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Goldman Sachs asset management factor model

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Goldman Sachs Asset Management(GSAM) Factor Model is one of the quntitative/factor models used by financial analysts to assess the performance and financial condition of a company.[1] Typically quantitative models are based on inputs obtained from financial statements(FS). There are various types of factor models - statistical models, macroeconomic models and fundamental models. A fundamental factor model uses company and industry attributes and market data known as "factors" to explain a company's historical returns. Since the input factors from FS may be questionable or the data may not be comparable over time this model includes a factor that is based on an assessment by equity analysts performing traditional equity analysis.

Goldman Sachs Asset Management factor model uses the following three measures.

  • (A). Value
    • i. Book/Price
    • ii. Retained EPS/Price
    • iii EBITD/Enterprise value
  • (B). Growth and momentum
    • i. Estimate revisions
    • ii. Price momentum
    • iii. Sustainable growth
  • (C). Risk
    • i. Beta
    • ii. Residual risk
    • iii. Disappointment risk

References

  1. ^ Analysis of financial statements By Pamela P. Peterson, Frank J. Fabozzi
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