Goldman Sachs asset management factor model
Goldman Sachs asset management 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. 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.
- . Value
- * i. Book/price
- * ii. Retained EPS/price
- * iii EBITD/enterprise value
- . Growth and momentum
- * i. Estimate revisions
- * ii. Price momentum
- * iii. Sustainable growth
- . Risk
- * i. Beta
- * ii. Residual risk
- * iii. Disappointment risk