Goldman Sachs quant investors overseeing $75 billion built a new pandemic-era risk factor from scratch. 2 GSAM execs walked us through how it works and their process for refining the model.

· Goldman Sachs Asset Management's Quantitative Investment Strategies team, which manages $75 billion, developed a risk factor specifically for the coronavirus and continue to maintain it today.
· The signal was first created in January to understand the exposure QIS's Equity Alpha franchise had to the virus.
· The QIS team...