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We utilize various proprietary and publicly available tools to evaluate the key drivers of return, as well as conduct deep analysis on the underlying collateral and security structure in order to uncover positive relative value opportunities.

Macro Level Factors

The team reviews regulatory changes and macro factors, such as housing fundamental and, consumer and investor behavior, to gauge how these may impact mortgage and securitized credit markets.

Deep Collateral Metrics

We perform intensive collateral analyses, including loan level collateral risk and structural risk, both of which we believe are essential to proper evaluation and management of a securitized credit portfolio.

Structural Evaluation

We conduct comprehensive structural analyses, including priorities of payments, allocation of losses, credit enhancement, cash-flow triggers, event of default language and optional redemptions.

Robust Scenario Analysis

We perform robust scenario analyses, which helps the team assess the default and prepayment probability of the underlying loans in a deal under a variety of economic scenarios.

Proprietary Risk Management

By adding a layer of surveillance tools, we are able to conduct in-depth portfolio analysis.


Strives for consistent strong performance

We focus on active management across balanced, diversified strategies as we seek to deliver strong, consistent performance for our clients.


Multi-layered risk management

Risk management is viewed as an essential element of GSAM’s underlying investment philosophy and forms an integral part of our investment process. We aim to ensure that active risk is employed intelligently, sized appropriately, diversified broadly and remains within the acceptable parameters of the portfolio. Our proprietary risk-monitoring model estimates risk at many levels of detail – at the aggregate portfolio level and at the individual security level, allowing the Securitized team to match positioning to risk and manage compliance of commodities portfolios with their stated risk targets.


Research intensive process

We believe our research-intensive process helps uncover relative value investment opportunities in securitized markets. For example, while prepayment behavior is a key driver of returns in the mortgage-backed market, we believe it is a factor that is not well measured by market participants. Our research efforts in this space are focused on understanding various factors that impact prepayment behavior and whether these factors are appropriately valued by the market. In addition, we leverage our experienced team, internal research and publicly available data to develop views on fundamentals and dynamics driving security valuations.


Sophisticated proprietary analytical models

We have committed ourselves to developing tools and models which give us the ability to value, trade and perform ongoing surveillance on mortgage and securitized credit investments. For example, we have developed a proprietary loan-level credit, default and prepayment model which effectively re-underwrites the default and prepayment probability of every loan in a deal.