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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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Contributions by Chenlu Zhou

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  1. BLOG

    Is US Equity Overvalued? A Macro View 

    Oct 19, 2020 Chenlu Zhou

    Equity Themes , Risk Management

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    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.

  2. BLOG

    The end of an era for the bond-equity relationship? 

    Mar 31, 2020 Chenlu Zhou , Peter Shepard

    Risk Management , Fixed Income

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    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?

  3. BLOG

    What scenarios has the US equity market priced in? 

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

    Risk Management

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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.

  4. BLOG

    A coronavirus stress test for global markets 

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

    Fixed Income , Global Investing , Risk Management

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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.

  5. BLOG

    A smoother ride? Looking at factor-based asset allocation 

    Sep 3, 2019 Chenlu Zhou , Andrea Amato

    Factor Investing , Models/Client Cases , Risk Management

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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.

  6. Asset-allocation approaches have evolved from the traditional 60/40 split to the recent adoption of risk, rather than capital, budgeting across asset classes. However, asset-class buckets are not always clear-cut risk and return drivers. We present a factor-based asset-allocation framework to help investors who have begun to look through asset classes to factors — the underlying drivers of risk and returns.

  7. PAPER

    The MSCI Multi-Asset Class Factor Model 

    Jan 2, 2019 Andrew DeMond , Chenlu Zhou , Peter Shepard , Limin Xiao

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  8. BLOG

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

    Feb 23, 2018 Chenlu Zhou

    Factors , Factor Investing

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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?

  9. PAPER

    Tailoring Bond Recovery Rates: Recommendations and Analytical Impact 

    Jun 18, 2015 Andrew DeMond , Carl Gold , Chenlu Zhou

    Factor and Risk Modeling , Risk Management , Asset Pricing and Valuation

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    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.

  10. PAPER

    Model Insight - Malaysia Fixed Income Model - September 2014 

    Sep 30, 2014 Chenlu Zhou , Andrew DeMond , Jason Kremer

    Factor and Risk Modeling , Risk Management

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    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.

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