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ON-DEMAND WEBCAST: Using Bond-Level Liquidity Cost Scores (LCS) in Portfolio Management

Liquidity Cost Score (LCS®) is Barclays’ objective, quantitative, bond-level liquidity measure based on bid-ask quotes.

During this presentation, Vadim Konstantinovsky (Quantitative Portfolio Strategy) and Amy Mignosi (Global Head of Research Marketing) will discuss how LCS and its companion metric, Trade Efficiency Score (TES), can help investors:

  • Monitor and report on portfolio and benchmark liquidity
  • Conduct market liquidity analysis
  • Construct and optimize liquidity-constrained portfolios
  • Quantify the effect of transaction costs on alpha strategies

Download the webcast to learn more.

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Speakers

Host

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Lauren Stevens

SVP, Senior Director, Strategy

FactSet

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Vadim Konstantinovsky

Director of Quantitative Portfolio Strategy

Barclays

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Amy Mignosi

Global Head of Research Marketing

Barclays

Host

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Lauren Stevens

SVP, Senior Director, Strategy | FactSet

Ms. Lauren K. Stevens is Senior Vice President, Senior Director Strategy for FactSet’s Content and Technology Solutions at FactSet. In this role, she is responsible for analyzing market research and determining the direction of the FactSet content, cloud, and technology strategy. Since joining FactSet in 2006, she has worked as a Consultant until 2008 and then as an Economic Specialist until 2013 when she assumed her current role. Ms. Stevens earned her B.S. in Policy Analysis from Cornell University.

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Vadim Konstantinovsky

Director of Quantitative Portfolio Strategy | Barclays

Vadim Konstantinovsky is a Director at Barclays, based in New York. He is responsible for bespoke quantitative research projects for fixed income investors, focusing primarily on market liquidity. He has also worked on optimal risk allocation and benchmark replication. Mr. Konstantinovsky joined Barclays in 2008 from Lehman Brothers. Mr. Konstantinovsky co-authored the book Quantitative Management of Bond Portfolios (Princeton University Press, 2007), as well as articles on a wide range of client-motivated topics in fixed income portfolio management.

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Amy Mignosi

Global Head of Research Marketing | Barclays

Amy Mignosi is the Global Head of Research Content Marketing at Barclays based in New York. Amy has been with Barclays since 2008 working in various capacities throughout her tenure including in Data Sales specifically focusing on the Liquidity Cost Scores product, FX sales, and Barclays Live Sales and based in all three of the global centers of Singapore, London and New York.

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