Goldman Sachs (NYSE: GS) outlines risks of S&P 500 futures note

Rhea-AI Filing Summary

GS Finance Corp. describes the S&P 500® Futures Excess Return Index, which tracks the nearest maturing quarterly E-mini S&P 500 futures contract on the Chicago Mercantile Exchange. The index, calculated by S&P Dow Jones Indices, has a base value of 100 as of September 9, 1997 and is quoted in U.S. dollars.

The supplement shows historical performance through January 2, 2026, with the index posting annualized returns of 12.58% over 1 year, 16.62% over 3 years and 10.50% over 5 years, alongside annualized volatility between about 15% and 19%. Over the same periods, the S&P 500® Index had higher annualized returns of 16.87%, 21.50% and 13.13%. The document emphasizes that past performance is not a guide to future results and highlights risks of securities linked to this index, including issuer and guarantor credit risk, lack of dividends and shareholder rights, futures-specific risks such as negative roll yield, and potential market disruptions.

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Accepted by SEC EDGAR 01/26/2026 - 04:19 PM Learn about SEC filing dates

FAQ

What is the S&P 500 Futures Excess Return Index described by GS (GS)?

The S&P 500® Futures Excess Return Index (Bloomberg: SPXFP) measures the performance of the nearest maturing quarterly E-mini S&P 500 futures contract traded on the Chicago Mercantile Exchange. It is calculated, maintained and published by S&P Dow Jones Indices LLC and has a base date of September 9, 1997 with a base value of 100.

How has the S&P 500 Futures Excess Return Index performed historically?

For the period ended January 2, 2026, the index recorded annualized returns of 12.58% over 1 year, 16.62% over 3 years, 10.50% over 5 years and 10.50% since January 4, 2021. Annualized volatility over these periods ranged from about 14.99% to 18.53%. The supplement stresses that these historical figures should not be taken as indications of future performance.

How does the S&P 500 Futures Excess Return Index compare to the S&P 500 Index?

Over the same periods ended January 2, 2026, the S&P 500® Index had higher annualized returns: 16.87% for 1 year, 21.50% for 3 years, and 13.13% for 5 years and since January 4, 2021. This means the futures-based excess return index underperformed its parent equity index over these horizons, though the document notes that past results do not predict future outcomes.

What are the key risks of investing in GS (GS) securities linked to this index?

The supplement lists multiple risks, including the credit risk of GS Finance Corp. as issuer and The Goldman Sachs Group, Inc. as guarantor, potential mismatch between index changes and the market value of the securities, and no entitlement to dividends or shareholder rights on S&P 500 companies. It also highlights futures-related risks such as negative roll yields, the fact that futures are not assets with intrinsic value, and the possibility that trading suspensions or market disruptions could adversely affect the value of the securities.

Does the S&P 500 Futures Excess Return Index include dividends from S&P 500 companies?

No. The supplement states that the return on securities linked to the index will not reflect any dividends paid on any stock in the reference equity index. Investors in these linked securities do not receive dividend payments from the underlying S&P 500 constituent companies.

Who sponsors and maintains the S&P 500 Futures Excess Return Index used by GS (GS)?

The index sponsor and calculation agent is S&P Dow Jones Indices LLC. The index is part of a family of futures excess return indices and is based on E-mini S&P 500 futures contracts. GS Finance Corp. notes that all index data in the supplement is derived from publicly available information, primarily from S&P Dow Jones Indices and Bloomberg.

Are GS (GS) securities linked to the index protected by deposit insurance or regulators?

No. The document clarifies that these securities are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, and are not obligations of or guaranteed by a bank. They are subject to securities laws, but regulators such as the SEC have not approved or disapproved the securities or passed on the adequacy of the documents.

January 2026 S&P 500® Futures Excess Return Index Supplement to the Underlier Supplement, the Prospectus Supplement and the Prospectus, each as may be amended from time to time, that form a part of Registration Statement No. 333-284538 Filed Pursuant to Rule 424(b)(3) Registration Statement No. 333-284538

GS Finance Corp. Medium-Term Notes, Series F guaranteed by The Goldman Sachs Group, Inc.

S&P 500® Futures Excess Return Index

Overview

This section constitutes only a brief overview of the S&P 500® Futures Excess Return Index. The index is described in more detail under “The Underliers — S&P 500® Futures Excess Return Index” in the underlier supplement referred to in “About This Index Supplement” below.

The S&P 500® Futures Excess Return Index (current Bloomberg symbol: “SPXFP Index”), which we also refer to in this index supplement as the “index,” measures the performance of the nearest maturing quarterly E-mini S&P 500 futures contract trading on the Chicago Mercantile Exchange. The S&P 500® Index includes a representative sample of 500 companies in leading industries of the U.S. economy.

The index has a base date of September 9, 1997, with a base value of 100, as adjusted, and is calculated, maintained and published by S&P Dow Jones Indices LLC.

We have derived all information contained in this index supplement regarding the index from publicly available information. Additional information about the index is available on the following website: spglobal.com/spdji/en/indices/strategy/sp-500-futures-index. We are not incorporating by reference the website or any material it includes in this index supplement.


	Quick Facts			Historical Performance			
	Sponsor	S&P Dow  Jones Indices  LLC		The graph below shows the daily historical closing levels of the index from January 4, 2021 through January 2, 2026. As a result, the below graph does not reflect the global financial crisis which began in 2008, which had a materially negative impact on the price of most equity securities and, as a result, the level of most equity indices. We obtained the closing levels in the graph below from Bloomberg Financial Services, without independent verification. You should not take the historical levels of the index as an indication of its future performance.
	Calculation Agent	S&P Dow Jones Indices LLC		 
	Index Currency	USD
	Reuters Ticker	.SPXFP
	Bloomberg Ticker	SPXFP
	Rebalancing	Quarterly
	Index Members	Variable
				Annualized Return and Annualized Volatility
	Geographical Coverage	US		The following table provides the annualized return and annualized volatility of the index for each applicable period ended January 2, 2026. Annualized return represents the average rate of return per annum, calculated as the geometric average of the percentage change of the index during the applicable time period. Annualized volatility is a measure of the historical variability of returns, and is calculated as the square root of 252 multiplied by the sample standard deviation of the daily logarithmic returns of the index during the applicable time period. You should not take any annualized return or annualized volatility information regarding the index as an indication of its future performance.
	Type	Excess Return			Annualized Return	Annualized Volatility
	Launch Date	August 11, 2010		1 Year	12.58%	18.53%
	History Available Since	September 9, 1997		3 Years	16.62%	14.99%
				5 Years	10.50%	16.86%
				Since January 4, 2021	10.50%	16.86%
	


Your investment in securities linked to the index involves certain risks. See “Selected Risk Factors” on page S-3 to read about investment risks relating to such securities.

Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this index supplement, the applicable pricing supplement, the applicable product supplement, if any, the applicable general terms supplement, if any, the accompanying underlier supplement, the accompanying prospectus supplement or the accompanying prospectus. Any representation to the contrary is a criminal offense.

The securities are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.

Goldman Sachs & Co. LLC

January 2026 S&P 500® Futures Excess Return Index Supplement dated January 26, 2026.

S-1

January 2026 S&P 500® Futures Excess Return Index Supplement Dated January 26, 2026

Comparative Performance Data

Index Performance Compared to its Parent Index

For comparative purposes, the graph below shows the performance, from January 4, 2021 through January 2, 2026, of the S&P 500® Futures Excess Return Index (in black) and the S&P 500® Index (in blue).

For comparative purposes, each of the S&P 500® Futures Excess Return Index and the S&P 500® Index have been adjusted to have a closing level of 100.00 on January 4, 2021 by dividing the applicable closing level on each day by that index’s closing level on January 4, 2021 and multiplying the quotient by 100.00.

The daily historical closing levels of the indices used to create this graph were obtained from Bloomberg Financial Services, without independent verification. You should not take this graph or the historical closing levels of the indices used to create this graph as an indication of the future performance of any index, including the S&P 500® Futures Excess Return Index, or the correlation (if any) between the level of the S&P 500® Futures Excess Return Index and the level of the S&P 500® Index.

Comparative Performance of the S&P 500® Futures Excess Return Index (SPXFP) and the S&P 500® Index (SPX)

Index Annualized Return Compared to its Parent Index

The following table provides a comparison of the annualized returns of the S&P 500® Futures Excess Return Index and the S&P 500® Index for the applicable period ended January 2, 2026. Annualized return represents the average rate of return per annum, calculated as the geometric average of the percentage change of the applicable index during the applicable time period. You should not take the annualized returns of the indices as an indication of the future performance of any index, including the S&P 500® Futures Excess Return Index.

Comparison of Annualized Returns of the S&P 500® Futures Excess Return Index and the S&P 500® Index

	1 Year	3 Years	5 Years	Since January 4, 2021
S&P 500® Index	16.87%	21.50%	13.13%	13.13%
S&P 500® Futures Excess Return Index	12.58%	16.62%	10.50%	10.50%

S-2

January 2026 S&P 500® Futures Excess Return Index Supplement Dated January 26, 2026

Selected Risk Factors

An investment in securities linked to the index is subject to the risks described below as well as the risks and considerations described in the accompanying underlier supplement no. 47, the applicable pricing supplement, the applicable product supplement, if any, the applicable general terms supplement, if any, the accompanying prospectus supplement and the accompanying prospectus. The following risk factors are discussed in greater detail in the accompanying underlier supplement no. 47. References below to “reference equity index” mean the “S&P 500® Index”.

•The Estimated Value of Your Securities At the Time the Terms of Your Securities Are Set On the Trade Date (as Determined By Reference to Pricing Models Used By GS&Co.) Is Less Than the Original Issue Price Of Your Securities

•Your Securities Are Subject to the Credit Risk of GS Finance Corp., as Issuer, and the Credit Risk of The Goldman Sachs Group, Inc., as Guarantor

•The Market Value of Your Securities May Be Influenced by Many Unpredictable Factors

•If the Value of an Underlier Changes, the Market Value of Your Securities May Not Change in the Same Manner

•The Return on Your Securities Will Not Reflect Any Dividends Paid on Any Underlier Stock

•You Have No Shareholder Rights or Rights to Receive Any Underlier Stock

•Past Performance is No Guide to Future Performance

•The Policies of the Underlier Sponsor and Changes That Affect the Equity Futures Index or the Securities Comprising the Reference Equity Index Could Affect the Payment Amount on Your Securities and Their Market Value

•Except to the Extent The Goldman Sachs Group, Inc. Is One of the Companies Whose Common Stock Comprises the Reference Equity Index, and Except to the Extent That We or Our Affiliates May Currently or in the Future Own Securities of, or Engage in Business With, the Issuers of Securities Comprising the Reference Equity Index or Own the Underlying Futures Contracts, There Is No Affiliation Between Us and the Issuers of Securities Comprising the Reference Equity Index

•Linking to an Equity Futures Contract Is Different From Linking to the Applicable Reference Equity Index

•Negative Roll Yields Will Adversely Affect the Level of the Equity Futures Index Over Time and Therefore the Amount Payable on the Securities

•Futures Contracts Are Not Assets with Intrinsic Value

•You Have No Rights in Any Futures Contract Tracked by the Dow Jones Industrial Average Futures Excess Return Index, the Nasdaq-100 Futures Excess Return™ Index, the Russell 2000® Futures Excess Return Index or the S&P 500® Futures Excess Return Index, As Applicable

•Owning the Securities Is Not the Same as Directly Owning the Securities or Futures Contract Directly or Indirectly Tracked by the Dow Jones Industrial Average Futures Excess Return Index, the Nasdaq-100 Futures Excess Return™ Index, the Russell 2000® Futures Excess Return Index or the S&P 500® Futures Excess Return Index

•Suspension or Disruptions of Market Trading in Stocks or Futures Contracts May Adversely Affect the Value of the Securities

S-3

January 2026 S&P 500® Futures Excess Return Index Supplement Dated January 26, 2026

About This Index Supplement

GS Finance Corp. may use this index supplement in the initial sale of the securities. In addition, Goldman Sachs & Co. LLC (GS&Co.), or any other affiliate of GS Finance Corp., may use this index supplement in a market-making transaction in a security after its initial sale. Unless GS Finance Corp. or its agent informs the purchaser otherwise in the confirmation of sale, this index supplement is being used in a market-making transaction.

This index supplement constitutes a supplement to the documents listed below and therefore should be read in conjunction with such documents:

•Underlier supplement no. 47 dated December 23, 2025

•Prospectus supplement dated February 14, 2025

•Prospectus dated February 14, 2025

S-4

We have not authorized anyone to provide any information or to make any representations other than those contained in or incorporated by reference in this index supplement, the accompanying underlier supplement no. 47, the accompanying prospectus supplement or the accompanying prospectus. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may provide. This index supplement addendum is an offer to sell only the securities offered hereby, but only under circumstances and in jurisdictions where it is lawful to do so. The information contained in this index supplement addendum, the accompanying index supplement no. 47, the accompanying prospectus supplement and the accompanying prospectus is current only as of the respective dates of such documents.

TABLE OF CONTENTS

January 2026 S&P 500® Futures Excess Return Index Supplement dated January 26, 2026
S&P 500® Futures Excess Return Index	S-1
Comparative Performance Data	S-2
Selected Risk Factors	S-3
About This Index Supplement	S-4