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Goldman Sachs Commodity Strategies

IOSCO Compliance Statement

Summary of Index Control Framework

 

A.    Goldman Sachs Overweight & Equal Weight Commodity Indices

Index Methodology

1.    GSOWLC00 Index - Live Cattle Overweight

i.   Daily weights of index

ii.  Daily Index Level

2.    GSOWLH00 Index - Lean Hogs Overweight

i.   Daily weights of index

ii.  Daily Index Level

3.    GSOWNG00 Index - Natural Gas Overweight

i.   Daily weights of index

ii.  Daily Index Level

4.    GSOWSB00 Index - Sugar Overweight

i.   Daily weights of index

ii.  Daily Index Level

5.    GSOWSI00 Index - Silver Overweight

i.   Daily weights of index

ii.  Daily Index Level

6.     GSOWSO00 Index - Soybeans Overweight

i.   Daily weights of index

ii.  Daily Index Level

7.    GSOWWH00 Index - Wheat Overweight

i.   Daily weights of index

ii.  Daily Index Level

8.    GSOWIC00 Index - Copper Overweight

i.   Daily weights of index

ii.  Daily Index Level

9.      GSOWIK00 Index - Nickel Overweight

i.   Daily weights of index

ii.  Daily Index Level

10.      GSOWIL00 Index - Lead Overweight

i.   Daily weights of index

ii.  Daily Index Level

11.    GSOWIZ00 Index - Zinc Overweight

i.    Daily weights of index

ii.  Daily Index Level

12.      GSOWKC00 Index - Coffee Overweight

i.   Daily weights of index

ii.  Daily Index Level

13.   GSOWKW00 Index - Kansas Wheat Overweight

i.   Daily weights of index

ii.  Daily Index Level

14.    GSOWFC00 Index - Feeder Cattle Overweight

i.   Daily weights of index

ii.  Daily Index Level

15.    GSOWGC00 Index - Gold Overweight

i.   Daily weights of index

ii.  Daily Index Level

16.    GSOWGO00 Index - Gasoil Overweight

i.   Daily weights of index

ii.  Daily Index Level

17.    GSOWHO00 Index - Heating Oil Overweight

i.   Daily weights of index

ii.  Daily Index Level

18.     GSOWHU00 Index - Gasoline Overweight

i.   Daily weights of index

ii.  Daily Index Level

19.     GSOWIA00 Index - Aluminium Overweight

i.   Daily weights of index

ii.  Daily Index Level

20.      GSOWBR00 Index - Brent Overweight

i.   Daily weights of index

ii.  Daily Index Level

21.    GSOWCC00 Index - Cocoa Overweight

i.   Daily weights of index

ii.  Daily Index Level

22.    GSOWCL00 Index - WTI Overweight

i.   Daily weights of index

ii.  Daily Index Level

23.   GSOWCN00 Index - Corn Overweight

i.   Daily weights of index

ii.  Daily Index Level

24.    GSOWCT00 Index - Cotton Overweight

i.   Daily weights of index

ii.  Daily Index Level

25.    GSOWEW00 Index - Equal Weight Index

i.   Daily weights of index

ii.  Daily Index Level

B.    Modified Strategies on the Bloomberg Commodity Index

1.  Modified Strategy D166 on the Bloomberg Commodity Index (index methodology)

2. Daily weights of Index

3. Daily Index level

C. Goldman Sachs Overweight & Equal Weight Commodity Indices Ex Agriculture and Livestock

Index methodology

1.    GSOWEWX0 Index

i.   Daily weights of index

ii.  Daily Index Level

2.    GSOWCLX0 Index

i.   Daily weights of index

ii.  Daily Index Level

3.    GSOWGCX0 Index

i.   Daily weights of index

ii.  Daily Index Level

4.    GSOWIAX0 Index

i.   Daily weights of index

ii.  Daily Index Level

5.    GSOWICX0 Index

i.   Daily weights of index

ii.  Daily Index Level

6.    GSOWIKX0 Index

i.   Daily weights of index

ii.  Daily Index Level

7.    GSOWILX0 Index

i.   Daily weights of index

ii.  Daily Index Level

8.    GSOWIZX0 Index

i.   Daily weights of index

ii.  Daily Index Level

9.    GSOWNGX0 Index

i.   Daily weights of index

ii.  Daily Index Level

10.    GSOWPAX0 Index

i.   Daily weights of index

ii.  Daily Index Level

11.    GSOWSIX0 Index

i.   Daily weights of index

ii.  Daily Index Level

12.    GSOWBRX0 Index

i.   Daily weights of index

ii.  Daily Index Level

13.    GSOWGOX0 Index

i.   Daily weights of index

ii.  Daily Index Level

14.    GSOWHOX0 Index

i.   Daily weights of index

ii.  Daily Index Level

15.    GSOWHUX0 Index

i.   Daily weights of index

ii.  Daily Index Level

16.    GSOWPLX0 Index

i.   Daily weights of index

ii.  Daily Index Level

17.    GSOWCLX3 Index

i.   Daily weights of index

ii.  Daily Index Level

18.    GSOWGCX3 Index

i.   Daily weights of index

ii.  Daily Index Level

19.    GSOWIAX3 Index

i.   Daily weights of index

ii.  Daily Index Level

20.    GSOWICX3 Index

i.   Daily weights of index

ii.  Daily Index Level

21.    GSOWIKX3 Index

i.   Daily weights of index

ii.  Daily Index Level

22.    GSOWILX3 Index

i.   Daily weights of index

ii.  Daily Index Level

23.    GSOWIZX3 Index

i.   Daily weights of index

ii.  Daily Index Level

24.    GSOWNGX3 Index

i.   Daily weights of index

ii.  Daily Index Level

25.    GSOWPAX3 Index

i.   Daily weights of index

ii.  Daily Index Level

26.    GSOWSIX3 Index

i.   Daily weights of index

ii.  Daily Index Level

27.    GSOWBRX3 Index

i.   Daily weights of index

ii.  Daily Index Level

28.    GSOWGOX3 Index

i.   Daily weights of index

ii.  Daily Index Level

29.    GSOWHOX3 Index

i.   Daily weights of index

ii.  Daily Index Level

30.    GSOWHUX3 Index

i.   Daily weights of index

ii.  Daily Index Level

31.    GSOWPLX3 Index

i.   Daily weights of index

ii.  Daily Index Level

32.    GSOWCLX6 Index

i.   Daily weights of index

ii.  Daily Index Level

33.    GSOWGCX6 Index

i.   Daily weights of index

ii.  Daily Index Level

34.    GSOWIAX6 Index

i.   Daily weights of index

ii.  Daily Index Level

35.    GSOWICX6 Index

i.   Daily weights of index

ii.  Daily Index Level

36.    GSOWIKX6 Index

i.   Daily weights of index

ii.  Daily Index Level

37.    GSOWILX6 Index

i.   Daily weights of index

ii.  Daily Index Level

38.    GSOWIZX6 Index

i.   Daily weights of index

ii.  Daily Index Level

39.    GSOWNGX6 Index

i.   Daily weights of index

ii.  Daily Index Level

40.    GSOWPAX6 Index

i.   Daily weights of index

ii.  Daily Index Level

41.    GSOWSIX6 Index

i.   Daily weights of index

ii.  Daily Index Level

42.    GSOWBRX6 Index

i.   Daily weights of index

ii.  Daily Index Level

43.    GSOWGOX6 Index

i.   Daily weights of index

ii.  Daily Index Level

44.    GSOWHOX6 Index

i.   Daily weights of index

ii.  Daily Index Level

45.    GSOWHUX6 Index

i.   Daily weights of index

ii.  Daily Index Level

46.    GSOWPLX6 Index

i.   Daily weights of index

ii.  Daily Index Level

47.    GSOWCLXM Index

i.   Daily weights of index

ii.  Daily Index Level

48.    GSOWCLXZ Index

i.   Daily weights of index

ii.  Daily Index Level

49.    GSOWBRXM Index

i.   Daily weights of index

ii.  Daily Index Level

50.    GSOWBRXZ Index

i.   Daily weights of index

ii.  Daily Index Level

51.    GSOWNGXM Index

i.   Daily weights of index

ii.  Daily Index Level

52.    GSOWNGXZ Index

i.   Daily weights of index

ii.  Daily Index Level

53.    GSOWGOXZ Index

i.   Daily weights of index

ii.  Daily Index Level

54.    GSOWHOXZ Index

i.   Daily weights of index

ii.  Daily Index Level

55.    GSOWHUXZ Index

i.   Daily weights of index

ii.  Daily Index Level

56.    GSOWCLXA Index

i.   Daily weights of index

ii.  Daily Index Level

57.    GSOWCLXB Index

i.   Daily weights of index

ii.  Daily Index Level

58.    GSOWBRXA Index

i.   Daily weights of index

ii.  Daily Index Level

59.    SOWBRXB Index

i.   Daily weights of index

ii.  Daily Index Level

60.    GSOWNGXA Index

i.   Daily weights of index

ii.  Daily Index Level

61.    GSOWNGXB  Index

i.   Daily weights of index

ii.  Daily Index Level

 

D.    Goldman Sachs Commodity Strategy 1067

 

E.    Modified Strategy D197XLA on the Bloomberg Commodity ex-Agriculture and Livestock Capped Index

i.    Index methodology

 

F.    Goldman Sachs Overweight & Equal Weight Commodity Indices – Series A

Index Methodology

1. GSOWGCA0 Index

i. Daily weights of index

ii. Daily Index Level

2. GSOWSIA0 Index

i. Daily weights of index

ii. Daily Index Level

3. GSOWIAA0 Index

i. Daily weights of index

ii. Daily Index Level

4. GSOWICA0 Index

i. Daily weights of index

ii. Daily Index Level

5. GSOWIKA0 Index

i. Daily weights of index

ii. Daily Index Level

6. GSOWIZA0 Index

i. Daily weights of index

ii. Daily Index Level

7. GSOWCLA0 Index

i. Daily weights of index

ii. Daily Index Level

8. GSOWNGA0 Index

i. Daily weights of index

ii. Daily Index Level

9. GSOWBRA0 Index

i. Daily weights of index

ii. Daily Index Level

10. GSOWHOA0 Index

i. Daily weights of index

ii. Daily Index Level

11. GSOWGOA0 Index

i. Daily weights of index

ii. Daily Index Level

12. GSOWHUA0 Index

i. Daily weights of index

ii. Daily Index Level

13. GSOWILA0 Index

i. Daily weights of index

ii. Daily Index Level

14. GSOWPLA0 Index

i. Daily weights of index

ii. Daily Index Level

15. GSOWPAA0 Index

i. Daily weights of index

ii. Daily Index Level

16. GSOWSOA0 Index

i. Daily weights of index

ii. Daily Index Level

17. GSOWSBA0 Index

i. Daily weights of index

ii. Daily Index Level

18. GSOWWHA0 Index

i. Daily weights of index

ii. Daily Index Level

19. GSOWCNA0 Index

i. Daily weights of index

ii. Daily Index Level

20. GSOWCTA0 Index

i. Daily weights of index

ii. Daily Index Level

21. GSOWKCA0 Index

i. Daily weights of index

ii. Daily Index Level

22. GSOWLHA0 Index

i. Daily weights of index

ii. Daily Index Level

23. GSOWLCA0 Index

i. Daily weights of index

ii. Daily Index Level

24. GSOWCCA0 Index

i. Daily weights of index

ii. Daily Index Level

25. GSOWKWA0 Index

i. Daily weights of index

ii. Daily Index Level

26. GSOWBOA0 Index

i. Daily weights of index

ii. Daily Index Level

27. GSOWSMA0 Index

i. Daily weights of index

ii. Daily Index Level

28. GSOWFCA0 Index

i. Daily weights of index

ii. Daily Index Level

29. GSOWEWAE Index

i. Daily weights of index

ii. Daily Index Level

30. GSOWEWAA Index

i. Daily weights of index

ii. Daily Index Level