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[edit]
- ^ Peterson, Pamela P.; Fabozzi, Frank J. (2006). Analysis of financial statements. Hoboken: Wiley. ISBN 0471719641.