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Vipul Jain

Vipul Jain
Vice President, MSCI Research

About the Contributor

Vipul Jain serves on the MSCI research team that investigates the use of data-science techniques and alternative datasets to solve investment problems. Previously, Vipul worked as a quantitative portfolio manager with Motilal Oswal Financial Services, where he managed algorithmic-trading strategies in equity derivatives. Vipul received his bachelor’s degree in electrical engineering from Indian Institute of Technology Madras and is a CFA charterholder.

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Contributions by Vipul Jain


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  1. BLOG

    Finding the Sentiment Hidden in Regulatory Filings 

    Feb 24, 2021 Vipul Jain , Kunal Jha

    Factor Investing

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    Using natural language processing techniques, we constructed a sentiment factor that quantifies changes in the tone and content of company filings, and may be an indicator of future risks facing a company.

  2. BLOG

    Short Interest Factor Performance in Times of Crisis 

    Jun 24, 2020 Vipul Jain , Roman Kouzmenko

    Factors , Factor Investing

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    Given recent short interest factor performance, we asked: What has been the relationship between this factor and large market drawdowns? Were there changes in short selling during COVID-19? Did short-selling bans affect short interest factor performance?

  3. Investors have increasingly turned to equity factors as building blocks for their stock portfolios as a way to measure performance, analyze risk exposures or seek enhanced returns. In recent years, some investors have sought to extend a factor framework to fixed income. But these efforts by and large have not been successful, as equity and fixed-income investors have not been speaking a common language. We simulated the performance of six fixed-income factors — value, low size, quality, momentum, carry and low risk — that broadly align with MSCI’s equity factors. Did these factors offer a risk-return edge?

  4. BLOG

    Did insider transactions have secrets to tell? 

    Nov 19, 2019 Roman Kouzmenko , Vipul Jain

    Factor Investing , Factors , Risk Management

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    Company insiders’ trading of their company’s stock is usually subject to strict rules, including public disclosure. Did observing insider transactions provide more information about expected company performance than traditional sources?

  5. The explosion in alternative data has been a blessing and a curse to investment managers. We have identified one source that provided unique and uncorrelated information when added to analysis of traditional factors and other measures of sentiment. These consumer sentiment metrics may provide investors with additional transparency into sources of risk and return, and could potentially be used to create valuable new factors.

  6. Although factor allocation approaches based on simple diversification techniques such as equal-weight or risk parity are transparent and have performed well historically, some investors, such as valuation-sensitive or macro-sensitive investors, utilize a dynamic approach by adapting factor allocations to be more consistent with their strategic or tactical asset allocation process. An adaptive approach aims to strike a balance between a pure single factor timing strategy and the diversification effects of a multi-factor allocation strategy. We discuss a framework that aims to adapt multi-factor allocations to changing market environments while seeking to preserve some of the diversification benefits of multi-factor investing.