Goldman Sachs asset management factor model

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. 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
 * 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