08/22/2024 | Press release | Distributed by Public on 08/22/2024 15:25
August 2024 S&P 500® Futures Volatility Plus Daily Risk Control Index Supplement to the Underlier Supplement, the Prospectus Supplement and the Prospectus, each as may be amended from time to time, that form a part of Registration Statement No. 333-269296 |
Filed Pursuant to Rule 424(b)(3) Registration Statement No. 333-269296 |
GS Finance Corp. Medium-Term Notes, Series F guaranteed by The Goldman Sachs Group, Inc. |
S&P 500® Futures Volatility Plus Daily Risk Control Index
Overview
This section constitutes only a brief overview of the S&P 500® Futures Volatility Plus Daily Risk Control Index. The index is described in more detail under "The Underliers - S&P 500® Futures Volatility Plus Daily Risk Control Index" in the underlier supplement referred to in "About This Index Supplement" below. |
The S&P 500® Futures Volatility Plus Daily Risk Control Index (current Bloomberg symbol: "SPXFVPRE Index"), which we also refer to in this index supplement as the "index," is designed to provide leveraged exposure to the S&P 500® Futures Excess Return Index based on a dynamic volatility target, subject to a minimum exposure of 100% and a maximum exposure of 200%. The S&P 500® Futures Excess Return Index measures the performance of the nearest maturing quarterly E-mini S&P 500 futures contract trading on the Chicago Mercantile Exchange.The S&P 500® Index includes a representative sample of 500 companies in leading industries of the U.S. economy.
The index has a base date of February 4, 1998, with a base value of 100, as adjusted, and is calculated, maintained and published by S&P Dow Jones Indices LLC.
We have derived all information contained in this index supplement regarding the index from publicly available information. Additional information about the index is available on the following website: spglobal.com/spdji/en/indices/strategy/sp-500-futures-volatility-plus-daily-risk-control-index. We are not incorporating by reference the website or any material it includes in this index supplement.
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Quick Facts |
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Historical Performance |
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Sponsor |
S&P Dow |
The graph below shows the daily historical closing levels of the index from January 2, 2019 through August 1, 2024 (using hypothetical performance data and historical closing levels). As a result, the below graph does not reflect the global financial crisis which began in 2008, which had a materially negative impact on the price of most equity securities and, as a result, the level of most equity indices. Since the S&P 500® Futures Volatility Plus Daily Risk Control Index was launched on April 25, 2022 and has a limited operating history, the graph includes hypothetical performance data for the S&P 500® Futures Volatility Plus Daily Risk Control Index prior to its launch of April 25, 2022. The hypothetical performance data prior to April 25, 2022 was obtained from the index sponsor's website, without independent verification. The daily historical closing levels from April 25, 2022 to August 1, 2024 were obtained from Bloomberg Financial Services, without independent verification. (In the graph, historical closing levels can be found to the right of the vertical solid line marker.) You should not take the hypothetical performance data or historical levels of the index as an indication of its future performance. |
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Calculation Agent |
S&P Dow |
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Index Currency |
USD |
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Reuters Ticker |
.SPXFVPRE |
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Bloomberg Ticker |
SPXFVPRE |
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Rebalancing |
Daily |
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Index Members |
Variable |
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Annualized Return and Annualized Volatility |
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Geographical |
US |
The following table provides the annualized return and annualized volatility of the index for each applicable period ended August 1, 2024 (using hypothetical performance data and historical closing levels, as described above). Annualized return represents the average rate of return per annum, calculated as the geometric average of the percentage change of the index during the applicable time period. Annualized volatility is a measure of the historical variability of returns, and is calculated as the square root of 252 multiplied by the sample standard deviation of the daily logarithmic returns of the index during the applicable time period. You should not take any hypothetical or historical annualized return or annualized volatility information regarding the index as an indication of its future performance. |
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Type |
Excess Return |
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Annualized Return |
Annualized Volatility |
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Launch Date |
April 25, 2022 |
1 Year |
23.61% |
22.09% |
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History |
February 4, 1998 |
3 Years* |
8.31% |
27.09% |
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5 Years* |
17.48% |
30.57% |
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Since January 2, 2019* |
20.37% |
29.70% |
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* Historical information begins April 25, 2022 (the index launch date). Hypothetical performance data, which was used for all data prior to April 25, 2022, was obtained from the index sponsor's website, without independent verification. |
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Your investment in securities linked to the index involves certain risks. See "Selected Risk Factors" on page S-7 to read about investment risks relating to such securities.
Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this index supplement, the applicable pricing supplement, the applicable product supplement, if any, the applicable general terms supplement, if any, the accompanying underlier supplement, the accompanying prospectus supplement or the accompanying prospectus. Any representation to the contrary is a criminal offense.
The securities are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
Goldman Sachs & Co. LLC
August 2024 S&P 500® Futures Volatility Plus Daily Risk Control Index Supplement dated August 22, 2024.
S-1
August 2024 S&P 500® Futures Volatility Plus Daily Risk Control Index Supplement Dated August 22, 2024 |
Comparative Performance Data
Index Performance Compared to the S&P 500® Futures Excess Return Index and its Parent Index
For comparative purposes, the graph below shows the performance, from January 2, 2019 through August 1, 2024, of the S&P 500® Futures Volatility Plus Daily Risk Control Index (in dark blue), the S&P 500® Futures Excess Return Index (in black) and the S&P 500® Index (in light blue).
For comparative purposes, each of the S&P 500® Futures Volatility Plus Daily Risk Control Index, the S&P 500® Futures Excess Return Index and the S&P 500® Index have been adjusted to have a closing level of 100.00 on January 2, 2019 by dividing the applicable closing level on each day by that index's closing level on January 2, 2019 and multiplying the quotient by 100.00.
Since the S&P 500® Futures Volatility Plus Daily Risk Control Index was launched on April 25, 2022 and has a limited operating history, the graph includes hypothetical performance data for the S&P 500® Futures Volatility Plus Daily Risk Control Index prior to its launch of April 25, 2022. The hypothetical performance data for the S&P 500® Futures Volatility Plus Daily Risk Control Index prior to April 25, 2022 used to create this graph was obtained from the index sponsor's website, without independent verification. The daily historical closing levels of the S&P 500® Futures Volatility Plus Daily Risk Control Index from April 25, 2022 to August 1, 2024 used to create this graph were obtained from Bloomberg Financial Services, without independent verification. (In the graph, historical closing levels can be found to the right of the vertical solid line marker.) The daily historical closing levels of the S&P 500® Futures Excess Return Index and the S&P 500® Index from January 2, 2019 through August 1, 2024 used to create this graph were obtained from Bloomberg Financial Services, without independent verification. You should not take this graph, the hypothetical performance data or historical closing levels of the indices used to create this graph as an indication of the future performance of any index, including the S&P 500® Futures Volatility Plus Daily Risk Control Index, or the correlation (if any) between the level of the S&P 500® Futures Volatility Plus Daily Risk Control Index and the levels of the S&P 500® Futures Excess Return Index or the S&P 500® Index.
Comparative Performance of the S&P 500® Futures Volatility Plus Daily Risk Control Index (SPXFVPRE) and the S&P 500® Futures Excess Return Index (SPXFP) and the S&P 500® Index (SPX)
Index Annualized Return Compared to the S&P 500® Futures Excess Return Index and its Parent Index
The following table provides a comparison of the annualized returns of the S&P 500® Futures Volatility Plus Daily Risk Control Index, the S&P 500® Futures Excess Return Index and the S&P 500® Index for the applicable period ended August 1, 2024 (using hypothetical performance data and historical closing levels, as described above). Annualized return represents the average rate of return per annum, calculated as the geometric average of the percentage change of the applicable index during the applicable time period. You should not take the hypothetical or historical annualized returns of the indices as an indication of the future performance of any index, including the S&P 500® Futures Volatility Plus Daily Risk Control Index.
S-2
August 2024 S&P 500® Futures Volatility Plus Daily Risk Control Index Supplement Dated August 22, 2024 |
Comparison of Annualized Returns of the S&P 500® Futures Volatility Plus Daily Risk Control Index, the S&P 500® Futures Excess Return Index and the S&P 500® Index
1 Year |
3 Years |
5 Years |
Since January 2, 2019 |
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S&P 500® Index |
19.01% |
7.41% |
13.02% |
14.89% |
S&P 500® Futures Excess Return Index |
13.68% |
5.09% |
11.90% |
13.78% |
S&P 500® Futures Volatility Plus Daily Risk Control Index |
23.61% |
8.31%* |
17.48%* |
20.37%* |
* Historical information begins April 25, 2022 (the index launch date). Hypothetical performance data, which was used for all data prior to April 25, 2022, was obtained from the index sponsor's website, without independent verification.
S-3
August 2024 S&P 500® Futures Volatility Plus Daily Risk Control Index Supplement Dated August 22, 2024 |
Index Annualized Volatility Compared to the S&P 500® Futures Excess Return Index and its Parent Index
The following graph provides a comparison of the annualized volatility of the S&P 500® Futures Volatility Plus Daily Risk Control Index, the S&P 500® Futures Excess Return Index and the S&P 500® Index from January 2, 2019 through August 1, 2024 (using hypothetical performance data and historical closing levels, as described above). In the graph, historical annualized volatility can be found to the right of the vertical solid line marker. For each day, annualized volatility is a measure of the historical variability of returns, and is calculated as the square root of 252 multiplied by the sample standard deviation of the daily logarithmic returns of the index during a 60 business day look-back period. You should not take the hypothetical or historical annualized volatility of the indices as an indication of the future performance of any index, including the S&P 500® Futures Volatility Plus Daily Risk Control Index.
Comparison of Annualized Volatility of the S&P 500® Futures Volatility Plus Daily Risk Control Index, the S&P 500® Futures Excess Return Index and the S&P 500® Index
S-4
August 2024 S&P 500® Futures Volatility Plus Daily Risk Control Index Supplement Dated August 22, 2024 |
Index Volatility Spread
The following graph shows the percentage difference in the annualized volatility of the index compared to the S&P 500® Futures Excess Return Index from January 2, 2019 through August 1, 2024 (using hypothetical performance data and historical closing levels, as described above). In the graph, historical annualized volatility can be found to the right of the vertical solid line marker. For each day, annualized volatility is a measure of the historical variability of returns, and is calculated as the square root of 252 multiplied by the sample standard deviation of the daily logarithmic returns of the index during a 60 business day look-back period. The index is intended to provide investors with leveraged exposure to the S&P 500® Futures Excess Return Index based on a dynamic volatility target. The dynamic volatility target is the applicable realized volatility of the S&P 500® Futures Excess Return Index plus 10%. However, because of how the leverage factor is calculated, there is a lag of two index calculation days between the measurement of realized volatility of the S&P 500® Futures Excess Return Index and the calculation of the leverage factor. Therefore, the index will not reflect the most current volatility of the S&P 500® Futures Excess Return Index and the realized volatility of the index will not always be exactly 10% higher than the realized volatility of the S&P 500® Futures Excess Return Index. You should not take the hypothetical or historical annualized volatility of the indices as an indication of the future performance of any index, including the S&P 500® Futures Volatility Plus Daily Risk Control Index.
Percentage Difference Between the Annualized Volatility of the S&P 500® Futures Volatility Plus Daily Risk Control Index and the S&P 500® Futures Excess Return Index
S-5
August 2024 S&P 500® Futures Volatility Plus Daily Risk Control Index Supplement Dated August 22, 2024 |
Index Exposure to the S&P 500® Futures Excess Return Index
The following graph displays the percentage of index exposure to the S&P 500® Futures Excess Return Index (in blue) and the performance the S&P 500® Futures Excess Return Index (in gray) during the period from January 2, 2019 through August 1, 2024 (using hypothetical performance data and historical closing levels, as described above). The S&P 500® Futures Excess Return Index has been adjusted to have a closing level of 100.00 on January 2, 2019 by dividing the applicable closing level on each day by such index's closing level on January 2, 2019 and multiplying the quotient by 100.00. In the graph, historical data can be found to the right of the vertical solid line marker. The percentage of index exposure to the S&P 500® Futures Excess Return Index on August 1, 2024 is 174%. You should not take the hypothetical performance data or historical levels of the index as an indication of its future performance.
Percentage of Index Exposure to the S&P 500® Futures Excess Return Index
S-6
August 2024 S&P 500® Futures Volatility Plus Daily Risk Control Index Supplement Dated August 22, 2024 |
Selected Risk Factors
An investment in securities linked to the index is subject to the risks described below as well as the risks and considerations described in the accompanying underlier supplement no. 40, the applicable pricing supplement, the applicable product supplement, if any, the applicable general terms supplement, if any, the accompanying prospectus supplement and the accompanying prospectus. The following risk factors are discussed in greater detail in the accompanying underlier supplement no. 40. References below to "reference equity index" mean the "S&P 500® Index".
S-7
August 2024 S&P 500® Futures Volatility Plus Daily Risk Control Index Supplement Dated August 22, 2024 |
About This Index Supplement
GS Finance Corp. may use this index supplement in the initial sale of the securities. In addition, Goldman Sachs & Co. LLC (GS&Co.), or any other affiliate of GS Finance Corp., may use this index supplement in a market-making transaction in a security after its initial sale. Unless GS Finance Corp. or its agent informs the purchaser otherwise in the confirmation of sale, this index supplement is being used in a market-making transaction.
This index supplement constitutes a supplement to the documents listed below and therefore should be read in conjunction with such documents: |
S-8
We have not authorized anyone to provide any information or to make any representations other than those contained in or incorporated by reference in this index supplement, the accompanying underlier supplement no. 40, the accompanying prospectus supplement or the accompanying prospectus. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may provide. This index supplement addendum is an offer to sell only the securities offered hereby, but only under circumstances and in jurisdictions where it is lawful to do so. The information contained in this index supplement addendum, the accompanying index supplement no. 40, the accompanying prospectus supplement and the accompanying prospectus is current only as of the respective dates of such documents.
TABLE OF CONTENTS
August 2024 S&P 500® Futures Volatility Plus Daily Risk Control IndexSupplement dated August 22, 2024 |
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S&P 500® Futures Volatility Plus Daily Risk Control Index |
S-1 |
Comparative Performance Data |
S-2 |
Selected Risk Factors |
S-7 |
About This Index Supplement |
S-8 |