Market Index Biases and Minimum Risk Indices

Markets, in the real world, are not efficient zero-sum games where hypotheses of the CAPM are fulfilled. Then, it is easy to conclude the market portfolio is not located on Markowitz"s efficient frontier, and passive investments (and indexing) are not optimal but biased. In this paper, we define and analyze biases suffered by passive investors: the sample, construction, efficiency and active biases and tracking error are presented. We propose Minimum Risk Indices (MRI) as an alternative to deal with to market index biases, and to provide investors with portfolios closer to the efficient frontier, that is, more optimal investment possibilities. MRI (using a Parametric Value-at-Risk Minimization approach) are calculated for three stock markets achieving interesting results. Our indices are less risky and more profitable than current Market Indices in the Argentinean and Spanish markets, facing that way the Efficient Market Hypothesis. Two innovations must be outlined: an error dimension has been included in the backtesting and the Sharpe"s Ratio has been used to select the"best" MRI

Residual venous obstruction, alone and in combination with D-dimer, as a risk factor for recurrence after anticoagulation withdrawal following a first idiopathic deep vein thrombosis in the prolong study.

OBJECTIVE: This study aims to assess the predictive value of residual venous obstruction (RVO) for recurrent venous thrombo-embolism (VTE) in a study using D-dimer to predict outcome. DESIGN: This is a multicentre randomised open-label study. METHODS: Patients with a first episode of idiopathic VTE were enrolled on the day of anticoagulation discontinuation when RVO was determined by compression ultrasonography in those with proximal deep vein thrombosis (DVT) of the lower limbs. D-dimer was measured after 1 month. Patients with normal D-dimer did not resume anticoagulation while patients with abnormal D-dimer were randomised to resume anticoagulation or not. The primary outcome measure was recurrent VTE over an 18-month follow-up. RESULTS: A total of 490 DVT patients were analysed (after excluding 19 for different reasons and 118 for isolated pulmonary embolism (PE)). Recurrent DVT occurred in 19% (19/99) of patients with abnormal D-dimer who did not resume anticoagulation and 10% (31/310) in subjects with normal D-dimer (adjusted hazard ratio: 2.1; p = 0.02). Recurrences were similar in subjects either with (11%, 17/151) or without RVO (13%, 32/246). Recurrent DVT rates were also similar for normal D-dimer, with or without RVO, and for abnormal D-dimer, with or without RVO. CONCLUSIONS: Elevated D-dimer at 1 month after anticoagulation withdrawal is a risk factor for recurrence, while RVO at the time of anticoagulation withdrawal is not.

Cardiovascular Risk Prediction with Ultrasound

This paper addresses primary care physicians, cardiologists, internists, angiologists and doctors desirous of improving vascular risk prediction in primary care. Many cardiovascular risk factors act aggressively on the arterial wall and result in atherosclerosis and atherothrombosis. Cardiovascular prognosis derived from ultrasound imaging is, however, excellent in subjects without formation of intimal thickening or atheromas. Since ultrasound visualises the arterial wall directly, the information derived from the arterial wall may add independent incremental information to the knowledge of risk derived from global risk assessment. This paper provides an overview on plaque imaging for vascular risk prediction in two parts: Part 1: Carotid IMT is frequently used as a surrogate marker for outcome in intervention studies addressing rather large cohorts of subjects. Carotid IMT as a risk prediction tool for the prevention of acute myocardial infarction and stroke has been extensively studied in many patients since 1987, and has yielded incremental hazard ratios for these cardiovascular events independently of established cardiovascular risk factors. However, carotid IMT measurements are not used uniformly and therefore still lack widely accepted standardisation. Hence, at an individual, practicebased level, carotid IMT is not recommended as a risk assessment tool. The total plaque area of the carotid arteries (TPA) is a measure of the global plaque burden within both carotid arteries. It was recently shown in a large Norwegian cohort involving over 6000 subjects that TPA is a very good predictor for future myocardial infarction in women with an area under the curve (AUC) using a receiver operating curves (ROC) value of 0.73 (in men: 0.63). Further, the AUC for risk prediction is high both for vascular death in a vascular prevention clinic group (AUC 0.77) and fatal or nonfatal myocardial infarction in a true primary care group (AUC 0.79). Since TPA has acceptable reproducibility, allows calculation of posttest risk and is easily obtained at low cost, this risk assessment tool may come in for more widespread use in the future and also serve as a tool for atherosclerosis tracking and guidance for intensity of preventive therapy. However, more studies with TPA are needed. Part 2: Carotid and femoral plaque formation as detected by ultrasound offers a global view of the extent of atherosclerosis. Several prospective cohort studies have shown that cardiovascular risk prediction is greater for plaques than for carotid IMT. The number of arterial beds affected by significant atheromas may simply be added numerically to derive additional information on the risk of vascular events. A new atherosclerosis burden score (ABS) simply calculates the sum of carotid and femoral plaques encountered during ultrasound scanning. ABS correlates well and independently with the presence of coronary atherosclerosis and stenosis as measured by invasive coronary angiogram. However, the prognostic power of ABS as an independent marker of risk still needs to be elucidated in prospective studies. In summary, the large number of ways to measure atherosclerosis and related changes in human arteries by ultrasound indicates that this technology is not yet sufficiently perfected and needs more standardisation and workup on clearly defined outcome studies before it can be recommended as a practice-based additional risk modifier.

Type of alcoholic beverage and risk of head and neck cancer: a pooled analysis within the INHANCE Consortium

The authors pooled data from 15 case-control studies of head and neck cancer (9,107 cases, 14,219 controls) to investigate the independent associations with consumption of beer, wine, and liquor. In particular, they calculated associations with different measures of beverage consumption separately for subjects who drank beer only (858 cases, 986 controls), for liquor-only drinkers (499 cases, 527 controls), and for wine-only drinkers (1,021 cases, 2,460 controls), with alcohol never drinkers (1,124 cases, 3,487 controls) used as a common reference group. The authors observed similar associations with ethanol-standardized consumption frequency for beer-only drinkers (odds ratios (ORs) = 1.6, 1.9, 2.2, and 5.4 for < or =5, 6-15, 16-30, and >30 drinks per week, respectively; P(trend) < 0.0001) and liquor-only drinkers (ORs = 1.6, 1.5, 2.3, and 3.6; P < 0.0001). Among wine-only drinkers, the odds ratios for moderate levels of consumption frequency approached the null, whereas those for higher consumption levels were comparable to those of drinkers of other beverage types (ORs = 1.1, 1.2, 1.9, and 6.3; P < 0.0001). Study findings suggest that the relative risks of head and neck cancer for beer and liquor are comparable. The authors observed weaker associations with moderate wine consumption, although they cannot rule out confounding from diet and other lifestyle factors as an explanation for this finding. Given the presence of heterogeneity in study-specific results, their findings should be interpreted with caution.

Disparities in work, risk and health between immigrants and native-born Spaniards

We analyse the impact of working and contractual conditions, particularly exposure to job risks, on the probability of acquiring a permanent disability, controlling for other personal and firm characteristics. We postulate a model in which this impact is mediated by the choice of occupation, with a level of risk associated with it. We assume this choice is endogenous, and that it depends on preferences and opportunities in the labour market, both of which may differ between immigrants and natives. To test this hypothesis we apply a bivariate probit model to data for 2006 from the Continuous Sample of Working Lives provided by the Spanish Social Security system, containing records for over a million workers. We find that risk exposure increases the probability of permanent disability arising from any cause - by almost 5%.

Defining risk thresholds for a 10-year probability of hip fracture model that combines clinical risk factors and quantitative ultrasound: results using the EPISEM cohort.

Using a large prospective cohort of over 12,000 women, we determined 2 thresholds (high risk and low risk of hip fracture) to use in a 10-yr hip fracture probability model that we had previously described, a model combining the heel stiffness index measured by quantitative ultrasound (QUS) and a set of easily determined clinical risk factors (CRFs). The model identified a higher percentage of women with fractures as high risk than a previously reported risk score that combined QUS and CRF. In addition, it categorized women in a way that was quite consistent with the categorization that occurred using dual X-ray absorptiometry (DXA) and the World Health Organization (WHO) classification system; the 2 methods identified similar percentages of women with and without fractures in each of their 3 categories, but the 2 identified only in part the same women. Nevertheless, combining our composite probability model with DXA in a case findings strategy will likely further improve the detection of women at high risk of fragility hip fracture. We conclude that the currently proposed model may be of some use as an alternative to the WHO classification criteria for osteoporosis, at least when access to DXA is limited.

Population specific and up to date cardiovascular risk charts can be efficiently obtained with record linkage of routine and observational data.

BACKGROUND: Only few countries have cohorts enabling specific and up-to-date cardiovascular disease (CVD) risk estimation. Individual risk assessment based on study samples that differ too much from the target population could jeopardize the benefit of risk charts in general practice. Our aim was to provide up-to-date and valid CVD risk estimation for a Swiss population using a novel record linkage approach. METHODS: Anonymous record linkage was used to follow-up (for mortality, until 2008) 9,853 men and women aged 25-74 years who participated in the Swiss MONICA (MONItoring of trends and determinants in CVD) study of 1983-92. The linkage success was 97.8%, loss to follow-up 1990-2000 was 4.7%. Based on the ESC SCORE methodology (Weibull regression), we used age, sex, blood pressure, smoking, and cholesterol to generate three models. We compared the 1) original SCORE model with a 2) recalibrated and a 3) new model using the Brier score (BS) and cross-validation. RESULTS: Based on the cross-validated BS, the new model (BS = 14107×10(-6)) was somewhat more appropriate for risk estimation than the original (BS = 14190×10(-6)) and the recalibrated (BS = 14172×10(-6)) model. Particularly at younger age, derived absolute risks were consistently lower than those from the original and the recalibrated model which was mainly due to a smaller impact of total cholesterol. CONCLUSION: Using record linkage of observational and routine data is an efficient procedure to obtain valid and up-to-date CVD risk estimates for a specific population.

Diabetes risk scores and death: predictability and practicability in two different populations.

The aim was to examine the capacity of commonly used type 2 diabetes mellitus (T2DM) risk scores to predict overall mortality. The US-based NHANES III (n = 3138; 982 deaths) and the Swiss-based CoLaus study (n = 3946; 191 deaths) were used. The predictive value of eight T2DM risk scores regarding overall mortality was tested. The Griffin score, based on few self-reported parameters, presented the best (NHANES III) and second best (CoLaus) predictive capacity. Generally, the predictive capacity of scores based on clinical (anthropometrics, lifestyle, history) and biological (blood parameters) data was not better than of scores based solely on clinical self-reported data. T2DM scores can be validly used to predict mortality risk in general populations without diabetes. Comparison with other scores could further show whether such scores also suit as a screening tool for quick overall health risk assessment.

Biological impact assessment of nanomaterial used in nanomedicine. Introduction to the NanoTEST project.

Therapeutic nanoparticles (NPs) are used in nanomedicine as drug carriers or imaging agents, providing increased selectivity/specificity for diseased tissues. The first NPs in nanomedicine were developed for increasing the efficacy of known drugs displaying dose-limiting toxicity and poor bioavailability and for enhancing disease detection. Nanotechnologies have gained much interest owing to their huge potential for applications in industry and medicine. It is necessary to ensure and control the biocompatibility of the components of therapeutic NPs to guarantee that intrinsic toxicity does not overtake the benefits. In addition to monitoring their toxicity in vitro, in vivo and in silico, it is also necessary to understand their distribution in the human body, their biodegradation and excretion routes and dispersion in the environment. Therefore, a deep understanding of their interactions with living tissues and of their possible effects in the human (and animal) body is required for the safe use of nanoparticulate formulations. Obtaining this information was the main aim of the NanoTEST project, and the goals of the reports collected together in this special issue are to summarise the observations and results obtained by the participating research teams and to provide methodological tools for evaluating the biological impact of NPs.

Market Index Biases and Minimum Risk Indices

Markets, in the real world, are not efficient zero-sum games where hypotheses of the CAPM are fulfilled. Then, it is easy to conclude the market portfolio is not located on Markowitz"s efficient frontier, and passive investments (and indexing) are not optimal but biased. In this paper, we define and analyze biases suffered by passive investors: the sample, construction, efficiency and active biases and tracking error are presented. We propose Minimum Risk Indices (MRI) as an alternative to deal with to market index biases, and to provide investors with portfolios closer to the efficient frontier, that is, more optimal investment possibilities. MRI (using a Parametric Value-at-Risk Minimization approach) are calculated for three stock markets achieving interesting results. Our indices are less risky and more profitable than current Market Indices in the Argentinean and Spanish markets, facing that way the Efficient Market Hypothesis. Two innovations must be outlined: an error dimension has been included in the backtesting and the Sharpe"s Ratio has been used to select the"best" MRI

A web-based tool to aid the identification of chemicals potentially posing a health risk through percutaneous exposure

Occupational hygiene practitioners typically assess the risk posed by occupational exposure by comparing exposure measurements to regulatory occupational exposure limits (OELs). In most jurisdictions, OELs are only available for exposure by the inhalation pathway. Skin notations are used to indicate substances for which dermal exposure may lead to health effects. However, these notations are either present or absent and provide no indication of acceptable levels of exposure. Furthermore, the methodology and framework for assigning skin notation differ widely across jurisdictions resulting in inconsistencies in the substances that carry notations. The UPERCUT tool was developed in response to these limitations. It helps occupational health stakeholders to assess the hazard associated with dermal exposure to chemicals. UPERCUT integrates dermal quantitative structure-activity relationships (QSARs) and toxicological data to provide users with a skin hazard index called the dermal hazard ratio (DHR) for the substance and scenario of interest. The DHR is the ratio between the estimated 'received' dose and the 'acceptable' dose. The 'received' dose is estimated using physico-chemical data and information on the exposure scenario provided by the user (body parts exposure and exposure duration), and the 'acceptable' dose is estimated using inhalation OELs and toxicological data. The uncertainty surrounding the DHR is estimated with Monte Carlo simulation. Additional information on the selected substances includes intrinsic skin permeation potential of the substance and the existence of skin notations. UPERCUT is the only available tool that estimates the absorbed dose and compares this to an acceptable dose. In the absence of dermal OELs it provides a systematic and simple approach for screening dermal exposure scenarios for 1686 substances.

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement -SCR-, under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

Determining risk potential through accidents and near-accidents: an empirical study in a steel factory

Fatal and permanently disabling accidents form only one per I cent of all occupational accidents but in many branches of industry they account for more than half the accident costs. Furthermore the human suffering of the victim and his family is greater in severe accidents than in slight ones. For both human and economic reasons the severe accident risks should be identified befor injuries occur. It is for this purpose that different safety analysis methods have been developed . This study shows two new possible approaches to the problem.. The first is the hypothesis that it is possible to estimate the potential severity of accidents independent of the actual severity. The second is the hypothesis that when workers are also asked to report near accidents, they are particularly prone to report potentially severe near accidents on the basis of their own subjective risk assessment. A field study was carried out in a steel factory. The results supported both the hypotheses. The reliability and the validity of post incident estimates of an accident's potential severity were reasonable. About 10 % of accidents were estimated to be potentially critical; they could have led to death or very severe permanent disability. Reported near accidents were significantly more severe, about 60 $ of them were estimated to be critical. Furthermore the validity of workers subjective risk assessment, manifested in the near accident reports, proved to be reasonable. The studied new methods require further development and testing. They could be used both in routine usage in work places and in research for identifying and setting the priorities of accident risks.

Improving interMediAte Risk management. MARK study

Background: Cardiovascular risk functions fail to identify more than 50% of patients who develop cardiovascular disease. This is especially evident in the intermediate-risk patients in which clinical management becomes difficult. Our purpose is to analyze if ankle-brachial index (ABI), measures of arterial stiffness, postprandial glucose, glycosylated hemoglobin, self-measured blood pressure and presence of comorbidity are independently associated to incidence of vascular events and whether they can improve the predictive capacity of current risk equations in the intermediate-risk population. Methods/Design: This project involves 3 groups belonging to REDIAPP (RETICS RD06/0018) from 3 Spanish regions. We will recruit a multicenter cohort of 2688 patients at intermediate risk (coronary risk between 5 and 15% or vascular death risk between 3-5% over 10 years) and no history of atherosclerotic disease, selected at random. We will record socio-demographic data, information on diet, physical activity, comorbidity and intermittent claudication. We will measure ABI, pulse wave velocity and cardio ankle vascular index at rest and after a light intensity exercise. Blood pressure and anthropometric data will be also recorded. We will also quantify lipids, glucose and glycosylated hemoglobin in a fasting blood sample and postprandial capillary glucose. Eighteen months after the recruitment, patients will be followed up to determine the incidence of vascular events (later follow-ups are planned at 5 and 10 years). We will analyze whether the new proposed risk factors contribute to improve the risk functions based on classic risk factors. Discussion: Primary prevention of cardiovascular diseases is a priority in public health policy of developed and developing countries. The fundamental strategy consists in identifying people in a high risk situation in which preventive measures are effective and efficient. Improvement of these predictions in our country will have an immediate, clinical and welfare impact and a short term public health effect