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, ...
s to assess the performance and financial condition of a company.
Typically
quantitative models 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, su ...
s – statistical models, macroeconomic models and fundamental models. A
fundamental factor model 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 an ...
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
** 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, Al ...
/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, stat ...
/
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 desir ...
* (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)
wher ...
** iii.
Disappointment risk
References
External links
MIT Financial-Management course notes{{stock market
Fundamental analysis
Stock market
Goldman Sachs
Financial models