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Mehdi Alighanbari

Mehdi Alighanbari

Executive Director, MSCI Research

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.

Research and Insights

Articles by Mehdi Alighanbari

    Navigating Inflation in Equity Portfolios

    5 mins read Blog | Aug 25, 2022 | Mehdi Alighanbari , Anshul Kamra

    Stock-level inflation sensitivity can help investors assess a portfolio’s exposure to inflation. We use this metric to construct hypothetical portfolios aligned with investors’ range of views on inflation.  

    Inflation Sensitivity and Equity Returns

    6 mins read Blog | Aug 17, 2022 | Mehdi Alighanbari , Anshul Kamra

    Inflation and the chatter around inflation have been rising since last year (as shown in the exhibit below) following years of relatively tame inflation. This macroeconomic shift is likely to have both a short- and long-term impact on asset prices and has raised many important questions for investors.

    Analyst Sentiment as a Factor Consideration

    Research Report | Jul 25, 2022 | Waman Virgaonkar , Mehdi Alighanbari , Ashish Lodh , Abhishek Gupta

    An analyst’s equity opinion encompasses how different interrelated forces may impact the future performance of a company. We sought to define the analyst-sentiment factor, while assessing its relationship with other traditional equity style factors. 

    Value’s Lost Decade

    Research Report | May 6, 2022 | Mehdi Alighanbari , Arihant Jain , Saurabh Katiyar , Waman Virgaonkar

    Value rebounded in 2021, after more than a decade of lackluster performance. No matter what the expectation going forward, there are useful lessons to be learned from value strategies’ behavior over the past two decades.

    Spotlight on the Markets: Are Supply Chains the New Grinch

    6 mins read Blog | Dec 3, 2021 | Ana Harris , Mehdi Alighanbari

    The 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.

    Controlling Idiosyncratic Risk in Value Strategies

    6 mins read Blog | Nov 18, 2021 | Waman Virgaonkar , Mehdi Alighanbari

    We 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.

    Industry Momentum Across Regions

    5 mins read Blog | Sep 27, 2021 | Waman Virgaonkar , Mehdi Alighanbari

    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.

    How a Shift Toward Buybacks Affected Yield Strategies

    6 mins read Blog | Sep 3, 2021 | Mehdi Alighanbari , Arihant Jain

    For 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.

    Industry Momentum

    Research Report | Aug 12, 2021 | Mehdi Alighanbari , Waman Virgaonkar

    Stock-level momentum has been a strong-performing factor, historically, but industry-level momentum has also shown significant historical premium. While the two were closely related, unique information was embedded in each and a combined momentum factor outperformed each individually.

    Fresh IPO Stocks and Indexes: In or Out?

    6 mins read Blog | Aug 3, 2021 | Arihant Jain , Mehdi Alighanbari

    Depending 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.

    Purifying Value

    6 mins read Blog | Jun 29, 2021 | Waman Virgaonkar , Mehdi Alighanbari

    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.

    Escaping to Equities for Yield

    6 mins read Blog | Jun 10, 2021 | Arihant Jain , Mehdi Alighanbari

    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?

    The Theory of (Value) Relativity

    5 mins read Blog | May 5, 2021 | Waman Virgaonkar , Mehdi Alighanbari

    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. 

    Bringing Value to the 21st Century

    8 mins read Blog | Apr 28, 2021 | Arihant Jain , Mehdi Alighanbari , Saurabh Katiyar , Katiyar Saurabh

    In 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. 

    Value-Performance Anxiety

    8 mins read Blog | Mar 23, 2021 | Mehdi Alighanbari , Saurabh Katiyar

    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.

    Managing Portfolios in a Low-Rates Age

    Research Report | Nov 9, 2020 | Mehdi Alighanbari

    Lower fixed-income returns have led some insurance companies to revise asset allocations. While equities can potentially increase performance, returns have been more volatile, even over longer horizons — and insurers may have limitations on equity allocations. Is there an efficient way for insurers to include equities, as well as ESG-aware investments in their investment strategy?

    Growth Without the Side Effects

    Blog | Aug 17, 2020 | Mehdi Alighanbari

    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.

    Resilient stocks during the dog days of March

    Blog | Apr 17, 2020 | Mehdi Alighanbari

    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.

    Growth’s recent outperformance was and wasn’t an anomaly

    Blog | Sep 20, 2019 | Mehdi Alighanbari , Shubhangi Sharma

    Growth 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.

    A Defensive Approach to Factor Portfolios

    Research Report | Sep 10, 2019 | Mehdi Alighanbari , Shubhangi Sharma

    Low-volatility indexes have been attractive to some investors, mainly due to their defensive and low-risk characteristics.

    The Growth-Factor Premium: Seeking a Systematic Approach for Capturing It

    Research Report | Jun 5, 2019 | Mehdi Alighanbari , Dimitris Melas , Shubhangi Sharma

    While used extensively by active managers as part of their security-selection decisions, the growth factor has been largely left out of the factor-index investing landscape, at least in its simplest form. This paper explores why and offers a way to capture this factor with a systematic, rules-based approach.

    What has affected minimum volatility index performance?

    Blog | Jan 31, 2019 | Mehdi Alighanbari , Waman Virgaonkar

    As 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.

    The MSCI Minimum Volatility Indexes: 10 Years On

    Research Report | Dec 14, 2018 | Mehdi Alighanbari , Shubhangi Sharma

    2018 marked the 10-year anniversary of the MSCI Minimum Volatility Indexes. Launching just prior to the global financial crisis, which caused sharp equity market falls, and the indexes’ behavior “out-of-sample” since launch have led to adoption by a large number of asset owners and the indexes’ serving as the basis for a wide range of ETFs that have gathered significant assets. Here, we contrast 10 years of live data with the previous 10 years of backtesting, investigating changes in the...

    What’s Your Factor Footprint?

    Research Report | Apr 6, 2018 | Mehdi Alighanbari , Stuart Doole

    As the more alarmist discussion of factor meltdowns due to crowding has dissipated, institutional investors have turned toward understanding the investment capacity of factor-based strategies. The key question is to gauge how much capital can be invested in funds that replicate factor indexes before their return expectations diminish to unattractive levels. In this Research Insight, we use characteristics of factor indexes to gauge their capacity, using the MSCI Minimum Volatility Index as a...

    The MSCI Factor ESG Target Indexes

    Research Report | Sep 28, 2017 | Padmakar Kulkarni , Mehdi Alighanbari , Stuart Doole

    Institutional investors are moving toward integrating ESG criteria into their portfolios and their factor allocations in particular. But they face key challenges in doing so: How can they enhance their strategies’ ESG profiles while achieving the desired exposure to their target factors? Our research shows this can be achieved by simultaneously incorporating ESG integration alongside factor exposure targeting in index construction. The MSCI Factor ESG target indexes’ “one-step” approach...

    Constructing Low Volatility Strategies

    Research Report | Jan 25, 2016 | Durga Shankar , Mehdi Alighanbari , Stuart Doole , Lokesh Mrig

    Low volatility is one of the few factors that have historically performed well in turbulent markets. Moreover, over long periods of time, this defensive strategy has produced a premium over the market, contravening one of the most basic theories in finance — that one should not be rewarded with greater returns for taking less than market risk. Since the global financial crisis hit in 2008, low volatility has garnered increased attention from institutional investors. In this paper, we explore...

    Multi-Factor Indexes Made Simple

    Research Report | Nov 19, 2014 | Chin Ping Chia , Mehdi Alighanbari

    Multi-factor index fund allocations are increasingly becoming the preferred approach to factor investing. In this paper, we examine the return/risk characteristics of nine static and dynamic weighting strategies over a 36-year period. The results highlight that a simple strategy that equal weights multiple factor indexes has historically proved more effective than many of the more complex approaches - pointing to its potential as a way to combine factors, especially in the absence of...

    MSCI Factor Indexes in Perspective: Insights from 40 Years of Data

    Research Report | Sep 18, 2014 | Padmakar Kulkarni , Subramanian Aylur , Mehdi Alighanbari

    With Research Spotlight - MSCI Factor Indexes in Perspective:Insights from 40 Years of Data, we launch our new publication called the Research Spotlight. IEach paper in the series, we will focus on the key findings of a longer white paper, summarizing the research for a non-technical audience. While certain readers will be drawn to the longer publication for the full scope of the study, the Research Spotlight affords a quick and focused summary for those interested in a concise...

    Research Insight - Factor Indexes in Perspective: Insights from 40 Years of Data Part II: Supplementary Materials - September 2014

    Research Report | Sep 8, 2014 | Padmakar Kulkarni , Subramanian Aylur , Mehdi Alighanbari

    Until recently, MSCI had calculated 25 years of simulated history for its factor indexes. In this Research Insight, we extend the simulated history to 40 years, providing new insights into the behavior of factor indexes over various time periods. We look at factor index behavior over various time frames; the changes in the correlation between factor returns over this period; historical variations in valuation of factor indexes and their exposure to GICS sectors. We also use IndexMetrics,...

    Research Insight - Factor Indexes in Perspective: Insights from 40 Years of Data Part I: Study - September 2014

    Research Report | Sep 8, 2014 | Padmakar Kulkarni , Subramanian Aylur , Mehdi Alighanbari

    Until recently, MSCI had calculated 25 years of simulated history for its factor indexes. In this Research Insight, we extend the simulated history to 40 years, providing new insights into the behavior of factor indexes over various time periods. We look at factor index behavior over various time frames; the changes in the correlation between factor returns over this period; historical variations in valuation of factor indexes and their exposure to GICS sectors. We also use IndexMetrics,...