高盛美股招股说明书(2025-07-17版)

equities; and commodities; and (ii) a money market position that accrues interest at a rate equal to the federal funds rate (the“return-based money market position”). The base index rebalances on each index business day based on historical returns of the the paragraph above) and minimum and maximum weights for the underlying assets and asset classes. As a result of therebalancing, the base index may include as few as 2 underlying assets (including the return-based money market position) and may never include some of the underlying indices or asset classes. The daily base index return is subject to a deduction equal to the return on the federal funds rate and, in addition, theentire index is subject to a deduction of 0.65% per annum (accruing daily).The net effect of the deduction for the federal funds rate on the base index and the 0.65% deduction on the full index means that any performance on a pro rata basis by 0.65%.A very significant portion of the index has been, and may be in the future,allocated to the return-based money market position and the non-interest bearing cash positions.Historical Information and Hypothetical DataThe following chart and table provide a comparison between the index (using historical information and hypothetical Return)Effective Performance (1 Month)0.31%4.15%3.67%1.28%2.36%Effective Performance (6 Month)-0.26%3.72%7.62%1.70%-0.06%Annualized* Performance (since January 2020)1.23%11.26%8.10%-2.25%4.05%Annualized* Realized Volatility (since January2020)**3.59%21.03%17.08%6.60%23.85%Return over Risk (since January 2020)***0.340.540.47-0.340.17-6.26%-33.79%-33.82%-22.37%-52.87% benchmark indices, respectively. The historical index information from January 12, 2021 (the index launch date) to July1, 2025 reflects the actual performance of the index. (In the chart, this historical index information can be found to the right of the vertical solid line marker.) The hypothetical index data from January 1, 2020 to January 11, 2021 is basedon the historical levels of the eligible underlying assets, using the same methodology that is used to calculate theindex. As a result, the above chart and table do not reflect the global financial crisis which began in 2008, which had a -0.49%0.62%0.38%0.39%1.77%0.44%-0.43%-1.27%-0.13%0.17%-0.54%-0.33%-0.43%0.21%-0.27%-0.52%-0.46%1.64%0.67%0.62%0.19%0.89%0.83%-2.69%-2.09%-0.59%0.82%0.48%0.53%0.43%0.88%-0.94% *To June 30, 2025** Historical Performance begins January 12, 2021 (the index launch date) Eligible Base Index Underlying Assets The following is a list of the eligible base index underlying assets for the index, including the related base index assetclasses, base index asset class minimum and maximum weights and base index underlying asset minimum and ▪The Index Measures the Performance of the UnderlyingAssets on an Excess Return Basis Less the Deduction▪The Index’s Momentum Risk Control AdjustmentMechanism May Not Work as Intended and May Limit ▪Your Investment in the Securities May Be Subject toConcentration Risks. The assets underlying an eligible underlying asset may represent a particular market orcommodity sector, a particular geographic region orsome other sector or asset class. As a result, yourinvestment in the securities may be concentrated in a▪The Eligible Underlying Indices are Linked to FuturesStrategies▪Certain Eligible Underlying Assets are Subject to an and each base index asset class.▪You May Not Have Exposure to One or More of the ▪The Weight of Each Underlying Asset in the Base IndexReflects the Average of the Average of the Weights ofSuch Underlying Asset Over Three Look-Back Periods▪Base Index Asset Class Maximum Weights May in ManyCases Prevent All of the Eligible Base Index Underlying▪The Index’s Exposure to the Performance of UnderlyingIndices May Be Limited by Deleveraging and the Weight▪Index Market Disruption Events Could Affect the Level ofthe Index on Any Date▪The Index Has a Limited Operating History▪The Historical Levels of the Notional Interest Rate AreNot an Indication of the Future Levels of the NotionalInterest Rate▪The Policies of the Index Sponsor, Index Committee andIndex Calculation Agent, and Changes That Affect theIndex or the Underlying Indices, Could Affect theAmount Payable on Your Securities and Their MarketValue▪The Index Calculation Agent Will Have Authority to MakeDeterminations that Could Affect the Value of YourSecurities and the Amount You Receive at Maturity. TheGoldman Sachs Group, Inc. Owns a Non-ControllingInterest in the Index Calculation Agent Eligible Underlying Assets During the Term of theSecurities and Over the Weight Averaging Period▪The Index May Not Successfully Capture PriceMomentum Assets in a Base Index Asset Class From Being Included in the Base Index at Their Base IndexUnderlying Asset Maximum Weights ▪If the Level of the Index Changes, the Market Value ofYour Securities May Not Change in the Same Manner▪The Lower Performance of One Underlying Asset May▪Be