GS Momentum Builder Multi-Asset 5S ER Index

Transcription

1 GS Mmentum Builder Multi-Asset 5S ER Index INDEX INFORMATION Ticker RIC Thmsn Identifier Index Spnsr Currency Number f Underliers GSMBMA5S.GSMBMA5S.GSMBMA5S (TBC) Gldman, Sachs & C. USD max. 15 Vlatility Target 5.00% Daily Vlatility Cntrl Index Calculatr 6.00% Slactive AG Index Base Date July 31, 2015 Launch Date May 16, 2016 STRATEGY OVERVIEW¹ The GS Mmentum Builder Multi-Asset 5S ER ( GSMBMA5S ) Index: Prvides expsure t ETFs whse underlying indexes track brad-based equity, fixed incme, emerging markets, cmmdities, inflatin and alternative assets Seeks t prvide expsure t price mmentum f several asset classes using a methdlgy develped by Gldman, Sachs & C. (Index Spnsr) Cmbines 14 underlying ETFs acrss six asset classes and a cash equivalent thrugh a Mney Market Psitin that seeks t capture the highest histrical return amng the universe f underlying assets selected fllwing the index methdlgy, subject t cnstraints n minimum and maximum weights and vlatility cntrls Is rebalanced daily acrss the underlying assets and may deleverage the prtfli int the deleveraged psitin (Mney Market Psitin) as frequently as daily if the realized vlatility exceeds the vlatility cap Applies tw levels f vlatility cntrl acrss the prtfli: Target vlatility: 5%. It is measured n a daily basis and sets a maximum limit n the annualized histrical realized vlatility f each daily target prtfli. Vlatility cap: 6%. It is measured n a daily basis. The index is rebalanced whenever the annualized histrical realized vlatility exceeds the vlatility cap. Is calculated n an excess return basis ver the sum f (i) a ntinal cash depsit at 3-mnth Libr, cmpunded daily and (ii) 0.65% per annum (accruing daily), with grss dividends reinvested REBALANCING PROCESS¹ Fr illustrative purpses nly Step 1: Step 2: Step 3: Step 4: Step 5: On each index business day, test all the pssible prtfli cmbinatins f the underlying assets (cmprised f the 14 ETFs and the Mney Market Psitin) Fr each realized vlatility lk-back perid (the prir six mnths, three mnths and ne mnth) cnsider nly thse prtflis that have a realized vlatility f 5% r less fr such lk-back perid Of the remaining prtflis fr each realized vlatility lk-back perid, chse the prtfli fr such realized vlatility lkback-perid that has the highest realized histrical return ver the related return lk-back perid (the prir nine mnths, six mnths and three mnths fr the six-mnth, three-mnth and ne-mnth realized vlatility lk-back perids, respectively) Average the weights f each underlying asset in the 3 prtflis chsen in step 3 (ne prtfli fr each f the 3 {return lkback perid, realized vlatility lk-back perid} pairs) t determine the target weight f such underlying asset fr that day Average the target weights f each underlying asset ver the weight averaging perid which is cmprised f such day and each f the prir 21 index business days t determine the daily weight f such underlying asset, effective after the clse f business n that day Step 6: On a daily basis, mnitr the realized vlatility f the index underlying assets, if this vlatility exceeds 6%, a pr-rata prtin f the underlying assets is allcated t the deleveraged psitin (Mney Market Psitin). Third parties may frm time t time issue ETFs and ther investment prducts that track this index and ther similar indexes. Fr infrmatin abut such third party prducts tracking the Index, please refer t the applicable Prspectus. ¹ The strategy and rebalancing prcess are further described in the full rulebk available at ² Real time prices and additinal infrmatin are available at 1

2 GS Mmentum Builder Multi-Asset 5S ER Index INDEX COMPOSITION ASSET CLASS NAME TICKER ASSET CLASS MAX WEIGHT MIN MAX WEIGHT WEIGHT Brad-Based Equity SPDR S&P 500 ETF Trust SPY 0% 20% ishares MSCI Japan ETF EWJ 50% 0% 10% ishares MSCI EAFE ETF EFA 0% 20% Fixed Incme ishares 7-10 Year Treasury Bnd ETF IEF 0% 20% ishares 20+ Year Treasury Bnd ETF TLT 0% 20% 50% ishares ibxx $ Investment Grade Crprate Bnd ETF LQD 0% 20% ishares ibxx $ High Yield Crprate Bnd ETF HYG 0% 20% Emerging Markets ishares MSCI Emerging Markets ETF EEM 20% 0% 20% Alternatives ishares Nasdaq Bitechnlgy ETF IBB 0% 10% ishares U.S. Real Estate ETF IYR 25% 0% 20% ishares US Preferred Stck ETF PFF 0% 10% Cmmdities SPDR S&P Oil & Gas Explratin & Prductin ETF XOP 0% 20% 25% SPDR Gld Trust GLD 0% 20% Inflatin ishares TIPS ETF TIP 10% 0% 10% Cash Equivalent Mney Market Psitin 50% 0% 50% INDEX PERFORMANCE VS. INDIVIDUAL ASSET CLASS SPECIFIC ETFs SINCE AUGUST 2008³ 120% 100% 80% 60% GS Multi Asset 5S US Bnds (AGG) Glbal Equities (ACWI) Cmmdities (GSG) US Real Estate (IYR) 40% 20% Jan-2009 Jan-2010 Jan-2011 Jan-2012 Jan-2013 Jan-2014 Jan-2015 Jan-2016 Jan-2017 Jan-2018 ³ The values f the individual asset class specific ETFs are ttal return, i.e. ETF dividends are reinvested. The ttal return versins are calculated by Slactive AG. Base Date: July , values between August 2008 and May 2016 fr GS Multi Asset 5S based n Back-testing. Back-testing and ther statistical analysis material that is prvided in cnnectin with the Index use simulated analysis and hypthetical circumstances t estimate hw it may have perfrmed prir t its actual existence. The results btained frm "back-testing" infrmatin shuld nt be cnsidered indicative f the actual results that might be btained frm an investment r participatin in a financial instrument r transactin referencing the Index. Neither Slactive AG nr Gldman Sachs prvide assurance r guarantee that the prducts linked t the Index will perate r wuld have perated in the past in a manner cnsistent with these materials. The hypthetical histrical levels presented herein have nt been verified by an independent third party, and such hypthetical histrical levels have inherent limitatins. Alternative simulatins, techniques, mdeling r assumptins might prduce significantly different results and prve t be mre apprpriate. Actual results will vary, perhaps materially, frm the simulated returns presented in this dcument. See the Disclaimer Language fr mre infrmatin n Back-testing. 2

3 GS Mmentum Builder Multi-Asset 5S ER Index HISTORICAL WEIGHTINGS³ ROLLING 6-MONTH REALIZED VOLATILITY (p.a.)³ Backtested, Hypthetical Perfrmance; Des nt reflect actual index perfrmance 35% 30% 25% 20% 15% GS Multi Asset 5S US Bnds (AGG) Glbal Equities (ACWI) 10% 5% Jan-2010 Jan-2011 Jan-2012 Jan-2013 Jan-2014 Jan-2015 Jan-2016 Jan-2017 Jan-2018 ³ The values f the individual asset class specific ETFs are ttal return, i.e. ETF dividends are reinvested. The ttal return versins are calculated by Slactive AG. Base Date: July , values between August 2008 and May 2016 fr GS Multi Asset 5S based n Back-testing. Back-testing and ther statistical analysis material that is prvided in cnnectin with the Index use simulated analysis and hypthetical circumstances t estimate hw it may have perfrmed prir t its actual existence. The results btained frm "back-testing" infrmatin shuld nt be cnsidered indicative f the actual results that might be btained frm an investment r participatin in a financial instrument r transactin referencing the Index. Neither Slactive AG nr Gldman Sachs prvide assurance r guarantee that the prducts linked t the Index will perate r wuld have perated in the past in a manner cnsistent with these materials. The hypthetical histrical levels presented herein have nt been verified by an independent third party, and such hypthetical histrical levels have inherent limitatins. Alternative simulatins, techniques, mdeling r assumptins might prduce significantly different results and prve t be mre apprpriate. Actual results will vary, perhaps materially, frm the simulated returns presented in this dcument. See the Disclaimer Language fr mre infrmatin n Back-testing. 3

4 GS Mmentum Builder Multi-Asset 5S ER Index STATISTICS³ Includes Backtested Hypthetical perfrmance; may nt reflect actual index perfrmance AS OF MAY GS Multi Asset 5S US Bnds (AGG) Glbal Equities (ACWI) Cmmdities (GSG) US Real Estate (IYR) Effective Perfrmance (1M) -0.59% -0.94% 0.47% 4.62% 0.23% Effective Perfrmance (6M) 0.55% -2.07% 3.39% 12.53% -3.53% Effective Perfrmance (1Y) 4.72% -0.63% 14.36% 20.72% -0.61% Effective Perfrmance (3Y) 4.96% 2.79% 24.65% % 13.02% Effective Perfrmance (5Y) 14.07% 6.97% 53.94% % 25.23% Perfrmance since Aug 2008 (p.a.)⁴ 4.92% 3.60% 6.74% % 6.32% Vlatility (p.a.) (since Aug 2008)⁴ ⁵ 5.23% 3.59% 19.01% 23.24% 34.91% Return ver Risk (since Aug 2008)⁶ Maximum Drawdwn (since Aug 2008)⁷ 7.54% 5.14% 48.26% 78.88% 66.20% ³ The values f the individual asset class specific ETFs are ttal return, i.e. ETF dividends are reinvested. The ttal return versins are calculated by Slactive AG. Base Date: July , values between August 2008 and May 2016 fr GS Multi Asset 5S based n Back-testing. Back-testing and ther statistical analysis material that is prvided in cnnectin with the Index use simulated analysis and hypthetical circumstances t estimate hw it may have perfrmed prir t its actual existence. The results btained frm "back-testing" infrmatin shuld nt be cnsidered indicative f the actual results that might be btained frm an investment r participatin in a financial instrument r transactin referencing the Index. Neither Slactive AG nr Gldman Sachs prvide assurance r guarantee that the prducts linked t the Index will perate r wuld have perated in the past in a manner cnsistent with these materials. The hypthetical histrical levels presented herein have nt been verified by an independent third party, and such hypthetical histrical levels have inherent limitatins. Alternative simulatins, techniques, mdeling r assumptins might prduce significantly different results and prve t be mre apprpriate. Actual results will vary, perhaps materially, frm the simulated returns presented in this dcument. See the Disclaimer Language fr mre infrmatin n Back-testing. ⁴ Calculated n a per annum percentage basis. ⁵ Calculated n the same basis as realized vlatility used in calculating the index. ⁶ Calculated by dividing the annualized perfrmance by the annualized realized vlatility since August ⁷ The largest percentage decline experienced in the relevant measure frm a previusly ccurring maximum level. 4

5 GS Mmentum Builder Multi-Asset 5S ER Index Imprtant Infrmatin The Index is calculated and published by the Calculatin Agent. The Calculatin Agent uses its best effrts t ensure that the Index is calculated crrectly. The Calculatin Agent des nt warrant the accuracy r cmpleteness f any infrmatin cntained herein. Irrespective f its bligatins twards any issuer f a financial intrument linked t the index, the Calculatin Agent has n bligatin t pint ut errrs in the Index t third parties including but nt limited t investrs and/r financial intermediaries f the financial instrument. The calculatin and publicatin f the Index by the Calculatin Agent fr the purpse f use in cnnectin with the financial instrument des nt cnstitute a recmmendatin by the Calculatin Agent t invest capital in said financial instrument nr des it in any way represent an assurance r pinin f the Calculatin Agent with regard t any investment in this financial instrument. Gldman Sachs des nt warrant the accuracy r cmpleteness f any infrmatin cntained herein and prvides n assurance that this infrmatin is, in fact, accurate. The infrmatin cntained herein is subject t change withut ntice. Any representatins, prjectins and cmparisns cntained herein may nt reflect the pinins f Gldman Sachs and may nt be accurate either nw r at a future date. Cnsequently, yu shuld nt rely n such representatins, prjectins, cmparisns r ther pinins when selecting any investment prduct r making a recmmendatin t a custmer. Current and future ecnmic and ther market events cncerning an investment prduct r an index may cause the infrmatin prvided herein t be incrrect. Past perfrmance is nt indicative f future results and shuld never be relied upn in making an investment decisin r recmmendatin. Any investments r strategies referenced herein d nt take int accunt the investment bjectives, financial situatin r particular needs f any specific persn. Prduct suitability must be independently determined fr each individual investr. Gldman Sachs explicitly disclaims any respnsibility fr prduct suitability r suitability determinatins related t individual investrs Gldman Sachs. All rights reserved. RIC is prvided by Reuters: The RIC r Reuters Instrument Cde set has been develped and maintained by Reuters and is the intellectual prperty f Reuters. The GS Mmentum Builder strategy is a mmentum driven strategy, aiming t capture trends in the market by using histrical data ver predefined time perids. There is n guarantee that the strategy will be able t capture trends effectively, r that the chsen time-perid will still be relevant in the future. There is n guarantee that the strategy will nt underperfrm sme r all f the underlying assets. In particular, GS Mmentum Builder may have a significant weight in ne f thse assets at the time f a sudden drp, r n expsure t ne f thse underlying assets at a time it has a strng perfrmance. Different strategies with a different set f underlying assets may significantly utperfrm the selected strategy. Fr parts f the backtesting perid, the underlying assets shwed in this presentatin have had strng perfrmances. Backtested and past perfrmance figures are nt a reliable indicatr r guarantee f future results. The strategy is nt actively managed. Fr further infrmatin and disclsure abut the strategy, including in particular relevant risk factrs, please refer t the related transactin dcumentatin. The index was launched n May 16, Hypthetical perfrmance frm August 28, 2008 t May 15, 2016 is based n the histrical levels f the eligible ETFs using the same methdlgy that is used t calculate the index. Hypthetical perfrmance prir t the launch f the index n May 16, 2016 refers t simulated perfrmance data created by applying the index's calculatin methdlgy and strategy t histrical prices f the ETFs that cmprise the index. Such simulated perfrmance data has been prduced by the retractive applicatin f a back-tested methdlgy, and may reflect a bias twards strategies that have perfrmed well in the past. N future perfrmance f the index can be predicted based n the simulated perfrmance r the histrical returns described herein. 5

6 GS Mmentum Builder Multi-Asset 5S ER Index DETAILED HISTORICAL MONTHLY PERFORMANCE³ YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC ANNUAL % -3.15% -0.59% -0.59% -1.63% % 0.73% 0.36% 0.80% 1.08% 0.34% 1.67% 0.71% -0.61% 0.90% 0.93% 1.28% 8.86% % 0.55% 0.39% 0.44% -0.48% 3.63% 1.59% -0.98% -0.66% -1.49% -0.28% 0.23% 2.40% % -1.19% -0.02% -0.75% 0.21% -1.06% 0.55% -2.87% -0.45% 0.39% -0.60% -0.50% -2.93% % 1.98% -0.95% 1.00% 1.59% 1.42% -1.54% 2.76% -3.02% 1.86% 1.73% 0.63% 7.25% % 0.09% 1.59% 2.73% -2.86% -1.27% 1.14% -1.15% 1.90% 1.01% 0.54% 0.71% 4.92% % 0.18% -0.20% 1.08% -0.30% 1.57% 2.18% 0.03% 0.50% -0.96% 0.71% 0.21% 6.97% % 2.49% 0.26% 1.74% -0.19% -1.74% 2.97% 0.09% -0.94% 0.65% 0.51% 0.89% 7.69% % 1.27% 1.36% 1.66% -1.99% 1.38% 0.70% 3.24% 1.06% 0.69% -0.58% 0.99% 9.55% % -1.74% 1.14% -0.31% 0.94% 0.01% 2.34% 0.09% 1.90% -1.04% 2.55% -0.71% 2.94% % -1.57% -3.56% 3.74% 3.85% 2.28% ³ The values f the individual asset class specific ETFs are ttal return, i.e. ETF dividends are reinvested. The ttal return versins are calculated by Slactive AG. Base Date: July , values between August 2008 and May 2016 fr GS Multi Asset 5S based n Back-testing. Back-testing and ther statistical analysis material that is prvided in cnnectin with the Index use simulated analysis and hypthetical circumstances t estimate hw it may have perfrmed prir t its actual existence. The results btained frm "back-testing" infrmatin shuld nt be cnsidered indicative f the actual results that might be btained frm an investment r participatin in a financial instrument r transactin referencing the Index. Neither Slactive AG nr Gldman Sachs prvide assurance r guarantee that the prducts linked t the Index will perate r wuld have perated in the past in a manner cnsistent with these materials. The hypthetical histrical levels presented herein have nt been verified by an independent third party, and such hypthetical histrical levels have inherent limitatins. Alternative simulatins, techniques, mdeling r assumptins might prduce significantly different results and prve t be mre apprpriate. Actual results will vary, perhaps materially, frm the simulated returns presented in this dcument. See the Disclaimer Language fr mre infrmatin n Back-testing. DETAILED HISTORICAL WEIGHTINGS Weights as f the last index business day f each mnth befre the daily vlatility cntrl is applied SPY EWJ EFA IEF TLT LQD HYG EEM IBB IYR PFF XOP GLD TIP CASH Aug % 10.1% - 0.4% - 9.6% 0.8% - 3.5% 4.6% 8.9% 44.7% Sep % 18.5% - 0.0% - 7.9% 2.3% - 1.7% 1.1% 6.2% 44.0% Oct % 18.7% 1.5% 0.0% 0.1% 3.7% 1.0% 0.0% - 1.3% 3.9% 49.7% Nv % 19.4% 2.7% - 0.0% 3.9% 0.4% 0.0% - 0.9% 2.6% 50.0% Dec % 0.0% % 11.5% 8.0% 0.2% 0.0% 3.9% 0.5% 0.2% - 2.6% 2.8% 50.0% Jan % % 7.7% 11.4% 0.2% - 2.8% 0.3% 0.8% 0.2% 3.3% 3.4% 48.9% Feb % 5.9% 12.1% 1.9% - 4.4% % 3.3% 45.0% Mar % % 1.6% 10.4% 3.4% 0.0% 1.8% 0.0% 0.0% 0.3% 7.4% 8.0% 49.7% Apr % % 0.5% 16.5% 1.0% 1.1% 1.6% % 2.9% 6.4% 50.0% May % % 0.7% 13.0% 3.2% 3.2% 0.0% - 1.1% 0.0% 5.7% 5.4% 50.0% Jun % - 7.6% % 8.1% 0.2% 0.4% - 3.5% - 7.7% 5.3% 49.9% Jul % 0.1% 4.1% % 7.2% 2.8% 0.4% 0.0% 5.0% - 6.9% 4.9% 48.5% Aug % 3.1% 0.0% - 0.2% 20.0% 6.0% 2.5% 2.7% 0.4% 6.7% - 5.0% 7.8% 45.1% Sep % 3.2% 1.6% 4.8% 1.6% 20.0% 9.3% 0.7% 3.6% 1.0% 5.3% - 4.8% 7.6% 34.8% Oct % 0.3% 2.1% 6.7% 2.0% 14.0% 7.6% 3.5% 3.1% 0.4% 7.6% 0.3% 5.7% 9.8% 33.9% Nv % - 0.4% 7.4% 1.1% 15.3% 13.1% 2.4% 0.6% 0.7% 7.1% 0.0% 9.6% 10.0% 32.1% Dec % 0.1% - 9.1% 0.1% 15.2% 19.0% 0.4% 0.1% 1.1% 9.3% - 7.5% 10.0% 22.3% Jan % 0.8% - 4.4% % 20.0% 0.0% 1.1% 5.9% 10.0% - 3.7% 10.0% 19.3% Feb % 3.0% - 8.9% 0.1% 16.4% 17.1% - 7.2% 3.9% 10.0% 0.3% 4.4% 9.6% 18.5% Mar % 1.8% % 0.4% 15.3% 15.7% - 7.0% 6.8% 10.0% 1.7% 1.4% 7.1% 17.7% Apr % 0.9% - 8.0% 0.1% 19.4% 15.8% - 4.7% 11.8% 7.8% - 0.1% 6.7% 17.3% May % 0.2% % 10.1% 14.8% 5.4% - 2.0% 11.6% 5.7% % 7.6% 10.2% Jun % 17.9% 7.8% 1.2% 0.0% % 6.3% 0.8% 15.7% 7.2% 11.7% Jul % 17.2% 11.8% 0.1% 0.0% - 7.6% 7.9% 0.6% 14.7% 9.9% 10.3% 6

7 GS Mmentum Builder Multi-Asset 5S ER Index SPY EWJ EFA IEF TLT LQD HYG EEM IBB IYR PFF XOP GLD TIP CASH Aug % 19.9% 19.0% 10.4% 0.7% 4.5% - 9.9% 10.0% - 5.8% 9.5% 9.3% Sep % 17.4% 15.3% 12.3% 5.0% 5.4% 0.3% 9.2% 10.0% 0.0% 8.1% 8.5% 6.4% Oct % - 0.6% 17.4% 8.7% 13.7% 10.1% 3.9% 2.1% 8.0% 9.2% % 7.5% 3.5% Nv % - 0.5% 16.2% 1.4% 10.2% 15.5% 3.0% 3.4% 5.3% 7.4% 2.8% 9.6% 8.9% 13.6% Dec % % - 9.3% 13.9% 0.2% 5.9% 1.2% 7.3% 8.8% 7.4% 4.2% 26.9% Jan % 2.4% 0.3% 6.7% - 4.1% 15.6% 0.3% 6.1% 0.2% 7.3% 14.0% 6.0% 2.1% 25.8% Feb % 2.9% - 4.7% 0.1% 7.0% 12.6% - 1.6% 0.9% 5.9% 16.9% 3.2% 1.4% 33.9% Mar % 0.0% - 4.9% 1.4% 11.1% 19.8% - 2.3% 2.0% 6.0% 13.3% 6.2% 8.4% 17.2% Apr % % 4.0% 8.9% 18.6% - 7.5% 1.5% 9.1% 12.8% 7.8% 9.8% 17.1% May % % 9.2% 11.6% 14.7% 0.4% 10.0% 3.7% 7.6% 2.4% 16.0% 9.3% 3.5% Jun % - 0.7% 16.6% 11.8% 7.8% 8.3% 0.7% 9.6% 8.1% 0.9% 1.0% 19.0% 9.7% - Jul % 2.4% % 8.4% 10.7% 6.7% - 9.4% 9.2% 2.9% 1.6% 18.4% 9.8% 0.3% Aug % 1.4% % 6.6% 7.2% 3.6% 1.0% 3.2% 0.3% 1.1% 1.3% 19.1% 9.1% 25.8% Sep % 0.4% % 8.3% 0.5% 1.2% 0.0% 3.8% 1.2% - 0.1% 11.5% 6.4% 41.0% Oct % 2.8% % 17.2% 0.8% 2.0% - 1.7% 0.1% % 7.4% 37.9% Nv % 0.0% % 17.0% 2.0% 3.4% - 2.3% 0.0% 0.7% 1.4% 4.6% 8.8% 27.0% Dec % 0.0% % 17.9% 0.6% 6.4% - 4.7% 0.2% 0.2% 0.2% 2.9% 9.9% 29.8% Jan % % 18.5% 1.5% 11.1% 0.1% 6.2% 2.4% 2.0% 0.7% 3.2% 10.0% 18.0% Feb % 1.3% % 17.5% 6.2% 9.4% 0.1% 8.2% 3.3% 6.1% 0.3% 1.4% 6.3% 9.8% Mar % 1.2% - 8.6% 12.5% 13.7% 9.2% 0.5% 7.5% 4.8% 9.8% 0.9% 0.7% 6.7% 5.0% Apr % 1.5% % 9.4% 13.6% 7.3% - 6.6% 7.6% 8.5% 0.3% 0.2% 8.9% 6.2% May % % 16.9% 4.8% 11.0% - 8.8% 9.5% 5.2% % 4.7% Jun % % 19.7% 9.6% 5.0% - 9.8% 8.8% 4.9% % 6.9% Jul % 0.0% % 20.0% 13.5% 4.7% - 9.5% 12.0% 3.4% % 6.2% Aug % - 1.3% 4.5% 18.1% 19.1% 7.8% - 8.9% 9.1% 6.5% 0.5% 0.7% 7.7% 1.1% Sep % - 3.3% 1.9% 13.2% 18.5% 13.4% - 9.6% 10.0% 5.3% 1.7% 2.2% 6.1% 1.9% Oct % - 1.8% 1.3% 13.4% 20.0% 7.0% 0.1% 8.9% 4.4% 8.7% 1.8% 10.6% 6.1% 2.2% Nv % - 8.9% 1.5% 13.8% 20.0% 12.1% 0.3% 5.7% 2.1% 9.5% 0.1% 10.7% 7.9% 0.8% Dec % 0.7% 14.6% 4.4% 12.6% 18.5% 13.3% 7.8% 4.0% 4.6% 4.8% 0.3% 2.0% 9.0% 0.1% Jan % 1.6% 19.3% 3.7% 9.9% 12.8% 17.8% 10.4% 3.3% 5.8% 7.6% 0.0% 0.1% 5.5% 1.9% Feb % 3.7% 19.1% 4.1% 3.6% 12.9% 16.5% 4.2% 3.1% 10.8% 7.8% 1.0% 0.6% 4.8% 1.9% Mar % 7.5% 13.6% 8.1% 2.0% 14.3% 19.9% 1.7% 4.7% 7.0% 9.5% 0.8% - 2.0% 1.7% Apr % 8.1% 8.0% 11.7% 9.5% 6.8% 17.4% - 7.5% 9.4% 6.6% 1.8% - 1.6% 1.4% May % 10.0% 5.3% 10.7% 12.5% 7.2% 17.8% - 9.5% 5.0% 8.9% % 2.4% Jun % 6.1% 0.5% 10.3% 2.9% 2.7% 4.9% - 9.5% 0.2% 6.1% 0.6% - 0.0% 36.5% Jul % 3.1% % 0.1% 0.3% 2.9% - 6.9% - 2.3% 1.2% 0.1% 1.1% 50.0% Aug % 1.6% 1.1% 8.7% % % - 0.4% 4.1% 1.2% % Sep % 1.3% 3.0% 7.4% % % % 1.9% 0.8% 49.5% Oct % 0.3% 5.2% 7.8% - 0.0% 6.6% 0.3% 6.4% % 0.7% 1.1% 49.2% Nv % 0.5% 6.3% 6.2% 0.0% 3.2% 13.9% 1.2% 5.4% - 0.9% 3.7% 0.2% 0.8% 41.1% Dec % 0.4% 6.5% 3.1% - 7.7% 18.3% - 9.2% - 0.8% 0.7% - 0.6% 33.4% Jan % % 0.1% 0.3% 12.7% 17.1% - 8.7% - 2.6% 1.1% % Feb % - 1.9% 1.5% 6.1% 13.3% 17.5% - 9.9% 1.1% 5.5% 0.4% 1.0% 1.3% 26.6% Mar % - 1.0% 0.7% 9.4% 16.1% 15.3% - 7.9% 6.1% 5.5% 0.0% 6.0% 3.0% 12.1% Apr % - 2.0% 0.4% 14.3% 18.0% 14.6% 0.5% 1.2% 8.6% 9.9% 7.7% 3.3% 0.8% 4.0% May % - 0.5% % 18.0% 6.2% 5.9% 0.0% 13.6% 8.5% 13.6% 1.2% 0.7% 0.8% Jun % 0.5% 2.9% % 13.2% 7.7% 6.6% % 7.2% 14.1% 0.5% 1.4% 0.3% Jul % 3.0% 0.0% 0.1% 19.3% 8.4% 3.1% 11.0% 3.7% 15.7% 5.6% 10.0% 2.3% 3.6% - 7

8 GS Mmentum Builder Multi-Asset 5S ER Index SPY EWJ EFA IEF TLT LQD HYG EEM IBB IYR PFF XOP GLD TIP CASH Aug % 3.3% - 4.1% 19.7% 9.4% 1.7% 11.8% 5.3% 13.2% 4.3% 2.3% 0.6% 7.3% 3.2% Sep % 2.3% - 4.7% 19.9% 13.6% 0.5% 11.0% 5.0% 11.2% 6.1% 0.9% 0.6% 2.0% 4.5% Oct % 0.5% % 20.0% 11.2% - 0.2% 8.4% 9.1% 5.5% % 11.5% Nv % 0.3% % 20.0% 7.5% 0.0% 1.7% 7.5% 14.6% 3.0% % 10.7% Dec % % 20.0% 8.1% - 0.4% 7.3% 15.8% 1.8% % 8.5% Jan % 0.3% % 20.0% 4.1% - 0.0% 4.7% 18.0% 1.4% - 0.0% % Feb % 0.9% 0.0% 16.4% 20.0% 6.6% 1.2% 0.0% 6.8% 12.1% 5.7% - 0.6% % Mar % 4.9% 0.6% 10.1% 17.1% 3.6% 4.4% % 2.0% 10.0% 1.4% % Apr % 7.2% 2.4% 7.6% 12.9% 0.4% 1.4% - 9.9% 1.5% 9.9% 2.3% - 0.9% 36.9% May % 8.1% 7.1% 10.1% 5.9% - 3.6% 2.0% 7.8% - 8.4% 1.0% 0.5% 1.6% 36.7% Jun % 9.8% 4.8% 8.8% 2.2% - 7.9% 1.7% 10.0% 0.0% 8.1% 1.6% 1.6% 0.9% 38.1% Jul % 7.8% 3.1% 5.2% 1.4% - 2.1% 0.2% 10.0% 0.1% 9.1% % 45.0% Aug % 6.6% 1.9% 15.6% 10.9% 0.2% % 1.5% 8.6% % 38.6% Sep % % 10.5% 2.8% 1.9% - 5.9% - 8.8% % 44.5% Oct % 3.0% 2.6% 19.7% 7.4% 5.1% % 6.4% 8.1% - 3.2% 1.7% 39.7% Nv % 3.6% 0.0% 16.9% 4.2% 6.4% - 0.6% 1.0% 5.5% 8.9% 0.8% 2.9% % Dec % 4.2% 0.1% 14.3% 8.7% 3.3% - 0.1% % 7.7% 0.1% - 0.4% 40.5% Jan % 1.0% % 13.6% 2.1% % 6.5% 7.6% - 0.5% 1.7% 45.1% Feb % % 19.0% % 3.9% % 1.4% 44.9% Mar % % 18.3% 2.7% 3.3% 1.0% - 9.6% 7.0% 0.0% 13.8% 0.5% 21.7% Apr % % 18.8% 16.4% 2.2% 1.6% - 7.9% 7.9% 0.5% 10.1% 1.8% 10.0% May % % 8.1% 19.4% 8.0% - 0.1% 12.3% 8.4% 1.5% 14.9% 1.5% 8.2% Jun % % 18.1% 17.5% 8.7% - 0.3% 10.8% 9.9% 4.6% 9.6% 1.1% 5.4% Jul % 1.0% - 5.8% 17.5% 15.7% 9.9% % 9.3% 2.6% 12.0% 0.2% 6.0% Aug % 0.8% - 2.5% 13.9% 12.8% 9.8% 5.3% 2.5% 13.0% 6.9% 1.4% 12.3% - 5.6% Sep % 3.4% 0.0% 2.8% 7.6% 13.8% 17.6% 3.9% 1.8% 5.2% 7.4% 2.2% 12.9% 1.6% 14.3% Oct % 5.2% 0.8% 2.7% 2.0% 14.3% 20.0% 2.0% 1.4% 0.1% 4.8% 4.6% 6.2% 7.1% 26.1% Nv % 7.0% - 0.3% 0.6% 9.7% 17.1% 3.2% 0.5% - 1.3% 7.1% 3.2% 7.5% 33.8% Dec % 6.5% 0.0% % 16.4% 0.1% % - 1.7% 47.3% Jan % 6.0% 5.1% % 17.4% 0.0% 0.4% 0.2% - 9.5% - 0.3% 41.1% Feb % 6.9% 7.5% - 0.0% % 5.0% 1.2% 2.2% 1.3% 6.1% 0.1% 0.5% 30.8% Mar % 5.9% 13.3% - 1.1% 0.3% 13.9% 8.0% 4.0% 1.6% 2.2% - 5.7% 0.1% 26.0% Apr % 4.4% 17.9% - 0.6% % 7.4% 2.4% 5.6% 2.4% - 6.7% % May % 3.8% 20.0% 1.1% 5.5% 6.8% 9.6% 10.2% 2.8% 4.0% 4.7% - 1.7% % Jun % 4.7% 19.8% 1.3% 11.1% 10.7% 6.8% 11.8% 1.3% 4.4% 4.9% - 4.4% - 5.3% Jul % 4.9% 19.8% 3.4% 4.0% 12.6% 5.6% 11.4% 3.9% 3.1% 8.3% - 2.3% % Aug % 4.0% 16.7% 3.4% 9.5% 14.4% 2.6% 14.8% 3.0% 3.1% 6.5% - 5.4% - 3.8% Sep % 1.9% 16.1% 3.6% 13.0% 9.5% 1.3% 18.2% 3.7% 1.9% 5.6% 0.5% 15.6% 0.9% 3.8% Oct % 7.8% 18.7% - 6.2% 12.8% 0.3% 17.0% 5.1% - 1.5% 4.6% 8.4% - 0.2% Nv % 10.0% 19.2% % 10.4% 0.5% 13.8% 0.4% 4.2% 0.1% 3.0% 2.1% 0.0% 6.1% Dec % 10.0% 18.4% % 12.7% 0.0% 10.2% 2.1% 0.6% 0.2% 4.4% 0.0% 0.3% 9.3% Jan % 10.0% 19.2% - 5.5% 13.0% 0.0% 10.2% 0.0% - 0.7% 3.8% 5.9% 4.2% 7.5% Feb % 7.8% 6.1% - 0.5% 4.4% 1.0% 7.5% 1.3% % 15.3% 3.4% 35.7% Mar % 3.5% % 7.6% 1.9% - 3.5% 0.1% 13.9% 6.2% 50.0% Apr % 6.6% 0.1% 0.5% 0.0% - 2.8% 6.2% % 2.2% 19.2% 8.4% 49.3% 8