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Chenlu Zhou

Chenlu Zhou
Vice President, Multi-Asset Class Factor Research Team

About the Contributor

Chenlu Zhou is a Vice President of Multi-Asset Class Factor Research Team. Her team is responsible for the curves and risk factors in MSCI’s multi-asset class RiskManager and BarraOne platforms. Previously, she led the development of a new generation of MSCI Fixed Income factor models. Chenlu has a Master’s in Financial Engineering from the University of California at Los Angeles, and a B.S. in mathematics from Peking University.

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Blog posts by Chenlu Zhou

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  1. BLOG

    A smoother ride? Looking at factor-based asset allocation 

    Sep 3, 2019 Andrea Amato , Chenlu Zhou

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    Strategic asset allocation has been an important driver of multi-asset-class portfolios’ returns.Traditionally, many investors have followed a holdings-based approach — where decisions are based on asset-class weights in the portfolio. On the surface, this appears to produce a stable allocation, but is what you see always what you get? In our example below, a factor-based approach resulted in less fluctuation in risk contributions and total portfolio risk than a holdings-based approach.

  2. BLOG

    Speed bump or regime shift? Deconstructing the recent spike in equity market volatility 

    Feb 23, 2018 Chenlu Zhou

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    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?

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