GS Momentum Builder Multi-Asset Class Index

Transcription

1 INDEX INFORMATION Ticker RIC. Thmsn Identifier SLA8GS-ST Index Spnsr Gldman, Sachs & C. Currency USD Number f Underliers max. 9 Vlatility Target 4.50% Daily Vlatility Cntrl 5.00% Index Calculatr Slactive AG Index Base Date Dec STRATEGY OVERVIEW¹ The ( ): Prvides expsure t indices tracking US equities, Internatinal equities, US bnds, Internatinal Bnds, and Cmmdities Seeks t prvide expsure t price mmentum f several asset classes using a methdlgy develped by Gldman, Sachs & C (Index Spnsr) Cmbines 8 underlying ttal return indices acrss five 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 by the Index Spnsr's methdlgy, subject t cnstraints n maximum weights and vlatility cntrls Is rebalanced mnthly and may be rebalanced as frequently as daily if the realized vlatility f the Base Index exceeds the vlatility cap Applies tw levels f vlatility cntrl acrss the prtfli: Target vlatility: 4.5%. It is measured n a mnthly basis and sets a maximum limit n the annualized histric realized vlatility n each mnthly rebalance date Vlatility cap: 5%. It is measured n a daily basis. The index is rebalanced whenever the annualized histric realized vlatility f the Base Index exceeds the vlatility cap REBALANCING PROCESS¹ Is calculated n an excess return basis ver the sum f (i) a ntinal cash depsit at Fed Funds, cmpunded daily and (ii) a daily index cst f 0.5% per annum Step 1: Step 2: Step 3: On each mnthly rebalance date, test the pssible prtfli cmbinatins f the underlying assets (cmprised f the 8 indices and the Mney Market Psitin) Fr each lk-back perid (the prir nine mnths, six mnths and three mnths), cnsider nly thse prtflis that have a realized vlatility f 4.5% r less fr such lkback perid Of the remaining prtflis fr each lk-back perid, chse the prtfli fr such lk-back perid with the highest realized return Fr illustrative purpses nly Step 4: Average the weights f each underlying asset in the 3 prtflis chsen in step 3 (ne prtfli fr each f the 3 lk-back perids) t determine the weight f such underlying asset in the Base Index Step 5: On a daily basis, including the mnthly rebalance date, mnitr the realized vlatility f the Base Index ver the past three mnths, if this vlatility exceeds 5%, a pr-rata prtin f the Base Index is allcated t the deleverage psitin (Mney Market Psitin) ¹ The strategy and rebalancing prcess are further described in the full rulebk available at 1

2 INDEX COMPOSITION ASSET CLASS NAME TICKER MIN WEIGHT MAX WEIGHT Mney Market Mney Market Psitin 0% 100% US Equity US Equity Futures Rlling Strategy Index FRSIUSE 0% 30% Internatinal Equity Eurpean Equity Futures Rlling Strategy Index FRSIEUE 0% 30% Japanese Equity Futures Rlling Strategy Index FRSIJPE 0% 30% US Bnds US Gvernment Bnd Futures Rlling Strategy Index FRSIUSB 0% 100% Internatinal Bnds Eurpean Gvernment Bnd Futures Rlling Strategy Index FRSIEUB 0% 30% Japanese Gvernment Bnd Futures Rlling Strategy Index FRSIJPB 0% 30% Cmmdities Blmberg WTI Crude Oil Subindex Ttal Return BCOMCLTR 0% 25% Blmberg Gld Subindex Ttal Return BCOMGCTR 0% 25% INDEX PERFORMANCE VS. INDIVIDUAL ASSET CLASS SPECIFIC ETFs SINCE AUGUST 2014² 260% 240% 220% 200% 180% 160% 140% 120% US Bnds (AGG) Glbal Equities (ACWI) Cmmdities (GSG) US Equities (SPY) 100% 80% 60% Jul-2014 Jan-2015 Jul-2015 Jan-2016 Jul-2016 Jan-2017 Jul-2017 Jan-2018 ² 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: Jan 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 COMPOSITION WEIGHTINGS OF THE BASE INDEX RESULTING FROM MONTHLY REBALANCING Current weighting Weighting as f last mnth Blmberg Gld Subindex Ttal Return 4.3% Blmberg WTI Crude Oil Subindex Ttal Return 6.9% Eurpean Gvernment Bnd Futures Rlling Strategy Index 9.8% US Equity Futures Rlling Strategy Index 30.0% Eurpean Equity Futures Rlling Strategy Index 4.1% Blmberg Gld Subindex Ttal Return 4.5% US Gvernment Bnd Futures Rlling Strategy Index 5.1% Blmberg WTI Crude Oil Subindex Ttal Return 5.2% US Equity Futures Rlling Strategy Index 30.0% Mney Market Psitin 10.4% Eurpean Gvernment Bnd Futures Rlling Strategy Index 6.0% Japanese Gvernment Bnd Futures Rlling Strategy Index 11.1% Japanese Equity Futures Rlling Strategy Index 27.5% Mney Market Psitin 8.8% Japanese Gvernment Bnd Futures Rlling Strategy Index 8.8% Japanese Equity Futures Rlling Strategy Index 27.5% FRSIUSE FRSIEUE FRSIJPE FRSIUSB FRSIEUB FRSIJPB BCOMCLTRBCOMGCTR Mney Market Psitin Jan % % - 9.8% 11.1% 6.9% 4.3% 10.4% Dec % 4.1% 27.5% 5.1% 6.0% 8.8% 5.2% 4.5% 8.8% This rebalancing may cntinue subsequent t the date f this disclsure statement supplement. Rebalancing may affect the perfrmance f the index. HISTORICAL COMPOSITION WEIGHTINGS OF THE BASE INDEX RESULTING FROM MONTHLY REBALANCING² ROLLING 6-MONTH REALIZED VOLATILITY (p.a.)² 22% 20% 18% 16% 14% 12% 10% 8% 6% 4% 2% May-2015 Sep-2015 Jan-2016 May-2016 Sep-2016 Jan-2017 May-2017 Sep-2017 Jan-2018 US Bnds (AGG) US Equities (SPY) ² 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: Jan 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 STATISTICS AS OF JAN US Bnds (AGG) Glbal Equities (ACWI) Cmmdities (GSG) US Equities (SPY) Effective Perfrmance (1M)³ 0.89% 0.47% 1.41% 3.83% 1.21% Effective Perfrmance (6M)³ 7.10% 1.13% 11.10% 16.12% 11.48% Effective Perfrmance (1Y)³ 9.66% 3.55% 24.29% 3.89% 21.71% Perfrmance since Aug 2014 (p.a.)⁴ 3.03% 2.47% 7.49% % 11.42% Vlatility (p.a.) (since Aug 2014)⁴ ⁵ 4.46% 3.24% 13.25% 20.80% 12.53% Return ver Risk (since Aug 2014)⁶ Maximum Drawdwn (since Aug 2014)⁷ 8.41% 4.50% 18.36% 62.40% 11.86% ² 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: Jan 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 Effective Perfrmance is calculated as the pint t pint return ver the perid. Fr the GS Multi Asset Class Index perfrmance statistics: 1M Initial Level = , Final Level = , 6M Initial Level = , Final Level = , 1Y Initial Level = , Final Level = , 3Y Initial Level = null, Final Level = , 5Y Initial Level = null, Final Level = 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 DISCLAIMER The financial instrument is nt spnsred, prmted, sld r supprted in any ther manner by Slactive AG (the "Calculatin Agent") nr des the Calculatin Agent ffer any express r implicit guarantee r assurance either with regard t the results f using the Index and/r Index trade mark r the Index Price at any time r in any ther respect. 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 the Issuer, 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. DISCLAIMER LANGUAGE The GS-Mmentum Builder strategy is a mmentum driven strategy, aiming t capture trends in the market by using histrical data ver a predefined hrizns (e.g. 9 mnths, 6 mnths and 3 mnths). Despite past simulatins, there is n guarantee that the strategy will be able t capture trends effectively, r that the chsen hrizn 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 underlyings 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 and GS des nt exercise discretin in cnstructing, calculating r executing the strategy. Fr further infrmatin and disclsure abut the strategy, including relevant risk factrs, please refer t the related transactin dcumentatin. The index was launched n July 25, The US Equity Futures Rlling Strategy Index, Japanese Equity Futures Rlling Strategy Index, Japanese Gvernment Bnd Futures Rlling Strategy, the US Gvernment Bnd Futures Rlling Strategy Index and Eurpean Gvernment Bnd Futures Rlling Strategy Index (cllectively, the Index ) are the exclusive prperty f Gldman Sachs Internatinal, which has cntracted with S&P Opc, LLC (a subsidiary f S&P Dw Jnes Indices LLC) ( S&P Dw Jnes Indices ) t calculate and maintain the Index based n bjective pre-agreed methdlgy. S&P is a registered trademark f Standard & Pr s Financial Services LLC ( SPFS ); Dw Jnes is a registered trademark f Dw Jnes Trademark Hldings LLC ( Dw Jnes ); and, these trademarks have been licensed t S&P Dw Jnes Indices. Neither S&P Dw Jnes Indices, SPFS, Dw Jnes nr any f their affiliates spnsr and prmte the Index and nne shall be liable fr any errrs r missins in calculating the Index. Gldman Sachs Internatinal has cntracted with STOXX Limited, Zurich, Switzerland ( STOXX ) t maintain and calculate the Eurpean Equity Futures Rlling Strategy Index ( Index ). STOXX and its licensr Dw Jnes & Cmpany, Inc., a Delaware crpratin, New Yrk, USA, d nt have any legal bligatins twards the purchasers f the financial prduct linked t the Index ( Financial Prduct ) and cannt be held liable fr any lsses r damages which relate t investments in the Financial Prduct. Purchasers f the Financial Prduct are made aware and accept that index calculatins are based n large quantities f data prvided by third parties and are thus susceptible t errrs and delays. This may result in errrs and delays in the Index which may have an impact n the Financial Prduct. Blmberg, Blmberg Gld Subindex Ttal Return and Blmberg WTI Crude Oil Subindex Ttal Return are service marks f Blmberg Finance L.P. and its affiliates (cllectively, Blmberg ) and have been licensed fr use fr certain purpses by Gldman Sachs. Neither Blmberg nr UBS Securities LLC and its affiliates (cllectively, UBS ) are affiliated with Gldman Sachs, and Blmberg and UBS d nt apprve, endrse, review, r recmmend any prducts linked t the. Neither Blmberg nr UBS guarantees the timeliness, accurateness, r cmpleteness f any data r infrmatin relating t the Blmberg Cmmdity Index r any Gldman Sachs index. 5

6 DETAILED HISTORICAL COMPOSITION WEIGHTINGS OF THE INDEX RESULTING FROM DAILY VOLATILITY CONTROL 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Sep Jan May Sep Jan May Sep Jan May Sep Jan Deleverage Psitin (Mney Market Psitin) Base Index DETAILED HISTORICAL MONTHLY PERFORMANCE² YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC ANNUAL % 1.66% 0.07% 1.14% 0.87% -1.09% 1.04% 0.64% 1.12% 2.28% 0.93% 0.89% 9.66% % 1.49% -0.39% 0.14% -0.51% 2.13% 0.24% -1.11% 0.36% -1.48% 0.31% 1.21% 1.75% % 1.39% 0.70% -0.37% 0.77% -1.23% 0.18% -2.71% -0.68% -0.21% -0.29% -0.77% -2.91% % 1.71% -0.52% 0.63% 1.47% 0.49% 2.26% ² 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: Jan 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 COMPOSITION WEIGHTINGS OF THE BASE INDEX RESULTING FROM MONTHLY REBALANCING FRSIUSE FRSIEUE FRSIJPE FRSIUSB FRSIEUB FRSIJPB BCOMCLTR BCOMGCT R Aug % 3.9% 11.2% 0.4% 30.0% 9.0% 11.4% 4.1% - Sep % 0.4% 17.0% 11.4% 30.0% 0.2% 5.2% 5.8% - Oct % 4.5% 19.6% 12.6% 30.0% 3.3% Nv % % 39.8% 30.0% Dec % % 24.8% 30.0% 2.9% Jan % % 25.9% 30.0% 4.2% Feb % 6.6% 14.5% 42.9% 30.0% Mar % 6.9% 15.4% 27.3% 30.0% 9.9% Apr % 12.0% 14.1% 31.6% 30.0% 0.5% 0.1% - 7.4% May % 10.4% 21.9% 16.8% 30.0% 8.8% 1.1% - 6.4% Jun % 7.0% 23.3% 13.0% 8.9% 14.3% 1.3% % Jul % 3.7% 21.9% 19.2% 0.5% 15.5% 3.3% % Aug % 2.7% 23.3% 6.2% 3.5% 26.1% % Sep % 11.5% 54.8% 1.4% 30.0% % Oct % % 6.8% 25.0% Mney Market Psitin 6

7 FRSIUSE FRSIEUE FRSIJPE FRSIUSB FRSIEUB FRSIJPB BCOMCLTR BCOMGCT R Nv % - 5.7% 2.7% 12.8% 30.1% - 7.2% 38.1% Dec % - 8.8% 14.2% 26.9% 30.0% % Jan % - 5.4% 5.8% 11.3% 30.0% % Feb % 20.0% 14.8% Mar % % 30.0% 30.0% % 1.8% Apr % 0.6% % 30.0% 24.8% % - May % 0.2% % 20.0% 30.0% % - Jun % % 20.0% 27.3% 2.4% 12.1% - Jul % 0.1% % 28.3% 14.0% 3.5% 14.9% - Aug % % 30.0% 18.3% % - Sep % 1.2% % 30.0% 7.9% 1.1% 21.0% 0.4% Oct % 2.0% 4.8% 14.2% 28.1% 3.7% 0.9% 12.8% 10.7% Nv % 1.9% 11.5% 9.4% 19.4% 8.2% 2.3% 7.2% 21.7% Dec % 1.2% 12.3% % % Jan % 11.9% 11.7% % - 1.0% % Feb % 6.6% 12.6% % - 0.9% % Mar % 10.3% 11.8% % - 1.1% 9.2% 13.1% Apr % 22.6% 7.2% 5.1% 12.1% % 20.0% May % 23.6% 6.4% % 0.9% % 9.8% Jun % 27.6% 13.0% 17.0% 16.7% 6.0% - 8.4% - Jul % 12.9% 19.0% 16.1% 3.4% 0.4% - 9.4% 8.8% Aug % 12.7% 19.3% 16.7% 7.2% % 2.3% Sep % 11.1% 23.7% 9.6% 2.0% % - Oct % 10.6% 25.3% 5.4% - 2.9% 4.4% 21.4% - Nv % 16.0% 28.1% % - 3.6% 10.0% - Dec % 4.1% 27.5% 5.1% 6.0% 8.8% 5.2% 4.5% 8.8% Jan % % - 9.8% 11.1% 6.9% 4.3% 10.4% Mney Market Psitin 7