Overview

The Goldman Sachs Grand Prix Index (“GSGRNDPX”) (the “Index”)

• Is sponsored by Goldman Sachs International and was launched on October 28, 2022.
• Uses a rules-based strategy designed to provide exposure to a long only portfolio consisting of an underlying equity component (US technology equity futures) and an underlying bond component (US treasury futures) (each, an “Index Component”, and together, the “Index Components”). The Index dynamically adjusts the weights of the Index Components on a daily basis based on a risk parity allocation as well as certain calendar based signals and price patterns (the “Market Signals”)
• The Index Components provide exposure to:
  • Equities, through the US Technology Equity Futures Rolling Strategy Series Q Excess Return Index (“Equity Asset”); and
  • Bonds, through the Goldman Sachs 10-year Treasury Future Exchange Close Index N1 Class C (“Bond Asset”);
• Each of the following Market Signals are calculated for the Equity Asset:
  • Turn-of-month mean reversion signal
  • Turn-of-month long signal
  • Equity option expiry signal
  • FOMC signal
  • Short-term mean reversion signal
  • Long-term trend signal
• Each of the following Market Signals are calculated for the Bond Asset:
  • Turn-of-month signal
  • Long-term trend signal
• For each Index Component, on each day, a weight for each Market Signal is calculated. The weights from each Market Signal are summed and combined with each Index Component’s respective Base Weight (75% with respect to the Equity Asset and 50% with respect to the Bond Asset) and the resulting weight is subject to certain floors and caps. The realized volatility of each Index Component (taking into account such summed weights), is then measured and, based on that measurement, a “Risk Parity Weight” is calculated for each Index Component. This Risk Parity Weight calculation attempts to allocate equal amounts of volatility between the two Index Components.
• The weights of the Index Components are further adjusted based on:
  • A volatility control feature that is applied daily and uses realized volatility data for each Index Component, as well as future expected volatility for the Equity Asset, to target a 4.5% volatility (the “Volatility Target”); the future expected volatility for the Equity Asset is calculated based on models determined and designed by Salt Financial Indices LLC (“Salt Financial”) and licensed to the Index Sponsor for use in the Index; and
  • For the Equity Asset, a risk control engine (“truVol”) that uses models to determine whether to further adjust the Index’s exposure to the Equity Asset based upon future expected volatility; truVol is determined and designed by Salt Financial and licensed to the Index Sponsor for use in the Index.
• The Index is subject to a leverage cap of 60% for the Equity Asset, and 140% for the Bond Asset (combined, 200% maximum leverage), which is applied daily.
• The Index is calculated on an excess return basis, and is subject to servicing costs (accruing daily) and rebalancing costs (applied daily to any change in Index Component weight) that are applied at rates that vary according to the Index Component. Further, a deduction rate of 0.50% per annum (accruing daily) is applied to the Index.
• Selected key risks associated with the Index include, but are not limited to:
  • The value of the Index depends on the values of the Index Components, each of which may increase or decrease in value over time. Neither the Index nor any of the Index Components includes any element of downside protection or guaranteed return. The value of an Index Component, or the Index itself, may fall substantially below its value at the Launch Date or on any particular day and may fall to or below zero.
  • The Index has a very limited performance history. The Index will only be calculated live from the Launch Date and as such, there will be no historical live performance data available in respect of it prior to that time.
  • Past performance or hypothetical past performance of the Index is no guide to future performance. The actual performance of the Index in the future may bear little relation to the historical performance or hypothetical historical past performance of the Index.
  • The Index deductions, including the servicing costs and rebalancing costs applicable to each Index Component, as well as the Index deduction rate, will have a negative impact on the Index performance. Such deductions may offset, in whole or in part, any increases in the return of the Index Components.
  • The Index employs truVol created by Salt Financial, a third party vendor. Goldman Sachs does not calculate the risk scalars, nor does Goldman Sachs guarantee the quality or accuracy of truVol or its output or its effectiveness in measuring volatility for the purpose of the weighting of the Index. If truVol fails to perform as expected, the Equity Asset may be over-weighted during a period when equity markets are underperforming or under-weighted during a period when equity markets are overperforming and the performance of the Index may suffer.
  • Depending on the application of the factors that impact the weights of the Index Components, the Index may have a leverage as high as 200%. Leverage means that the Index will have increased exposure to changes, which may be positive or negative, in the levels of the Index Components, magnifying the volatility and risk that the performance of the Index will be adversely affected should the value of the Index Components decrease. In other conditions the Index may have no exposure to either of the Index Components, or all of its exposure to only one Index Component.
  • No assurance can be given that the Index will achieve its volatility target of 4.5%, as the Index’s volatility control mechanisms either rely on backward-looking historical volatility (which may not be replicated) or estimations of future volatility (which may not reflect actual future volatility). In addition, the Index may be slow to rebalance allocations or reduce exposure to Index Components following a sudden increase in volatility. All of these factors may cause the performance of the Index to be adversely and disproportionately affected by the poor performance of one or more Index Components.
  • The Market Signals, volatility control mechanisms, and risk parity allocation mechanism may each generate significant turnover within the Index which will impact performance due to the resulting embedded rebalancing costs and therefore negatively impact Index performance.
  • The Index’s Market Signals may not perform as expected should market environments change, and such signals’ effectiveness may wane or disappear over time. If the effectiveness of the Market Signals wanes or disappears, the changes to the Index Component weights will no longer reflect the underlying assumptions of such signals and the performance of the Index may suffer.
  • The performance of futures contracts may not correspond to the performance of their related Index Components, and are subject to certain risks that are not associated with their underlying assets. It is possible for the value of an Index Component composed of futures contracts to decrease significantly over time even when the relevant securities indices or near-term or spot prices of underlying commodities are stable or increasing. It is also possible, when the relevant securities indices or the near-term or spot prices of the underlying assets are decreasing, for the value of such Index Component to decrease significantly over time.
  • In the event that a Market Disruption Event occurs with respect to the Equity Proxy Asset (as described in the Index Methodology), the whole Index will be disrupted, even if a Market Disruption Event has not occurred with respect to either Index Component. The value of the Index will not be published on any day on which a Market Disruption Event occurs.
  • If the Calculation Agent does not receive certain information from Salt Financial in a timely manner, or the information materially differs from the Calculation Agent’s own determination, in its commercially reasonable discretion, then the Calculation Agent shall use information from a prior day. That information may not reflect current market conditions, and the performance of the Index may suffer as a result.
  • Goldman Sachs is a full service financial services firm engaged in a range of market activities. Goldman Sachs may issue, arrange for the issue of, or enter into financial instruments or derivatives linked to, the Index, other indices that are based on some or all of the Index Components, or any of the Index Components and arrange for the distribution of these financial instruments or derivatives, including the payment of distribution fees and commissions to any intermediaries. These activities could adversely affect the Index Level and any of the Index Components.
• For additional information about the Index, including additional risks, as well as deduction and costs associated with the Index, see the Index Methodology, which is available upon request through your financial professional.

The Index Methodology is available upon request through your financial professional.