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Mehdi Alighanbari
Executive Director, MSCI Research
About the Contributor
Mehdi Alighanbari is an Executive Director and Factor Strategist in the Core Equity Research team. The team conducts proprietary research and strategic product development to address clients’ investment problems. Previously, Mehdi served as an equity derivatives strategist at Deutsche Bank. Mehdi has a PhD in Aeronautics and Astronautics from the Massachusetts Institute of Technology and also holds MScs in Electrical Engineering, Aeronautics and Astronautics and Operations Research.
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Blog posts by Mehdi Alighanbari
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BLOG
Spotlight on the Markets: Are Supply Chains the New Grinch
Dec 3, 2021 Ana Harris , Mehdi AlighanbariThe holiday season may only exacerbate supply-chain challenges affecting the availability and prices of goods. In this inaugural edition of Spotlight on the Markets, we analyze performance and how investors are working to rise to the occasion.
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Controlling Idiosyncratic Risk in Value Strategies
Nov 18, 2021 Waman Virgaonkar , Mehdi AlighanbariWe looked at ways to mitigate some of the performance drag of stock-specific risk on value strategies over the last decade by directly controlling for this risk without negatively affecting value-factor exposures or contributions.
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We expand on our analysis of industry momentum to assess the persistence of a premium across different regions and the ability of a rules-based strategy to help investors as they seek to capture this premium.
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How a Shift Toward Buybacks Affected Yield Strategies
Sep 3, 2021 Arihant Jain , Mehdi AlighanbariFor investors who use yield strategies to generate income, a steady stream of dividend payments is important. But with more companies using buybacks as a way to redistribute profits, investors may want to consider a more holistic view of income.
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Fresh IPO Stocks and Indexes: In or Out?
Aug 3, 2021 Arihant Jain , Mehdi AlighanbariDepending on a number of factors, stocks may be added to indexes soon after a company’s IPO, which can affect asset managers who use the indexes to create and benchmark portfolios. We investigate the impact of IPO stocks on index performance.
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Unintended exposure to non-value factors was a large contributor to value’s period of underperformance. We investigate value-portfolio construction when controlling for these exposures while maintaining maximum exposure to value factors.
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In today’s low-rate world, some investors shifted toward historically higher-yielding equities. For others, especially in the insurance industry, the greater risk limited their ability to do so. Was a minimum-variance equity approach a viable option?
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Whether constructing a fundamental factor model, a value strategy or a value index, valuation ratios need context. Time-series and cross-sectional approaches each have pros and cons. But combining the two may have presented a clearer picture.
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Bringing Value to the 21st Century
Apr 28, 2021 Arihant Jain , Mehdi Alighanbari , Saurabh KatiyarIn the second post in our series, we further probe value’s underperformance over the past decade and ask if the historic definition of value remains relevant. We specifically look at whether a company’s valuation can be enhanced by reflecting R&D investments.
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Despite a recent performance lift, many still ask whether the value factor is broken. We analyze the reasons behind its underperformance and start exploring the potential of updates to value definitions and approaches to value-portfolio construction.
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Growth has sometimes been viewed as the opposite of value. By extending the concept of growth at a reasonable price, we were able to capture the growth premium without it being lost to unintended factor exposures.
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While many stocks were in the red in mid-March, as COVID-19 and oil-market shocks took hold, some were “redder” than others. We examine global markets to better understand the characteristics of the more resilient stocks during this period.
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Growth’s recent outperformance was and wasn’t an anomaly
Sep 20, 2019 Shubhangi Sharma , Mehdi AlighanbariGrowth strategies have outperformed value strategies in recent years. Is growth’s recent performance an anomaly when we look at it in a long-term context? The answer: It depends on what you mean by a growth strategy.
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What has affected minimum volatility index performance?
Jan 31, 2019 Waman Virgaonkar , Mehdi AlighanbariAs we head further into 2019, some of last year’s concerns, including market volatility and interest-rate uncertainty, continue to occupy investors’ minds. With the assumption that rates-related concerns continue and uncertainty looms in the global equity markets, the question is how minimum volatility indexes behaved in an environment dominated by these two opposing forces.