Executive Director, MSCI Research
About the Contributor
Chenlu Zhou is an Executive Director of Multi-Asset Class Factor Research Team. Her team leads the research of multi-asset class factor models, macroeconomics model, and asset allocation. Previously, she has led the development of the new generation of MSCI Fixed Income factor model and MSCI Multi-Asset Class factor model. Chenlu has a Master’s degree in Financial Engineering from University of California at Los Angeles, and a Bachelor of Science degree in Mathematics from Peking University.
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Blog posts by Chenlu Zhou
Short-term credit spreads widened to a greater extent than long-term spreads during the March 2020 COVID-19 crisis. As a result, many U.S. corporate-issuer spread curves flattened or even inverted. What were the implications for corporate-bond investors?
Headed into what some see as “the second wave” of COVID-19, U.S. equity investors may ask: Is this a sustainable market recovery, or a bubble that may burst? We examine the question with our model for market-implied U.S. equity risk premium.
The end of an era for the bond-equity relationship?Mar 31, 2020 Chenlu Zhou , Peter Shepard
Stock and bond prices dropped together during the recent coronavirus sell-off, leading to fears that U.S. Treasurys were no longer the safe haven they had been in previous crises. Did it mark the end of an era of flight to quality?
What scenarios has the US equity market priced in?Mar 13, 2020 Peter Shepard , Andrea Amato , Chenlu Zhou
With the outbreak of the COVID-19 pandemic, the U.S. equity market turned sharply downward. We performed a reverse stress test considering various scenarios that potentially explain current valuations.
A coronavirus stress test for global marketsMar 4, 2020 Thomas Verbraken , Chenlu Zhou , Juan Sampieri
After the coronavirus spread to multiple continents, markets recorded the worst week since the crisis. How much further could markets drop if epidemic turns into pandemic? Our stress test indicates room for further losses.
Speed bump or regime shift? Deconstructing the recent spike in equity market volatilityFeb 23, 2018 Chenlu Zhou
The week of Feb. 5 witnessed a return of market volatility not seen since the days of the euro crisis in 2011. After hovering near 10% for most of the past year, the level of the VIX briefly topped 50%. What caused the spike?