MSCI Global Investing & Risk Management Conference

Please join us at The Ritz-Carlton for the MSCI Global Investing & Risk Management Conference in New York on October 18, 2017. We are delighted to announce our keynote speaker John Authers, Chief Investment Columnist, Financial Times. Now in his 25th year at the FT, he has long been one of the most influential economic journalists in the world.

You can access a copy of all the presentation slides here:

Password: msci2017

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Oct 18, 2017

|New York, NY


8:00 a.m. - 6:00 p.m.


The Ritz-Carlton New York, Battery Park
Two West Street
New York, NY 10004


Oct 18, 2017
8:00 a.m. Event Registration
8:45 a.m.

Welcome and Opening Remarks
Jorge Mina, Managing Director, Head of Analytics, MSCI

John Authers, Chief Investment Columnist, Financial Times
9:30 a.m.

PANEL DISCUSSION: Investment Decisions in an Unstable Environment

  • Are traditional approaches to investment appropriate to today’s environment?
  • What is the risk of equity valuations, credit spreads and the VIX reverting back toward historical levels? 
  • Has the changing political landscape affected the long-term investing outlook?
  • Globalization vs. protectionism: How is the balance affecting your decision making?
  • What tools and strategies are needed to manage uncertainty?


  • John Authers, Chief Investment Columnist, Financial Times


  • Roy D. Henriksson, Chief Investment Officer, QMA
  • Colin Moore, Global Chief Investment Officer, Columbia Threadneedle Investments
  • Hylton Socher, Managing Director & Chief Technology Officer, Fortress Investment Group
  • Bill Stone, Executive Vice President and Global Chief Investment Strategist, PNC Asset Management Group
10:30 a.m.


10:45 a.m.

Multi-Asset Class  Factor Investing    
Factor investing is transforming the investment industry, as factor-based asset allocation changes the allocation process, and factor-based “smart beta” changes the landscape of active management. We introduce the new MSCI Multi-Asset Class Model, which facilitates factor investing across the total portfolio, including macro factors for factor-based asset allocation, and new multi-asset class systematic strategy factors to distinguish factor betas from traditional alpha and beta.                         

Presenter: Peter Shepard, Managing Director, Head of Multi-Asset Class Factor ResearchMSCI

Modeling MBS Regime Changes
Agency MBS risk return profiles will be affected by potential regime shifts in interest rate and volatility, mortgage rates benchmarks, prepayment behavior as well as supply/demand changes. We show how MSCI’s MBS models account for these factors.

Presenter: David Zhang, Managing Director, Head of Securitized Products ResearchMSCI

11:25 a.m.

ESG Integration: Spotlight on Corporate Controversy and Portfolio Performance
The importance of considering Environmental, Social and Governance (ESG) criteria in constructing a portfolio is gaining momentum among investors seeking to improve long-term returns. Focusing on corporate controversies, we will explore whether excluding firms embroiled in negative events can help or hurt portfolio performance.

Presenter: Linda-Eling Lee, Managing Director, Global Head of ESG Research, MSCI


Market Risk for Modern Credit Allocations
Investors have shown steady demand for credit in the past few years, driven by the desire for yield amid globally low interest rates. The typical institutional credit allocation now includes significant holdings in leveraged loans, as well as lower quality names. These new exposures present distinctive risks, particularly in light of the signs of a maturing credit cycle in the US. We demonstrate how our new leveraged loan model helps capture the risk of a modern credit portfolio and introduce a new approach for distressed asset market risk.

Presenter: Andrew DeMond, Executive Director, Multi Asset Class Research, MSCI

12:00 p.m. Lunch
1:20 p.m.

Portfolio Optimization and Fixed Income Index Replication
Institutional investors who track portfolio returns against fixed income indexes are often confronted with large transaction costs. In our analysis, we first consider the effectiveness of passive ETFs in matching index returns after transaction costs.  We then use our portfolio optimizer to construct an index replication strategy using cash bonds. We explicitly consider the trade-off between portfolio liquidity and tracking error volatility.

Presenter: Andy Sparks, Managing Director, Head of Fixed Income Research StrategiesMSCI

Liquidity Risk Management: A Fixed Income Case Study
Data quality is critical in assessing the liquidity of fixed income instruments, particularly those with little trading activity. Through our recent integration of detailed pricing and liquidity data from IHS Markit, we recalibrated our fixed income liquidity surfaces to deliver better resolution and recognition of outliers, increased responsiveness to market conditions and better auditability. In this presentation we will highlight the benefits of this new alliance by analyzing the liquidity of U.S. municipal bonds.

Dan Huscher, Executive DirectorIHS Markit
Andras Bohak, Vice President, Risk and Regulation ResearchMSCI


Anatomy of Active Manager Returns and Creating a Factor Classification Standard
In constructing portfolios asset managers intentionally, and sometimes unintentionally, expose the portfolio to factor tilts that greatly influence fund performance. We show to what extent do factor exposures affect performance, and which factors have had the greatest impact. Given the importance of factors and factor-based investing, we also present the new MSCI Factor Classification Standard (MSCI FaCS) for the analysis and reporting of equity portfolios along standardized factor dimensions as well as highlights of our latest research and innovations in factors.

George Bonne, Executive Director, Equity Factor ResearchMSCI
Raman Aylur Subramanian, Managing Director, Head of Equity Applied Research, AmericasMSCI

Adaptive Validation of Expected Shortfall Models
Expected Shortfall (ES) is the new risk standard in the Basel Committee on Banking Supervision “Minimum Capital Requirements for Market Risk,” but backtesting ES predictions remains a challenge. We present conclusive results of a MSCI’s new backtest with optimal characteristics. As a by-product, the backtest also directly measures the extent of the prediction discrepancy, paving the way to dynamic self-adaptive risk models, with broader potential implications for risk systems across all financial institutions.

Presenter: Carlo Acerbi, MSCI

2:40 p.m. Break
3:00 p.m.

The Quant Liquidity Crunch & Key Trends in 2017 and Beyond
The Quant Liquidity Crunch changed the world of quantitative investing. That seismic event, combined with the subsequent financial crisis, has transformed how investors view risk and how they seek to find excess returns for their portfolios. This talk looks at the lessons learned over the past decade and what they mean for institutional investors.

Presenter: Peter Zangari, Managing Director and Global Head of Research & Product Development, MSCI

3:45 p.m. Q&A with Henry Fernandez
Henry A. Fernandez, Chairman and Chief Executive Officer, MSCI
Jorge Mina, Managing Director, Head of AnalyticsMSCI
4:45 p.m. Closing Remarks
Jeremy Baskin, Head of Client Coverage, Americas, MSCI
5:00 p.m. Networking Reception

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Event Speakers

Carlo Acerbi

Managing Director, Risk Analytics | MSCI

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John Authers

Chief Investment Columnist | Financial Times

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Jeremy Baskin

Head of Client Coverage, Americas | MSCI

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Andras Bohak

Vice President, Risk and Regulation Research | MSCI

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George Bonne

Executive Director, Equity Factor Research | MSCI

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Andrew Demond

Andrew Demond

Executive Director, Multi Asset Class Research | MSCI

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Henry A. Fernandez

Chairman and Chief Executive Officer | MSCI

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Roy D. Henriksson

Chief Investment Officer | QMA

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Dan Huscher

Executive Director | IHS Markit

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Linda-Eling Lee

Linda-Eling Lee

Managing Director, Global Head of ESG Research | MSCI

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Jorge Mina

Managing Director, Head of Analytics | MSCI

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Colin Moore

Global Chief Investment Officer | Columbia Threadneedle Investments

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Peter Shepard

Managing Director, Head of Multi-Asset Class Factor Research | MSCI

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Hylton Socher

Managing Director & Chief Technology Officer | Fortress Investment Group

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Andy Sparks

Managing Director, Head of Fixed Income Research Strategies | MSCI

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Bill Stone

Executive Vice President and Global Chief Investment Strategist | PNC Asset Management Group

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Raman Aylur Subramanian

Managing Director, Head of Equity Applied Research, Americas | MSCI

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Peter Zangari

Managing Director, Global Head of Research and Product Development | MSCI

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David Zhang

Managing Director, Head of Securitized Products Research | MSCI

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