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.
Research and Insights
Articles by Chenlu Zhou
Credit Strategies During the COVID-19 Crisis4 mins read Blog | Jul 27, 2021 |
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?
Is US Equity Overvalued? A Macro View5 mins read Blog | Oct 19, 2020 |
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?Blog | Mar 31, 2020 |
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?Blog | Mar 13, 2020 |
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 marketsBlog | Mar 4, 2020 |
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.
A smoother ride? Looking at factor-based asset allocationBlog | Sep 3, 2019 |
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.
The MSCI Multi-Asset Class Factor ModelResearch Report | Jan 2, 2019 |
Speed bump or regime shift? Deconstructing the recent spike in equity market volatilityBlog | Feb 23, 2018 |
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?
Tailoring Bond Recovery Rates: Recommendations and Analytical ImpactResearch Report | Jun 18, 2015 |
Bond recovery rates after default vary considerably across seniorities, industries, regions and macroeconomic environments. In this RiskMetrics Technical Note, we update our recommendations for bond recovery rates to reflect this diversity and discuss their impact on bond analytics. To support our new recommendations, we introduce a flexible configuration for managed services clients that provides additional granularity when setting recovery rates for generic bonds.
Model Insight - Malaysia Fixed Income Model - September 2014Research Report | Sep 30, 2014 |
This Model Insight describes the new Barra Malaysia Fixed Income Model, which offers clients an enhanced view of the risk of ringgit-denominated bonds. We have re-estimated the sovereign and swap spread models using improved data sources. Backtests from 2007 to 2014 demonstrate the improved explanatory and forecasting power of the new model.