TheGoldman Sachs asset management (GSAM) factor model is aquantitative investment model used byfinancial analysts to assess the potential performance and risk of company.[1][2][3] There are various types offactor models – statistical models, macroeconomic models and fundamental models. WhileGoldman Sachs employs several,[4][5]that described below is of the latter type.[3]
The quantitative model here uses company and industry attributes,[3]as well asmarket data, to explain a company's historical returns: relationships are derived based on inputs obtained fromfinancial statements coupled with observed share performance. (Since published financials may be questionable or the data may not be comparable over time, this model includes a factor based on an assessment by anequity analyst performing traditionalfundamental analysis).Specifically, the model incorporates the following:
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