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MSCI Analytics Workshop

MSCI is pleased to invite you to the upcoming Analytics Workshop in New York on November 14th, 2019. This event is designed for advanced users of MSCI Analytics where experts across MSCI will present on practical applications of MSCI's analytics within an investment process.

These use cases will feature our latest technology and data innovations designed to solve real world investment problems.

Please join us at this event to learn best practices and network with MSCI and Industry professionals.

Register Now

November 14, 2019

New York, NY


10:00 AM - 5:15 PM


7 World Trade Center
250 Greenwich St
Skytop Room, 48th Fl
New York, NY 10007


Thursday November 14, 2019
10:00 AM


10:30 AM

Opening remarks

Jeremy Baskin, Managing Director, Head of Client Coverage Americas, MSCI 

10:40 AM

Latest innovations from MSCI equity analytics 
MSCI’s Product Management team will introduce the investment themes around the latest generation of our equity analytics models and content. Learn about key client trends driving MSCI’s equity analytics product agenda.
John Regino, Executive Director, Analytics Product Strategist, MSCI

  • MSCI global investable markets equity model 
    An Introduction to the benefits of MSCI’s new Global Investable Markets Model for equities with regional factors. We will also look at some practical applications for the model in risk management and portfolio construction.
    Ram Radhakrishnan, Vice President, Analytics Consultant, MSCI
  •  Integrating sentiment factors into equity portfolios 
    This presentation demonstrates how integrating sentiment data available in MSCI’s FactorLab into portfolio construction cases, can  show that both standalone and composite FactorLab signals generate meaningful alpha.
    Jason Jacob, Vice President, Analytics Consultant, MSCI
  •  Tax aware optimization with barra open optimizer 
    With the help of Barra Open Optimizer and Barra Developers’ Toolkit, two of our  Open Architecture tools, we will analyze the  after-tax return of an index tracking strategy combined with tax-loss harvesting constraints and compare it with a strategy created  with a typical mean-variance optimization framework.
    Katia del Muro, Senior Associate, Analytics Consultant, MSCI
12:00 PM


1:00 PM

Does extending bond market duration increase risk?
As asset allocators weigh the possibility of long-term rates going down, they might be wondering if it is time to extend the duration of their MAC portfolios. Institutions going long duration might be worried that risk increases too much. Our analysis shows that (surprisingly), extending the duration of a 60/40 MAC portfolio under the current environment would only slightly increase portfolio risk. Only in the event of a major regime change where both bond market volatility and the bond-equity correlation increased, would portfolio risk rise significantly.

Andy Sparks, Managing Director, Head of Portfolio Management Research, MSCI
Juan Sampieri, Senior Associate, Portfolio Management Research, MSCI

1:45 PM

Stress testing design: best practices and use cases
MSCI’s RiskManager stress tests capabilities have long been used in the industry by risk professionals to estimate the potential gain or loss incurred by a portfolio from a prescribed market scenario. In this session we will go over some best practices for designing a stress tests:

  • General guidelines on the creation of stress tests
  • The use of the Mahalanobis Distance as an indicator for the compatibility of a covariance matrix to the defined stressed factors
  • Stress test segmentation as a way to focus the predictive behavior to a specific set of risk factors

Rodrigo Gil, Senior Associate, Analytics Consultant, MSCI

2:30 PM


2:45 PM

Beyond bid ask: liquidity insights for credit portfolio construction
Investors often focus on bid-ask spread as the primary driver of execution cost in credit portfolio construction, but there is also a market impact component that can be a significant contributor. We will demonstrate how to incorporate insights from market impact information via MSCI’s LiquidityMetrics to construct portfolios more efficiently, using MSCI’s Open Optimizer.

Joseph Wickremasinghe, Vice President, Analytics Consultant, MSCI

3:15 PM

Integrating crowding into an MSCI Beon™ workflow
We use MSCI Beon to demonstrate how both the MSCI Factor Crowding Model and Hedge Fund Intelligence datasets can be integrated into a risk management workflow to give insight into the crowdedness of an investment strategy as a complementary view of risk.

The presentation will aim to:

  • Showcase MSCI Beon using a Fundamental Hedge Fund Risk management use case
  • Present a high-level overview of both the Factor & Position-level crowding datasets touching on their methodology
  • Demonstrate how these datasets can be integrated into a MSCI Beon Workflow to create customized risk analytics to highlight the crowdedness of an investment strategy across different dimensions

Alex Johnson, Executive Director, Analytics Consultant, MSCI

4:00 p.m.

Closing remarks
Jorge Mina, Managing Director, Head of Analytics, MSCI

4:15 PM

Cocktails and light fare

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Event Speakers

Katia del Muro

Senior Associate, Analytics Consultant | MSCI

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Jeremy Baskin

Managing Director and Head of Client Coverage in the Americas | MSCI

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Ram Radhakrishnan

Vice President, Analytics Consultant | MSCI

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John Regino

Executive Director, Analytics Product Strategist | MSCI

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Jason Jacob

Vice President, Analytics Consultant | MSCI

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Rodrigo Gil

Senior Associate, Analytics Consultant | MSCI

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Juan Sampieri

Senior Associate, Portfolio Management Research | MSCI

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Alex Johnson

Executive Director, Analytics Consultant | MSCI

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Andy Sparks

Managing Director, Head of Portfolio Management Research | MSCI

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Joseph Wickremasinghe

Vice President, Analytics Consultant | MSCI

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Jorge Mina

Managing Director, Head of Analytics | MSCI

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