Goldman Sachs asset management factor model (Ofer Abarbanel online library)

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
    • Book/price
    • Retained EPS/price
    • iii EBITD/enterprise value
  • (B). Growth and momentum
    • Estimate revisions
    • Price momentum
    • Sustainable growth
  • (C). Risk
    • Beta
    • Residual risk
    • Disappointment risk

References

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

Ofer Abarbanel – Executive Profile

Ofer Abarbanel online library

Ofer Abarbanel online library

Ofer Abarbanel online library