Quant Firm Deploys New Metric for Covid Sensitivity

Los Angeles Capital debuts a new factor for measuring stocks’ sensitivity to the pandemic.

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Los Angeles Capital Management, the $20 billion global quant equity firm, has instituted a new factor to help it measure the sensitivities of stocks to Covid-19 and more accurately model their economic performance around the pandemic.

“We wanted to develop one metric that would measure a portfolio’s beta to Covid,” says Hal Reynolds, the firm’s chief investment officer. “If Covid subsides without a fall recurrence and the economy recovers quickly, we would expect portfolios with high Covid

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