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Chenlu Zhou

Chenlu Zhou
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

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  1. BLOG

    What scenarios has the US equity market priced in? 

    Mar 13, 2020 Chenlu Zhou , Peter Shepard , Andrea Amato

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    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.

  2. BLOG

    A coronavirus stress test for global markets 

    Mar 4, 2020 Thomas Verbraken , Chenlu Zhou , Juan Sampieri

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    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.

  3. BLOG

    A smoother ride? Looking at factor-based asset allocation 

    Sep 3, 2019 Andrea Amato , Chenlu Zhou

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    On the surface, holding-based asset allocation appears to produce stability. But is what you see always what you get? We investigate the pros and cons of a factor-based approach.

  4. 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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