The Goldman Sachs asset management (GSAM) factor model is a quantitative investment model used by financial analysts to assess the potential performance and risk of company. Goldman Sachs asset management factor model: Explained, tiomarkets.com
There are various types of factor models – statistical models, macroeconomic models and fundamental models. While Goldman Sachs employs several, "Multi-Factor Strategies: A Look Under the Hood", gsam.com Equity Factor Investing 101, gsam.com that described below is of the latter type.
The quantitative model here uses company and industry attributes, Goldman Sachs asset management factor model -definition, capital.com as well as market data, to explain a company's historical returns: relationships are derived based on inputs obtained from financial statements coupled with observed share performance. (Since published financials may be questionable or the data may not be comparable over time, this model includes a factor based on an assessment by an equity analyst performing traditional fundamental analysis). Specifically, the model incorporates the following: (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
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