Goldman Sachs asset management factor model

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

1. Peterson, Pamela P.; Fabozzi, Frank J. (2006). Analysis of financial statements. Hoboken: Wiley. ISBN 0471719641.

External links

• MIT Financial-Management course notes