MSCI has created frameworks used in the marketplace to improve investment management. Providing clients with insights to help make better investment decisions is our top priority.

Please join us for a half-day workshop aimed at addressing challenges stemming from current market conditions, such as the tapering of Quantitative Easing (QE) programs, the rise of ESG and incorporating macro factors into global strategies.

This workshop will explore best practices in applying analytics, data, and research to investment portfolios in order to effectively manage these challenges.


  • The Implications of QE Tapering on Portfolio Strategies
  • Incorporating ESG into Portfolio Construction
  • How Macro Themes or Factors Can Be Used to Manage Global Multi-asset Class Portfolios

Register Now

Nov 16, 2017



11:00 a.m. - 6.30 p.m.

*Box Lunch will be Provided


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


Thursday Nov 16, 2017
11:00 a.m. Registration
11:30 a.m. Networking Lunch
1:00 p.m.

Evaluation of a Credit Value Strategy in the Presence of Quantitative Easing
Andy Sparks, Managing Director & Head of Fixed Income Research, MSCI

Markets are now focused on central banks rolling back their QE programs. As a case study in QE, we examine the ECB’s corporate bond purchase program using MSCI’s portfolio construction and performance evaluation tools. What has been the impact of the program and what happens as it is wound down?

2:00 p.m.

Using Macro Factors to Manage a Global Multi Asset Class Portfolio
Jorawar Singh, Senior Associate, Asset Owner & Investment Client Consultant, MSCI

Global multi-asset class investors face significant complexities in understanding the drivers of risk and return of their portfolios. We look at MSCI’s Macro Factor methodology, which are used to explain portfolio exposures using a significantly smaller set of thematic factors (Equity, Interest Rates, Credit, Inflation, Real Assets, and Pure Alternatives factors). We also show how Macro factors can be integrated in risk management and reporting processes. A case study is presented that shows how different tiers of Macro factors can be used to communicate core risk drivers for a global, multi asset class portfolio comprised of traditional, alternative, and illiquid strategies.

3:00 p.m.

Equity Factor Dynamics
Alex Johnson, Vice President, Hedge Fund Client Consultant, MSCI

Equity factor returns can vary widely from one cycle to another. In this presentation, we explore the higher moments in equity factor returns, specifically evaluating the skewness of style factor returns over time. We will review:

  • How to measure the extent and significance of skewness in the returns
  • Signatures of persistent skewness across different styles factors, and the cross-sectional variation across different years
  • The investor implications of exposure to factors with significant negative skewness and the down-side risk interpretation
  • Is skewness a leading indicator of future factor performance?
4:00 p.m.

Incorporating ESG into Portfolio Construction
Emilio Olivares, Executive Director, Analytics Client Consultant Team Leader, MSCI
Sarah Greenberg, Executive Director, ESG Americas Coverage, MSCI

Investors are increasingly focusing on environmental, social and governance (ESG) issues to ensure long-term sustainability of their portfolio returns.  This case study shows how portfolio managers can use MSCI’s ESG research, indexes, and analytics to understand their ESG tilts.  Additionally, we show how managers can use MSCI’s portfolio construction tools to improve their ESG Quality Score, and review the impact on risk and performance from taking on various ESG tilts.

5:00 p.m. Cocktail Reception

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