08/22/2024 | Press release | Distributed by Public on 08/22/2024 15:25
August 2024 S&P 500® Daily Risk Control 5% USD Excess Return 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 | Warrants, Series G guaranteed by The Goldman Sachs Group, Inc. |
S&P 500® Daily Risk Control 5% USD Excess Return Index
Overview
This section constitutes only a brief overview of the S&P 500® Daily Risk Control 5% USD Excess Return Index. The S&P 500 Daily Risk Control 5% USD Excess Return Index is described in more detail under "The Underliers - S&P 500® Daily Risk Control 5% USD Excess Return Index" in the underlier supplement referred to in "About This Index Supplement" below. |
The S&P 500® Daily Risk Control 5% USD Excess Return Index (current Bloomberg symbol: "SPXT5UE Index"), which we also refer to in this index supplement as the "Excess Return index," is the excess return version of the S&P 500® Daily Risk Control 5% USD Total Return Index (the "Risk Control index"), meaning that the Excess Return index is designed to measure the return on a hypothetical investment in the Risk Control index borrowed at a rate of the Secured Overnight Financing Rate (SOFR) plus 0.02963%. Any percentage increase in the Risk Control index will be offset by a rate of SOFR plus 0.02963%.
Prior to December 20, 2021, the Excess Return index measured the return on a hypothetical investment in the Risk Control index borrowed at the overnight U.S. dollar LIBOR rate.
The Risk Control index is intended to provide investors with exposure to the S&P 500® Total Return Index (the "Total Return index") subject to a risk control strategy that dynamically increases or decreases the exposure to the Total Return index in an attempt to achieve a 5% volatility target. The Risk Control index's exposure to the Total Return index can be greater than, less than or equal to 100%. Exposure in excess of 100% is achieved by hypothetically borrowing cash at a rate of SOFR plus 0.02963%. Exposure of less than 100% is achieved by hypothetically selling some of the exposure to the Total Return index, which results in a hypothetical cash position that accrues interest at the rate of SOFR plus 0.02963%.
Prior to December 20, 2021, the Risk Control index's exposure in excess of 100% was achieved by hypothetically borrowing cash at a rate of overnight U.S. dollar LIBOR. Exposure of less than 100% was achieved by hypothetically selling some of the exposure to the Total Return index, which resulted in a hypothetical cash position that accrued interest at the overnight U.S. dollar LIBOR rate.
As a result, extremely limited historical information regarding the performance of the Excess Return index and the Risk Control index subsequent to their discontinued use of overnight U.S. dollar LIBOR is available, which may make it difficult for you to make an informed decision with respect to an investment in the securities.
The Total Return index is a total return-based calculation of the S&P 500® Index. The S&P 500® Index includes a representative sample of 500 companies in leading industries of the U.S. economy.
We have derived all information contained in this index supplement regarding the Excess Return index from publicly available information. Additional information about the Excess Return index is available on the following website: spglobal.com/spdji/en/indices/strategy/sp-500-daily-risk-control-5-index. We are not incorporating by reference the website or any material it includes in this index supplement.
Quick Facts |
Historical Performance |
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Sponsor |
S&P Dow Jones Indices LLC |
The graph below shows the daily historical closing levels of the Excess Return index from January 2, 2019 through August 1, 2024. 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. We obtained the closing levels in the graph below from Bloomberg Financial Services, without independent verification. You should not take the historical levels of the Excess Return index as an indication of its future performance. |
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Calculation Agent |
S&P Dow Jones Indices LLC |
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Index Currency |
USD |
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Reuters Ticker |
.SPXT5UE |
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Bloomberg Ticker |
SPXT5UE |
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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 Coverage |
US |
The following table provides the annualized return and annualized volatility of the Excess Return index for each applicable period ended August 1, 2024. Annualized return represents the average rate of return per annum, calculated as the geometric average of the percentage change of the Excess Return 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 Excess Return index during the applicable time period. You should not take any annualized return or annualized volatility information regarding the Excess Return index as an indication of its future performance. |
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Type |
Excess Return |
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Launch Date |
September 10, 2009 |
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Annualized Return |
Annualized Volatility |
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1 Year |
5.26% |
5.09% |
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History Available Since |
February 5, 1990 |
3 Years |
2.45% |
4.97% |
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5 Years |
3.58% |
5.03% |
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Since January 2, 2019 |
3.93% |
4.93% |
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Your investment in securities linked to the Excess Return index involves certain risks. See "Selected Risk Factors" on page S-3 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® Daily Risk Control 5% USD Excess Return Index Supplement dated August 22, 2024.
August 2024 S&P 500® Daily Risk Control 5% USD Excess Return Index Supplement Dated August 22, 2024 |
Comparative Performance Data
Index Performance Compared to the Risk Control Index, the Total 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® Daily Risk Control 5% USD Excess Return Index (in black), the S&P 500® Daily Risk Control 5% USD Total Return Index (in gray), the S&P 500® Total Return Index (in green) and the S&P 500® Index (in blue).
For comparative purposes, each of the S&P 500® Daily Risk Control 5% USD Excess Return Index, the S&P 500® Daily Risk Control 5% USD Total Return Index, the S&P 500® Total 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.
The daily historical closing levels of the indices used to create this graph were obtained from Bloomberg Financial Services, without independent verification. You should not take this graph or the 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® Daily Risk Control 5% USD Excess Return Index, or the correlation (if any) between the level of the S&P 500® Daily Risk Control 5% USD Excess Return Index and the levels of the S&P 500® Daily Risk Control 5% USD Total Return Index, the S&P 500® Total Return Index or the S&P 500® Index.
Comparative Performance of the S&P 500® Daily Risk Control 5% USDExcess Return Index (SPXT5UE Index), the S&P 500® Daily Risk Control 5% USD Total Return Index (SPXT5UT Index), the S&P 500® Total Return Index (SPTR Index) and the S&P® 500 Index (SPX)
Index Annualized Return Compared to the Risk Control Index, the Total Return Index and its Parent Index
The following table provides a comparison of the annualized returns of the S&P 500® Daily Risk Control 5% USD Excess Return Index, the S&P 500® Daily Risk Control 5% USD Total Return Index, S&P 500® Total Return Index and the S&P 500® Index for the applicable period ended August 1, 2024. 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 annualized returns of the indices as an indication of the future performance of any index, including the S&P 500® Daily Risk Control 5% USD Excess Return Index.
Comparison of Annualized Returns of the S&P 500® Daily Risk Control 5% USD Excess Return Index, the S&P 500® Daily Risk Control 5% USD Total Return Index, the S&P 500® Total 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® Total Return Index |
20.80% |
9.10% |
14.89% |
16.83% |
S&P 500® Daily Risk Control 5% USD Total Return Index |
11.14% |
5.92% |
5.92% |
6.30% |
S&P 500® Daily Risk Control 5% USD Excess Return Index |
5.26% |
2.45% |
3.58% |
3.93% |
S-2
August 2024 S&P 500® Daily Risk Control 5% USD Excess Return Index Supplement Dated August 22, 2024 |
Selected Risk Factors
An investment in securities linked to the Excess Return 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.
S-3
August 2024 S&P 500® Daily Risk Control 5% USD Excess Return 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:
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Applicable prospectus supplement:
o
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For warrants: prospectus supplement dated February 13, 2023
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S-4
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® Daily Risk Control 5% USD Excess Return Index Supplement dated August 22, 2024 |
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S&P 500® Daily Risk Control 5% USD Excess Return Index |
S-1 |
Comparative Performance Data |
S-2 |
Selected Risk Factors |
S-3 |
About This Index Supplement |
S-4 |