility of using the proposed tools to determine the most attractive sectors for investment in the world stock markets and countries, and/or countries and regions that need investment for their development, including digital one. The introduction of the proposed tools into practice at the enterprise, industry, region and country level will contribute to the further development of the digitalization in all aspects of society at the enterprise, industry, region and country level.

Interconnectedness dynamic spillover among US, Russian, and Ukrainian equity indices during the COVID-19 pandemic and the Russian–Ukrainian war

We examine the dynamics and spillover effects of interconnectedness among equity indices during the COVID-19 pandemic and the Russian–Ukrainian war. Using daily data from June 2010 to May 2023, we consider five major equity indices, namely, the Dow Jones Industrial Average (DJIA), National Association of Securities Dealers Automated Quotations (Nasdaq), Standard and Poor's 500 (S&P 500), PFTS (Ukraine), and Moscow Exchange (MOEX; Russia). The results demonstrate a 45 % level of the total connectedness index to explain the interconnectedness among these indices. The findings indicate that the DJIA, Nasdaq, Small Cap 100, and MOEX are net receivers of spillovers, whereas the S&P 500 and PFTS are significant net transmitters. Moreover, analysis of different periods, including before and during COVID-19 and before the Russian–U war, provides insights into the changing patterns of interconnectedness and spillover effects during these events. This study contributes to a better understanding of the interdependency and transmission mechanisms among equity markets and highlights the importance of considering external factors and geopolitical events in formulating risk management and investment strategies.

Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic

PurposeThis study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers.Design/methodology/approach The authors use the Diebold and Yilmaz (2012) spillover indices based on the forecast error variance decomposition from vector autoregression framework. This approach allows the authors to examine both return and volatility spillover before and after the COVID-19 pandemic crisis. First, the authors used a static analysis to calculate the return and volatility spillover indices. Second, the authors make a dynamic analysis based on the 30-day moving window spillover index estimation.FindingsGenerally, results show evidence of significant spillovers between markets, particularly during the COVID-19 pandemic. In addition, cryptocurrencies and gold markets are net receivers of risk. This study provides also practical policy implications for investors and portfolio managers. The reached findings suggest that the mix of Bitcoin (or Ethereum), gold and equities could offer diversification opportunities for US and Chinese investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In contrast, Stablecoins (Tether and TrueUSD) do not offer hedging opportunities for US and Chinese investors.Originality/value The paper's empirical contribution lies in examining both return and volatility spillover between the US and Chinese stock market indices, gold and cryptocurrencies before and after the COVID-19 pandemic crisis. This contribution goes a long way in helping investors to identify optimal diversification and hedging strategies during a crisis.

Improvements in Health-Related Quality of Life after Exagamglogene Autotemcel in Patients with Transfusion-Dependent Beta-Thalassemia

Background: Transfusion-dependent β-thalassemia (TDT), an inherited hematological disorder which requires life-long, chronic red blood cell transfusion (RBC) and regular iron chelation therapy, has a substantial negative impact on health-related qualify of life (HRQoL). Exagamglogene autotemcel (exa-cel) is a one-time, non-viral, ex vivo CRISPR-Cas9 gene-edited cell therapy in phase 3 clinical trials that has been shown to eliminate the need for RBC transfusions and achieve transfusion independence. Here, we report HRQoL data from a pre-specified interim analysis of the exa-cel CLIMB TDT-111 study. Methods: CLIMB TDT-111 is an ongoing, 24-mo, phase 3 trial of a single dose of exa-cel in patients aged 12-35 years with TDT and a history of ≥100 mL/kg/year or ≥10 U/year of packed RBC transfusions for 2 years prior to screening. Changes in patient-reported outcome (PRO) measures including EuroQol Quality of Life Scale 5 dimensions 5 levels of severity (EQ-5D-5L, including descriptive system and visual analog scale [VAS]) and Functional Assessment of Cancer Therapy Bone Marrow Transplant (FACT-BMT, including FACT-General [FACT-G] and bone marrow transplant subscale [BMTS]) for adults and the EuroQol Quality of Life Scale 5 dimensions youth (EQ-5D-Y) and Pediatric Quality of Life Inventory (PedsQL) for adolescents were assessed through month 24 as a secondary endpoint in the trial. Data are presented as of 16 January 2023 for the 24 adults (aged ≥18-35 years) and 11 adolescents (aged ≥12 to < 18 years) who had been followed for ≥16 months after exa-cel infusion. Results: Clinically meaningful improvements, exceeding the minimal clinically important difference (MCID) thresholds, were observed in all PRO measures in adults. Baseline mean EQ-5D-5L health utility US index score (n=24, mean [SD]: 0.85 [0.18]) was near the general population norm and in line with baseline scores previously reported for adult patients with TDT. By month 24, both EQ-5D-5L health utility US index scores and EQ VAS scores showed substantial improvement (mean [SD] changes at month 24 [n=15]: 0.12 [0.26] and 10.2 [20.9] points; MCIDs 0.078 and 7 to 10, respectively). FACT-G Total Score improved from baseline by month 12 and was sustained through month 24 (mean [SD] change at month 24 [n=15] 10.3 [17.0] points; MCID 3 to 7), with improvements observed in all 4 subscales (physical, social/family, emotional, and functional well-being). BMTS score improved by month 12 and was sustained through month 24 (mean [SD] change at month 24 [n=15] 6.8 [4.7] points; MCID 2 to 3). For adolescents, EQ VAS scores improved through month 18 (mean [SD] change from baseline 4.8 [6.1] points). Total PedsQL score improved by month 6 and was sustained through month 18 (mean [SD] change from baseline [n=7] 14.1 [9.2] points; MCID 4.36). Physical functioning and psychosocial health scores, sub-components of PedsQL, both showed sustained improvement through month 18 (mean [SD] change [n=7] 19.2 [9.1] and 11.4 [10.9] points; MCID of 6.66 and 5.30 points, respectively). Improvement in psychosocial score was observed in all 3 subscales (social, emotional, and school functioning). Conclusion: Adults and adolescents infused with exa-cel reported sustained and clinically meaningful improvements in their HRQoL, with improvements observed across different instruments and domains, including physical, emotional, social/family and functional well-being and overall health status. These results demonstrate the broad clinical benefits of exa-cel in patients with TDT.

Improvements in Health-Related Quality of Life after Exagamglogene Autotemcel in Patients with Severe Sickle Cell Disease

Background: Severe sickle cell disease (SCD), which is characterized by recurrent vaso-occlusive crises (VOCs), has a substantial negative impact on health-related quality of life (HRQoL). Exagamglogene autotemcel (exa-cel) is a one-time, non-viral, ex vivo CRISPR/Cas9 gene-edited autologous cell therapy in phase 3 clinical trials that has been shown to eliminate VOCs. Here, we report HRQoL data from a pre-specified interim analysis of the exa-cel CLIMB SCD-121 study. Methods: CLIMB SCD-121 is an ongoing phase 3 trial of a single dose of exa-cel in patients ages 12-35 years with SCD and a history of ≥2 VOCs/year in each of the 2 years prior to screening. Changes in patient reported outcomes measures EuroQol Quality of Life Scale 5 dimensions 5 levels of severity (EQ-5D-5L, including descriptive system and visual analog scale [VAS]), Functional Assessment of Cancer Therapy Bone Marrow Transplant (FACT-BMT, including FACT-General [FACT-G] and bone marrow transplant subscale [BMTS]), Adult Sickle Cell Quality of Life Measurement Information System (ASCQ-Me), and the 11-point pain Numerical Rating Scale (NRS ) were assessed from baseline through month 24 as a secondary endpoint in the trial. Data is presented as of 10 Feb 2023 for the 17 adult patients (aged ≥18-35 years) who had been followed for ≥16 months after exa-cel infusion. Results: Substantial and clinically meaningful improvements exceeding minimal clinically important difference (MCID) thresholds were observed in all assessed patient reported outcomes measures. At baseline, the EQ-5D-5L health utility US index (n=17; mean [SD]: 0.71 [0.23]) and EQ VAS (63.5 [22.5]) scores were lower than the US general population norm and similar to baseline scores reported for adult SCD patients with recurrent VOCs. By month 6, both EQ-5D-5L health utility US index score and EQ VAS score showed substantial improvements, which were maintained through month 24 (mean changes [SD] at month 24 [n=8]: 0.23 [0.20]; MCID 0.078 and 28.3 [16.2]; MCID 7 to 10, respectively). FACT-G Total Score improved from baseline at month 24 (mean [SD] change at month 24 [n=8]: 29.8 [17.2]; MCID 3 to 7), with improvements observed in all 4 subscales (physical, social/family, emotional, and functional well-being). BMTS score improved by month 6 and was sustained through month 24 (mean [SD] change at month 24 [n=8]: 3.9 [5.7]; MCID 2 to 3). All subscales of the ASCQ-Me, including emotional (mean [SD] change [n=7] 17.7 [9.8]), social (23.8 [6.7]), stiffness (7.9 [12.9]), and sleep impact (8.4 [8.3]), demonstrated clinically meaningful improvements from baseline through month 24. For the ASCQ-Me pain-related subscales evaluating pain impact, pain episode frequency and pain severity, the largest numerical improvement was observed in pain episode frequency (mean [SD] change at month 24 [n=8]: -22.8 [8.2]; MCID -5). Improvements in the pain NRS were observed by month 12 and sustained through Month 24 (mean [SD] change at month 24 [n=8]: -1.8 [3.1]; MCID -1). Conclusion: Adults infused with exa-cel reported sustained and clinically meaningful improvements in their HRQoL, with improvements observed across different instruments and domains, including physical, emotional, social/family, and functional well-being, pain experience, and overall health status. These results demonstrate the broad clinical benefits of exa-cel in patients with SCD.

Title: The Impact of Recent Vaso-Occlusive Crisis on Health-Related Quality of Life in Adults with Sickle Cell Disease

Introduction: Sickle cell disease (SCD) is characterized by vaso-occlusive crises (VOCs) and a progressive clinical course, often leading to end organ damage and mortality. Individuals living with SCD with recurrent VOCs experience daily life disruptions due to recurrent pain crises, debilitating chronic pain and fatigue, which substantially impair health-related quality of life (HRQoL). The impact of a recent VOC on HRQoL has not been quantified. We investigated HRQoL impacts in adults with SCD who experienced a recent VOC (< 1 week) in comparison to overall adults with SCD with recurrent VOCs. Methods: A mixed-methods study was conducted to quantify the HRQoL, work impacts, and perceived health inequalities of individuals with SCD with recurrent VOCs. The study consisted of qualitative interviews and an online longitudinal survey administered at 3 timepoints (month 0, 3, and 6) in the US, UK, France, Germany, and Italy. Patient advocacy groups used multi-channel outreach to invite participants, who were required to meet the eligibility criteria and provide consent. Key eligibility criteria included recurrent VOCs defined as ≥ 2 VOCs/year in each of the 2 years prior to enrollment requiring a medical facility interaction and administration of pain medication or red blood cell transfusion. The survey included multiple patient-reported outcome (PROs) measures: the Functional Assessment of Cancer Therapy - Bone Marrow Transplant (FACT-BMT) inclusive of the FACT-General (FACT-G), EuroQol- 5 Dimension 5-Level (EQ-5D-5L), 11-point pain numerical rating scale (NRS), Adult Sickle Cell Quality of Life Measurement Information System (ASCQ-Me), and the Work Productivity and Activity Impairment (WPAI) questionnaire. In this post-hoc analysis study participants with a current or recent VOC (< 1 week ago) were identified based on ASCQ-Me responses (herein referred to as recent VOC). The HRQoL impact of a recent VOC was assessed by descriptively comparing PRO scores between those with a recent VOC and the overall population of adults with SCD with recurrent VOCs (herein referred to as overall population). Results: The survey was completed by 142 participants with SCD (≥ 18 years) with 139 providing time since last VOC living in the US (n=82) and UK, Germany, France, and Italy (n=57). Fifty-six (40.3%) reported a recent VOC and had a similar mean age (35.7 vs. 35.3 years) and hydroxyurea use in the past month (58.9% vs. 61.9%) compared with the overall population. A higher proportion of those with a recent VOC were unemployed or unable to work due to SCD (76.8% vs. 64.7%). The mean EQ-5D VAS (0-100 scale, 100=best health) among those with a recent VOC was 49.2 (SD: 14.2), which was 16.2% and 38.8% lower relative to the overall study population (58.7 [SD: 19.4]) and the US general population (80.4 [SD: 15.6]), respectively. The overall mean EQ-5D health utility US index score (0.59 [SD: 0.27]) was much lower than the US general population (0.85 [SD: 0.21]) and further reduced among those with a recent VOC by 0.11 (0.48 [SD: 0.25]). The FACT-G total mean score was 53.6 (SD: 14.3) (0-108 scale, 108=best HRQoL) among those with a recent VOC representing a clinically meaningful reduction compared with the overall population (62.5 [SD:18.1]); with all FACT-G domain scores negatively impacted by a recent VOC. Based on the WPAI, those employed with a recent VOC (n=15) reported a mean of 35.4% (SD: 35.8%) absenteeism and 62.5% (SD: 21.8%) presenteeism, which were higher than the overall study population (24.7% [SD: 27.1%] and 42.0% [SD: 27.8%)], respectively). In the past 12 months, those with a recent VOC had a greater mean number of emergency room visits (9.6 [SD: 12.6] vs 6.2 [SD: 8.8]), hospitalizations with overnight stays (6.0 [SD: 5.7] vs. 4.0 [SD: 4.5]), and days overnight in the hospital (21.8 days [SD: 32.9] vs. 14.7 [SD: 24.7]) compared to the overall population. Conclusions: Despite current treatments, nearly 40% of adults with SCD in the surveyed population experienced a recent VOC (< 1 week), which has significant negative impacts on HRQoL and functional status, including the ability to work. These results demonstrate the substantial humanistic burden of those living with SCD with recurrent VOCs and the additional impairment of a recent VOC. Novel treatments that reduce or eliminate VOCs may provide an opportunity to improve health inequalities, HRQoL, and address unmet needs in this patient population.

Dependency and causal relationship between ‘Bitcoin’ and financial asset classes: A Bayesian network approach

AbstractThis study employs the Bayesian Networks (BN) and the wavelet coherence approaches to invest the relationship between Bitcoin volatility and financial asset classes (MSCI world equity index, S&P Goldman Sachs Commodity Index [GSCI], US index and Investment Grade Corporate Bond Index ETF [PIMCO]) using daily data for the period from August 2011 to October 2021. The results show that the causal relationship between Bitcoin and other financial assets varies depending on the market states. During the low volatility periods, Bitcoin has a stronger impact on the GSCI, while during the stability periods, it has a direct effect on the US index and the MSCI world index. In contrast, during high volatility periods, Bitcoin has a direct impact on both the GSCI and PIMCO indices. The key findings enabled us to provide implications for US investors to promote asset allocation and risk management covering both Bitcoin and traditional financial markets. The results suggest that policymakers should watch Botcoin closely to preserve financial stability.

Use of a controlled attenuation parameter for the diagnosis of non-alcoholic fatty liver disease

To evaluate the efficacy of vibration-controlled transient elastography (VCTE) with a controlled attenuation parameter (CAP) in a population of patients with non-alcoholic fatty liver disease (NAFLD)and to compare to US and different non-invasive indices. Single center NAFLD patients' database of 2021-2023 years was retrospectively analysed. Data of VCTE evaluation with CAP (FibroScan 530® and FibroScan 630 Expert®) as well as liver US examination results and values of HSI, FLI, BAAT and NAFLD-LFS were extracted. AUROCs for all methods used were constructed and sensitivity and specificity analysis was performed. The data of 1081 patients were available for analysis (385 with steatosis, 274 with NASH, 422 without NAFLD as a control). Ultrasound examination in the diagnosis of liver steatosis compared to VCTE with CAP showed sensitivity and specificity of 94.6 and 63.7%, respectively. Diagnosis of liver steatosis using indices and scales showed sensitivity and specificity of HSI: 97.9 and 60.1% (AUROC 0.90), FLI: 92.5 and 85.3% (AUROC 0.93), BAAT: 76.6 and 73.5% (AUROC 0.82), NAFLD-LFS: 56.7 and 81.8% (AUROC 0.85). The sensitivity of the US of the liver was consistent with previous studies, but the specificity was low. The HSI index had the best indicators of sensitivity and specificity in relation to the diagnosis of liver steatosis. Combination of liver US and HSI can be used in screening of liver steatosis, however, for the complete diagnosis better tools which can simultaneously evaluate liver steatosis and fibrosis should be used.

Application of O-RADS US combined with MV-Flow to diagnose ovarian-adnexal tumors.

This study aimed to explore the application of Ovarian-Adnexal Reporting and Data System Ultrasound (O-RADS US) combined with MV-Flow (Samsung Medison Co., Ltd.) to diagnose ovarian-adnexal masses. A total of 112 ovarian-adnexal masses (81 benign and 31 malignant) from 105 consecutive patients were analyzed. The O-RADS US and vascular index from MV-Flow (VIMV) were measured and compared with the reference standard. O-RADS US and MV-Flow were tested for consistency. Receiver operating characteristic curves were drawn for O-RADS US, MV-Flow, and their combination. The combined methods had the largest area under the curve (0.955), followed by O-RADS US (0.929) and MV-Flow (0.923). A mass was considered malignant when the O-RADS US classification was 5 and VIMV was ≥7.15. With this definition, MV-Flow had the highest sensitivity (87.10%), with consistent findings for the combined diagnostic methods and O-RADS US (83.87%). The specificity of the combined diagnostic methods (93.83%) was higher than that of MV-Flow (91.36%). O-RADS US had the lowest specificity (90.12%). The combined diagnostic methods had the highest coincidence rate (91.07%), and MV-Flow (90.18%) had a significantly higher coincidence rate than O-RADS US (88.39%). Both O-RADS US and MV-Flow showed good consistency among different physicians (former kappa, 0.974; latter intraclass correlation coefficient [ICC], 0.986). MV-Flow had a high consistency for the same physician (ICC, 1). O-RADS US and MV-Flow exhibited good diagnostic efficacy, and their combined diagnostic efficacy was higher than that of each individually. O-RADS US and MV-Flow can improve the diagnosis of benign and malignant ovarian-adnexal masses.

Sustainable investment – Exploring the linkage between alpha, ESG, and SDGs

AbstractEnvironmental, Social and Governance (ESG) investing has attracted much attention in asset management this past decade. Asset managers who consider ESG issues when making investment decisions potentially face a trade off with their fiduciary duty to attempt to outperform investment benchmarks (“generate alpha”). We first analyze the relationship between alpha generation and ESG metrics. However, because there are no well‐accepted ESG standards, we also measure the impact companies have on the U.N.'s Sustainable Development Goals (SDG's). Our research consists of three steps. First, we construct a sector‐neutral portfolio using MSCI ESG momentum scores from 2013 to 2018, and determine that it is feasible to generate positive alpha vis‐à‐vis the MSCI US index and other risk benchmarks. Second, we utilize structured and unstructured data to determine a company's net influence on the SDGs, which we call its SDG “footprint.” We show that an ESG momentum portfolio both outperforms the MSCI US index and has a relatively better SDG footprint than that of the index. Third, we establish a positive contemporaneous connection between the portfolio's ESG ratings momentum and its SDG footprint. Thus, a positive linkage exists between ESG, alpha, and the SDGs for our sample.

COVID caused a negative bubble. Who profited? Who lost? How stock markets changed?

Compiling a unique, worldwide collection of trading data, we analyze investor types' aggregate trading in stock markets throughout the COVID-19 episode, to assess investor types' role in a worldwide negative bubble and their degree of sophistication in responding to it. Individual investors were the main buyers and consequently the winners during the rebound. Foreign institutional investors exited host markets; some domestic institutions exploited the negative bubble by well-timed buying. In US index futures, asset managers heavily sold into crash; dealers profited from the rebound. Individual investors' buying was driven by their contrarian behavioral traits and a unique positive shock to retail investor demand for self-serviced investing in stocks, driven by work-from-home practices and unprecedented stimulus. This shock has changed the participant composition of world stock markets. Overall, the COVID-19 episode has many unique aspects that cannot be accounted for under existing theories.

THE CO-MOVEMENT OF CHINA AND US STOCK INDICES: A PORTFOLIO DIVERSIFICATION ANALYSIS

The aim of this article is to find diversification opportunities by examining the time-varying and time-scale-based volatility and correlation of the US and Chinese stock market indices with crude oil, gold and Bitcoin price returns, as well as the exchange rate of the Chinese Yuan Renminbi against the US Dollar (CNY/USD) using a vector error correction model (VECM), namely, maximum overlap discrete wavelet transformation (MODWT). Furthermore, individual and institutional investors may also reduce the risk of their investment portfolio by investing in commodities and stock markets from countries with a negative or substantially low correlation. Our VECM result shows that Bitcoin, crude oil and CNY/USD lead the other variables under consideration, indicating that changes in the prices of Bitcoin, crude oil and CNY/USD affect the US and Chinese stock market indices, as well as gold. Our research utilising the MODWT technique shows that Bitcoin leads crude oil at almost all levels, indicating that crude oil prices will respond to Bitcoin price movement in the long and medium term. However, investors may be deterred from using Bitcoin as a diversification tool due to its extreme volatility. The research also indicates that diversification with gold may help US investors. However, the continuous wavelet transformation finding shows that the diversification benefit effects will persist for a holding period of little more than 64 days. Our study results tend to emphasise the significance of using reasonably modern methods to identify diversification possibilities for investors with diverse investment horizons or holding stocks for various periods.

MODELLING DIVERSIFICATION EFFECT OF COMBINING TRADITIONAL AND ALTERNATIVE INVESTMENTS

The dynamic development of the market of alternative assets in the last decade opens up new opportunities for investors. This development process creates new problems related to the optimal allocation of the investor's capital between traditional and alternative assets. The article examines the economic problem of building an optimal investment portfolio by the method of specification of Markowitz's theoretical approach to the combination of these two groups of assets. As traditional assets, the paper analyzes index investments in three main US indices: S&P400, S&P500, and S&P600. These three indices represent a complete cross-section of the economy of the United States of America, as they characterize different market segments depending on capitalization. Index investments in seven main alternative indices are considered as alternative investments. This sample includes both narrow-profile indices related to investing in individual commodities, such as precious metals or oil, and related to real estate and private equity. The initial stage of the research involves a correlation analysis applied to the statistical series of index returns for the period 2015-2019. The analysis indicated the heterogeneity of the correlation dependence within the studied group. Traditional assets demonstrate a relatively high dependency of returns on each other. At the same time, alternative assets show a low level of dependence both among themselves and with traditional assets. Within the application of the Markowitz approach, the task of finding the optimal portfolio was structured into the construction and analysis of three efficient sets. The first two effective sets, corresponding to traditional and alternative assets, visualize the potential of the combination of assets in terms of risk minimization. On this basis, an optimal portfolio is built from a combination of alternative and traditional assets. Comparative analysis of optimal portfolios demonstrated that risk indicators for the combined portfolio have better values. The K-ratio indicator showed a greater degree of stability of the profitability of the combined portfolio with minimal risk.

Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics

This paper investigates the impact of COVID-19 on financial markets. It focuses on the evolution of the market efficiency, using two efficiency indicators: the Hurst exponent and the memory parameter of a fractional Lévy-stable motion. The second approach combines, in the same model of dynamic, an alpha-stable distribution and a dependence structure between price returns. We provide a dynamic estimation method for the two efficiency indicators. This method introduces a free parameter, the discount factor, which we select so as to get the best alpha-stable density forecasts for observed price returns. The application to stock indices during the COVID-19 crisis shows a strong loss of efficiency for US indices. On the opposite, Asian and Australian indices seem less affected and the inefficiency of these markets during the COVID-19 crisis is even questionable.

Strategic Business Development Plan for a New Cardiovascular Clinic (Case Study: PT Hasna Medika, Expansion in Bali Area)

PT Hasna Medika is a company managing multiple cardiovascular health facilities such as clinics and hospitals in Indonesia. As of the writing of this research, the company has 5 cardiovascular clinics and 2 cardiovascular hospitals in Java. As a strategic partner of the BPJS Kesehatan or the national health coverage in Indonesia, Hasna Medika seeks to contribute to the improvement of heart health facilities in Tier 2 and Tier 3 cities throughout Indonesia, where they have a huge gap between the number of secondary healthcare facilities providing heart health services with the population needing it. Thus, the company is now looking to expand its business operation to the island province of Bali, where they have received support from the local cardiologists. Several locations have been proposed and Kabupaten Karangasem in the east of Bali has been chosen as the location for the newly planned heart clinic. The weighted score has shown that Karangasem has yielded the highest score of 3.05 after analysing several factors such as the chance to establish cooperation with BPJS, the ratio of secondary health facilities to the number of populations, the demography and availability of cardiologists in the area. Subsequently, the financial projections are supported by data based on the other existing Hasna Medika branches have shown a feasible project. NPV which is greater than 0 and IRR above the WACC are also obtained as indicators of project viability. That said, The US Index of 1.94 has also been calculated, which signifies a desirable and maximised loan financing. Lastly, a funding composition of 80 % loan and 20% equity has yielded maximum profit. The clinic is targeted to start construction next year in April 2023 and will take approximately 9 months until completion.

Business Strategy to Increase the Asset Value of Pt. Martheen House (Case Study: Land in Pattimura Airport, Ambon)

PT. Martheen House is the owner of the Idle Assets in North Maluku, Ambon. Numerous project options exist in the vicinity of Asset Idle, including the Pattimura international airport in Ambon, the processing of raw materials from crushed stone, and the surrounding countryside. In addition to numerous project options, Idle Assets also has office space and a total fisheries asset and facility value of Rp 7,761,500,000. In this study, PT. Martheen House intends to devise a plan to raise the selling price of its assets. Alternative projects that boost the resale value of these assets will be analyzed and profitable project ideas will be selected. utilizing SWOT to determine the internal components of an organization PESTLE to study competitors to explain external elements from the company that must be open, Porter’s Five Force to enable the company to overcome the underlying opportunities and dangers in the company’s external environment. After performing a Feasibility Study to establish the alternatives and the US Index to determine the chosen resource, the corporation must maximize capital in the form of Equity, Debt, or both to determine which resource to select. The final step is to determine the internal financial position using Financial Ratio Analysis.The investigation reveals that the chosen alternative project is the crushed stone processing project for Rp. 2.035 billion, the Warehouse Project + small office for Rp. 8.787 billion, and the Transit Hotel Project for Rp. Using loans to finance the implementation of this alternate project is doable. Due to the company’s internal financial predicament, it will implement the first alternative project selected, the crushed stone processing project.