I pronounce it A-le-kine since that pronunciation really got under the skin of the anti-Semitic Alexander who considered it a Jewish pronunciation.

His name is Алехин in Russian. I don`t know how to transliterate the pronunciation but it would be:

A-le-ch-in

A - as in but

le - as in small yet (said together)

ch - you are right about Bach  (it is a bit softer) or as in loch. (not k - it is soft)

in - as in in

I read somewhere it is pronounced, 'Ool Yah Kin'

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I think I'll just call him Al.