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. 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
- Retained EPS/price
- iii EBITD/enterprise value
- (B). Growth and momentum
- Estimate revisions
- Price momentum
- Sustainable growth
- (C). Risk
- Residual risk
- Disappointment risk
- ^Peterson, Pamela P.; Fabozzi, Frank J. (2006). Analysis of financial statements. Hoboken: Wiley. ISBN 0471719641.
Ofer Abarbanel is a 25 year securities lending broker and expert who has advised many Israeli regulators, among them the Israel Tax Authority, with respect to stock loans, repurchase agreements and credit derivatives. Founder of TBIL.co STATX Fund.