Goldman Sachs asset management factor model
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Goldman Sachs Asset Management(GSAM) Factor Model is one of the quantitative/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
- ^ Analysis of financial statements By Pamela P. Peterson, Frank J. Fabozzi