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Saurabh Katiyar

Saurabh Katiyar
Executive Director, MSCI Research

About the Contributor

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.

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Contributions by Saurabh Katiyar

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  1. BLOG

    Bringing Value to the 21st Century 

    Apr 28, 2021 Mehdi Alighanbari , Arihant Jain , Saurabh Katiyar , Katiyar Saurabh

    Factors , Global Investing

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    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. 

  2. BLOG

    Value-Performance Anxiety 

    Mar 23, 2021 Mehdi Alighanbari , Saurabh Katiyar

    Global Investing , Factor Investing

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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.

  3. BLOG

    Kuwait’s Move from Frontier to Emerging Market 

    Dec 14, 2020 Saurabh Katiyar , Ashish Lodh

    Global Investing

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    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.

  4. BLOG

    Alternative Views of Equity-Market Liquidity During COVID-19 

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

    Emerging Markets , Global Investing , Risk Management

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    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.

  5. BLOG

    Did Value-Factor Exposure Deliver for Value Funds? 

    Jun 29, 2020 Saurabh Katiyar , Ashish Lodh , Vishad Bhalodia

    Factor Investing , Global Investing

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    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.

  6. MSCI introduced IndexMetrics® in 2013 as a lingua franca for evaluating and monitoring factor indexes along several dimensions, for a multiperspective analysis. As markets and investment processes continued to evolve, we have enhanced the IndexMetrics framework to keep it relevant. But the foundation remains: a framework designed to provide investors with quantitative measures along four dimensions — key metrics, performance, exposure and investability. Here, we provide an update to the “Introducing MSCI IndexMetrics” launch paper, including a comprehensive overview of the IndexMetrics analytical framework for factor indexes, as well as expanded coverage of ESG and thematic indexes.

  7. BLOG

    Aramco IPO shows importance of timely index inclusion 

    Feb 4, 2020 Saurabh Katiyar

    Emerging Markets , Global Investing

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    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.

  8. 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?

  9. BLOG

    Factor investing in Saudi Arabia: size matters 

    May 7, 2019 Saurabh Katiyar , Neeraj Dabake

    Factor Indexes , Factor Investing

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    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.

  10. BLOG

    Saudi Arabia inclusion and emerging markets 

    Mar 28, 2019 Saurabh Katiyar

    Equity Themes , Emerging Markets , Global Investing

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    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.

  11. BLOG

    Equity valuations resist running with the bulls 

    Aug 23, 2018 Saurabh Katiyar

    Factors , Integrated Risk Management

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    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.

  12. 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 regimes. A dynamic approach that uses systematic signals such as Value, Momentum, Carry and Volatility delivered better risk-adjusted returns than traditional static hedge methods in our sample period, offering a new approach for volatile markets.

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