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Improving the tracking error vs. transaction cost trade-off of fixed income portfolios

Join Andy Sparks and Juan Sampieri from MSCI Research to learn how MSCI Fixed Income models and tools can be used to create "liquidity-aware" index tracking portfolios. The goal of the replication strategy is to reduce portfolio transaction costs while still keeping tracking error versus the index at an acceptable level. Rapid integration of climate and ESG into the investment process could dramatically accelerate index conversions, and our example focuses on tracking a corporate bond climate index.

Agenda

  • Overview of fixed income market liquidity
  • Tracking error versus transaction cost
  • Portfolio construction use case 
  • Demonstration of MSCI Index Replication App
     

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Oct 26 2021

Virtual Platform


Time

11:00 a.m. EDT

Location

Virtual Platform

Event Speakers

Juan Sampieri

Vice President, MSCI Research | MSCI

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Andy Sparks

Managing Director, Head of Portfolio Management Research | MSCI

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