Goldman Sachs asset management (GSAM) factor model is one of the quantitative/ factor models used by

financial analyst A financial analyst is a professional, undertaking financial analysis for external or internal clients as a core feature of the job. The role may specifically be titled securities analyst, research analyst, equity analyst, investment analyst, o ...

s to assess the performance and financial condition of a company. Typically

quantitative model Quantitative may refer to: * Quantitative research, scientific investigation of quantitative properties * Quantitative analysis (disambiguation) * Quantitative verse, a metrical system in poetry * Statistics, also known as quantitative analysis ...

s are based on inputs obtained from

financial statement Financial statements (or financial reports) are formal records of the financial activities and position of a business, person, or other entity. Relevant financial information is presented in a structured manner and in a form which is easy to un ...

s(FS). There are various types of

factor model Factor, a Latin word meaning "who/which acts", may refer to: Commerce * Factor (agent), a person who acts for, notably a mercantile and colonial agent * Factor (Scotland), a person or firm managing a Scottish estate * Factors of production, suc ...

s – statistical models, macroeconomic models and fundamental models. A

fundamental factor model Fundamental may refer to: * Foundation of reality * Fundamental frequency, as in music or phonetics, often referred to as simply a "fundamental" * Fundamentalism, the belief in, and usually the strict adherence to, the simple or "fundamental" idea ...

uses company and industry attributes and

market data ''For market data as used in marketing, see marketing information system'' In finance, market data is price and other related data for a financial instrument reported by a trading venue such as a stock exchange. Market data allows traders ...

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 Equity may refer to: Finance, accounting and ownership *Equity (finance), ownership of assets that have liabilities attached to them ** Stock, equity based on original contributions of cash or other value to a business ** Home equity, the diffe ...

. Goldman Sachs Asset Management factor model uses the following three measures. * (A). Value ** i. Book/price ** ii. Retained

EPS EPS, EPs or Eps may refer to: Commerce and finance * Earnings per share * Electronic Payment Services, in Hong Kong, Macau, and Shenzhen, China * Express Payment System, in the Philippines Education * Edmonton Public Schools, in Edmonton, ...

/price ** iii

EBITD A company's earnings before interest, taxes, depreciation, and amortization (commonly abbreviated EBITDA, pronounced , , or ) is a measure of a company's profitability of the operating business only, thus before any effects of indebtedness, sta ...

enterprise value Enterprise value (EV), total enterprise value (TEV), or firm value (FV) is an economic measure reflecting the market value of a business (i.e. as distinct from market price). It is a sum of claims by all claimants: creditors (secured and unsecured) ...

* (B). Growth and momentum ** i. Estimate revisions ** ii. Price momentum ** iii.

Sustainable growth Sustainable development is an organizing principle for meeting human development goals while also sustaining the ability of natural systems to provide the natural resources and ecosystem services on which the economy and society depend. The d ...

* (C). Risk ** i. Beta ** ii.

Residual risk The residual risk is the amount of risk or danger associated with an action or event remaining after natural or inherent risks have been reduced by risk controls. The general formula to calculate residual risk is : \text = (\text) - (\text) where ...

** iii.

Disappointment risk Disappointment is the feeling of dissatisfaction that follows the failure of Expectation (epistemic), expectations or hopes to manifest. Similar to regret (emotion), regret, it differs in that a person who feels regret focuses primarily on th ...

References

External links

MIT Financial-Management course notes
{{stock market Fundamental analysis Stock market Goldman Sachs Financial models