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Saurabh Katiyar

Saurabh Katiyar

Executive Director, MSCI Research

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

    ESG Indexes Lifted by Carbon-Efficient Firms but Underperformed

    6 mins read Blog | Oct 31, 2022 | Saurabh Katiyar , Yuliya Plyakha Ferenc

    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 Allocations

    Research Report | Oct 14, 2022 | Saurabh Katiyar , Mehdi Alighanbari , Ashish Lodh , Ketaki Garg

    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 Resilient

    6 mins read Blog | Oct 6, 2022 | Saurabh Katiyar , Manish Shakdwipee , Xinxin Wang

    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 Objectives

    6 mins read Blog | Aug 24, 2022 | Yuliya Plyakha Ferenc , Saurabh Katiyar

    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 Offshoots

    5 mins read Blog | Jul 19, 2022 | Saurabh Katiyar

    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.

    Value’s Lost Decade

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

    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.

    Net-Zero Alignment: Portfolio Construction Approaches for Investors

    Research Report | Dec 1, 2021 | Saurabh Katiyar , Guillermo Cano

    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 Figures

    Research Report | Nov 2, 2021 | Saurabh Katiyar , Guillermo Cano , Guido Giese

    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 Management

    Research Report | Jul 14, 2021 | Saurabh Katiyar , Rohit Mendiratta , Hitendra D Varsani

    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 Century

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

    Kuwait’s Move from Frontier to Emerging Market

    6 mins read Blog | Dec 14, 2020 | Saurabh Katiyar , Ashish Lodh

    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-19

    Blog | Aug 26, 2020 | Saurabh Katiyar , Reil Abucay , Chirag Gosar

    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 | Saurabh Katiyar , Ashish Lodh , Vishad Bhalodia

    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 inclusion

    Blog | Feb 4, 2020 | Saurabh Katiyar

    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 traps

    Blog | Oct 25, 2019 | Saurabh Katiyar , Jean-Maurice Ladure , Ashish Lodh , Katiyar Saurabh

    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 matters

    5 mins read Blog | May 7, 2019 | Saurabh Katiyar , Neeraj Dabake

    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 markets

    Blog | Mar 28, 2019 | Saurabh Katiyar

    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 bulls

    Blog | Aug 23, 2018 | Saurabh Katiyar

    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 Volatility

    Research Report | Apr 26, 2016 | Saurabh Katiyar , Stuart Doole , Wei Zhen

    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...