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GS Momentum Builder® Multi-Asset 2 ER Index

The GS Momentum Builder® Multi-Asset 2 ER Index represents the marriage of modern portfolio theory and momentum investing and tends to result in more exposure to risky assets in rising markets and less leverage in falling markets*. The index also provides enhanced risk management through embedded volatility control measures.

Overview 

The GS Momentum Builder® Multi-Asset 2 ER ("GSMBMA2") Index:

  • Provides exposure to ETFs whose underlying indexes track equity, commodity, real estate, and fixed income assets
  • Seeks to provide exposure to price momentum of several asset classes using methodology developed by Goldman, Sachs & Co. (Index Sponsor). Combines 18 Underlying ETFs across seven asset classes that would have provided the highest six-month historical return, subject to constraints on maximum weights and volatility controls.
  • Is rebalanced monthly and may be rebalanced as frequently as daily if the daily volatility control is triggered.
    • Target volatility: 4%. It is measured on a monthly basis and sets a maximum limit on the annualized historic six-month realized volatility on each monthly rebalance date.
    • Volatility control: 5%. It is measured on a daily basis. The Index is rebalanced whenever the annualized historic three-month volatility exceeds the volatility control.
  • Is calculated on an excess return basis over a notional cash deposit at 3-month Libor, compounded quarterly, with gross dividends reinvested.

Index Information

Ticker

GSMBMA2

RIC

.GSMBMA2

Thomspson Identifier

A1PHHQ-ST

Index Sponsor

Goldman, Sachs & Co.

Character of Underliers

ETFs

Currency

USD

Number of Underliers

max. 18

Volatility Target

4.00%

Daily Volatility Control

5.00%

Index Calculator

Solactive

Index Base Date

Jun-01-2011

 

* The tendency for the realized volatility and price returns of risky assets to be negatively correlated is based upon historical data. While there may be a case for this relationship based on market psychology, one cannot assume that the relationship will continue in the future.

For information relating to Certificates of Deposit that are linked to the GS Momentum Builder® Multi-Asset 2 ER Index, please refer to the Broker-Dealer Offerings page or consult the respective offering documents.

The financial instrument is not sponsored, promoted, sold or supported in any other manner by Solactive (the "Calculation Agent") nor does the Calculation Agent offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Price at any time or in any other respect. The Index is calculated and published by the Calculation Agent. The Calculation Agent uses its best efforts to ensure that the Index is calculated correctly. The Calculation Agent does not warrant the accuracy or completeness of any information contained herein. Irrespective of its obligations towards the Issuer, the Calculation Agent has no obligation to point out errors in the Index to third parties including but not limited to investors and/or financial intermediaries of the financial instrument. The calculation and publication of the Index by the Calculation Agent for the purpose of use in connection with the financial instrument does not constitute a recommendation by the Calculation Agent to invest capital in said financial instrument nor does it in any way represent an assurance or opinion of the Calculation Agent with regard to any investment in this financial instrument.

Goldman Sachs does not warrant the accuracy or completeness of any information contained herein and provides no assurance that this information is, in fact, accurate. The information contained herein is subject to change without notice. Any representations, projections and comparisons contained herein may not reflect the opinions of Goldman Sachs and may not be accurate either now or at a future date. Consequently, you should not rely on such representations, projections, comparisons or other opinions when selecting any investment product or making a recommendation to a customer. Current and future economic and other market events concerning an investment product or an index may cause the information provided herein to be incorrect. Past performance is not indicative of future results and should never be relied upon in making an investment decision or recommendation. Any investments or strategies referenced herein do not take into account the investment objectives, financial situation or particular needs of any specific person. Product suitability must be independently determined for each individual investor. Goldman Sachs explicitly disclaims any responsibility for product suitability or suitability determinations related to individual investors. © 2013 Goldman Sachs. All rights reserved.


Any financial product sold prior to maturity may be worth more or less than the original amount invested. Depending upon the specific product offering, investment risks include, but are not limited to, interest rate risk, credit risk, market risk and liquidity risk. The material contained herein is for informational purposes only, designed to illustrate an index created by the Index Sponsor that implies an investment strategy achieved through exposure to particular underlying financial instruments. The information contained herein is for illustrative purposes only and is not meant to forecast, imply, or guarantee the future performance of any particular investment or financial product, which will vary.  An investment cannot be made directly in an index.  An index is an unmanaged statistical composite and index performance does not include payment of any sales charges, expenses or fees an investor would pay to purchase the underlining securities or any financial product that may be linked to the index.  Such costs would lower performance.

Incapital does not warrant the accuracy or completeness of any information contained herein and provides no assurance that this information is, in fact, accurate.  The information contained herein is subject to change without notice.  Any representations, projections and comparisons contained herein may not reflect the opinions of Incapital and may not be accurate either now or at a future date.  Consequently, you should not rely on such representations, projections, comparisons or other opinions when selecting any investment product or making a recommendation to a customer.  Current and future economic and other market events concerning an investment product or an index may cause the information provided herein to be incorrect.  Past performance is not indicative of future results and should never be relied upon in making an investment decision or recommendation.  Any investments or strategies referenced herein do not take into account the investment objectives, financial situation or particular needs of any specific person.  Product suitability must be independently determined for each individual investor.  Incapital explicitly disclaims any responsibility for product suitability or suitability determinations related to individual investors.

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