Saurabh focuses on research that supports new and existing indexes and risk models, including factor, ESG and economic exposure indexes, as well as performance and risk attribution. Previously, Saurabh was a Vice President in Nomura’s Quantitative Equity Strategy team. In this role, he carried out thematic research and financial modelling. He also published quantitative models which helped recommend portfolio allocation. Saurabh graduated from the Indian Institute of Technology with a B.Tech. in Chemical Engineering. He is a CFA charterholder.
Research and Insights
Articles by Saurabh Katiyar
The Ups and Downs of Small Caps and Inflation2 mins read Quick Take | Aug 21, 2023 |
Inflation appears to have peaked at the end of 2022, but it remains influential in capital markets. We analyzed nearly 50 years of data to assess how small caps’ performance has changed with shifts in both the level and trend of inflation.
Small Caps Have Been a Big Story After Recessions6 mins read Blog | Jul 17, 2023 |
Some investors are already evaluating opportunities offered by a post-slowdown world. One of these opportunities is small-cap stocks, which have historically outperformed large caps, especially after recessions.
European Equities: A Door to China’s Reopening?Quick Take | Jun 14, 2023 |
Could investors participate in China’s reopening other than by directly investing in China shares? We looked at 14 European equity markets and compared their economic exposure to the Chinese economy.
Value’s Lost Decade: Learning from Value Strategies’ Behavior over Two Contrasting DecadesResearch Report | Feb 1, 2023 |
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.
The Performance of ESG Indexes: Year in Review6 mins read Blog | Jan 31, 2023 |
There were several dynamics that influenced the performance of ESG indexes in 2022. We examine the impact of macroeconomic and financial conditions on returns in the short- and long-term.
Climate Indexes' Year in Review: The Journey Toward a Low-Carbon Transition6 mins read Blog | Jan 26, 2023 |
There have been several dynamics that influenced climate-index performance in 2022. We examine the impact of macroeconomic and financial conditions on risk, return and sectors, as well as the management of low-carbon transition risks.
Parallel Benchmarking for Climate Alignment5 mins read Blog | Jan 5, 2023 |
Broad market-cap weighted indexes might not fully assess climate-objective alignment. We believe that an appropriate parallel benchmark could help illustrate this alignment, improve transparency and allow investors to make more informed decisions.
ESG Indexes Lifted by Carbon-Efficient Firms but Underperformed6 mins read Blog | Oct 31, 2022 |
While much of the market volatility endured, the MSCI ESG Indexes’ performance drivers varied from the first half to the third quarter of 2022. We examine the impact of macroeconomic and financial conditions on returns in the short- and long-term.
Innovation Investing and Equity AllocationsResearch Report | Oct 14, 2022 |
Innovation investing has gained momentum over the past few years. Our research focuses on systematically investing in companies that seek to capitalize on opportunities created by megatrends and innovation-driven themes.
Despite Energy Outperformance, Climate Indexes Were Resilient6 mins read Blog | Oct 6, 2022 |
There have been several dynamics that have influenced climate-index performance in the third quarter and first nine months of 2022. We examine the impact of macroeconomic and financial conditions on risk, return and sectors.
MSCI ESG Indexes Underperformed but Met ESG Objectives6 mins read Blog | Aug 24, 2022 |
There have been specific dynamics that have influenced ESG-index performance in the first half of 2022. We examine the impact of macroeconomic and financial conditions on return in the short- and long-term.
Climate Indexes Brought Short-Term Gloom with Blooming Offshoots5 mins read Blog | Jul 19, 2022 |
There have been several dynamics that have influenced climate-index performance in the first half of 2022. We examine the impact of macroeconomic and financial conditions on risk, return, sectors and factors.
Net-Zero Alignment: Portfolio Construction Approaches for InvestorsResearch Report | Dec 1, 2021 |
Post-COP26, the need to reach net-zero is more compelling than ever. How can investors approach a net-zero pathway in their equities portfolio? We explore three portfolio-construction approaches that target reductions in carbon emissions over time.
Understanding MSCI Climate Indexes: Methodologies, Facts and FiguresResearch Report | Nov 2, 2021 |
Integrating climate considerations into benchmarks is one way to build a consistent framework for integrating climate risk across an entire equity portfolio. We discuss four categories of climate indexes that reflect investor objectives and preferences.
ESG and Climate Derivatives in Equity Exposure ManagementResearch Report | Jul 14, 2021 |
Sustainable investing is on the rise around the world. We review four case studies involving global equities as a way to explore how investors could have used sustainable derivatives when managing ESG and climate-transition risk exposures.
Bringing Value to the 21st Century8 mins read Blog | Apr 28, 2021 |
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.
In Spring, Does an Investor’s Fancy Lightly Turn to Value?Podcast | Apr 1, 2021 |
Despite a decade or so of disappointing performance, value’s recent uptick merits examination into what drove its performance historically, and if conditions have changed or if the factor needs to be redefined. We look at near- and long-term performance with Hitendra Varsani, Executive Director, Global Solutions Research, and Saurabh Katiyar, Executive Director, MSCI Research.
Value-Performance Anxiety8 mins read Blog | Mar 23, 2021 |
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.
Kuwait’s Move from Frontier to Emerging Market6 mins read Blog | Dec 14, 2020 |
Kuwait’s reclassification from frontier to emerging market and inclusion in the MSCI Emerging Markets Index provides investors exposure to yet another Gulf Cooperation Council member, one that has worked to open its doors to foreign investors.
Alternative Views of Equity-Market Liquidity During COVID-19Blog | Aug 26, 2020 |
Institutional investors have typically used traded volume as a way to assess market liquidity. Adding alternative measures that gauge market impact and trading costs can provide a more comprehensive view for portfolio managers and traders.
Did Value-Factor Exposure Deliver for Value Funds?5 mins read Blog | Jun 29, 2020 |
Building on previous MSCI research into the nuanced performance of the value factor, including the impact of sectors and other style factors, we look at how exposure to value drove the performance of actively managed value funds.
Aramco IPO shows importance of timely index inclusionBlog | Feb 4, 2020 |
Saudi Aramco’s IPO showed why single-country index providers may sometimes need to include companies (especially larger ones) outside of scheduled reviews, as they work to bridge gaps between a country’s equity index exposure and economic drivers.
Beware high dividend yield trapsBlog | Oct 25, 2019 |
During low interest-rate, high-volatility environments, some investors have turned to high dividend-paying stocks. However, overly simplistic approaches to selecting dividend-paying securities exposed investors to potential “yield traps.” Could these traps have been avoided?
Factor investing in Saudi Arabia: size matters5 mins read Blog | May 7, 2019 |
Foreign interest has risen in Saudi Arabia following the easing of foreign-ownership limits. Our analysis shows investors would have benefited by controlling for exposure to small-cap companies.
Saudi Arabia inclusion and emerging marketsBlog | Mar 28, 2019 |
Saudi Arabian stocks will be included in the MSCI Emerging Markets Index and the MSCI ACWI Index in a two-step process starting in June this year. With the first step of inclusion of the MSCI Saudi Arabian Index coming shortly, we ask how inclusion of this Middle Eastern market would have affected the MSCI EM Indexes.
Equity valuations resist running with the bullsBlog | Aug 23, 2018 |
The U.S. bull market is now the longest in history, leading the way for strong global equity returns over the 10 years since the financial crisis. What does this mean for valuations? We found that while they are high, they have not reached extreme levels. What’s more, there are distinct valuation characteristics across regions, sectors and factors that may create potential investment opportunities.
Currency Hedging: Adapting to VolatilityResearch Report | Apr 26, 2016 |
In the past, institutional investors largely ignored currency hedging in their international equity portfolios. With the globalization of the equity portfolio and recent market volatility, they no longer can afford to do so. However, how to hedge foreign-exchange exposure is receiving renewed scrutiny. Static hedges have delivered higher risk-adjusted returns compared with unhedged portfolios over a long-term horizon. The static hedge, however, faces challenges in adapting to changing market...
The MSCI Adaptive Hedge IndexesResearch Report | Mar 10, 2016 |
Global equity portfolios expose investors to currency risk. Those wishing to minimize currency effects often hedge that currency exposure without touching their underlying international equity portfolios. However, currency fluctuations may also increase the investment returns and those movements can be sharp. We describe how the MSCI Adaptive Hedge Indexes use versions of four well-known currency indicators – Value, Momentum, Carry, and Volatility – to systematically determine a level of...
Harvesting Equity Yield: Understanding Factor InvestingResearch Report | Dec 15, 2015 |
Ever since central banks slashed interest rates in response to the Global Financial Crisis, many institutional and retail investors turned to high dividend-paying equities to meet their needs for income. However, a naïve high-yielding equity strategy can expose itself to various “yield traps,” such as those stemming from temporarily high earnings, high payouts or low stock price. We find that the yield factor has tended to perform well during a structurally low and rising interest rate...