Goldman Sachs Momentum Builder Focus ER Index Posts 1.91% Annualized Performance Since Launch

The Goldman Sachs Momentum Builder Focus ER Index, launched on January 12, 2021, measures the performance of a base index and non-interest bearing cash positions subject to certain deductions. The base index rebalances daily based on historical returns of underlying assets, with exposure reduced if realized volatility exceeds 5% or if the volatility-controlled index exhibits negative price momentum.

As of September 2026, the index has shown a 1.91% annualized performance since January 2021 and an annualized realized volatility of 3.54%. The maximum peak-to-trough drawdown was -6.26%, with the largest decline occurring in March 2022.

According to historical data from January 12, 2021, to September 1, 2026, the index has outperformed US Equities (SPY Excess Return), Global Equities (MSCI ACWI Excess Return), and Commodities (S&P GSCI Excess Return) but underperformed US Bonds (AGG Excess Return). The return over risk for the index since January 2021 was 0.54, indicating a relatively stable performance.