The Index is comprised of shares of ETFs whose underlying indexes track U.S., international developed and emerging equity markets, commodity markets, real estate markets and fixed income assets (including U.S. treasuries and investment grade, high yield, international and emerging market bonds). Using a methodology (the “Methodology”) developed by Goldman, Sachs & Co. (the “Index Provider”), the Index seeks to provide exposure to price momentum of these markets and fixed income assets by reflecting the combination of Underlying ETF weightings that would have provided the highest six-month historical return, subject to constraints on maximum and minimum weights and volatility controls further described below. The Index is rebalanced monthly and may be rebalanced as frequently as daily if the daily volatility control is triggered.
Two levels of volatility control are applied. The monthly volatility control is performed on each monthly rebalancing date and sets a maximum limit on the annualized historic six-month realized volatility of any selected combination of ETF weights. The daily volatility control rebalances a portion or all of the current Index components into short-term fixed income ETFs in order to reduce volatility when the annualized historic three-month volatility of the current Index components exceeds a predetermined level. The Index is rebalanced into its prior composition when the annualized historic three-month volatility of such composition declines below the predetermined level.
The Index is calculated on an excess return over 3-month Libor basis, with dividends reinvested.
Please note that the index chart above may be partly comprised of historical performance illustration based on a backtest. The guideline provides an indication where this is the case.