S&P 500® Futures Volatility Plus Daily Risk Control Index

Overview

The S&P 500® Futures Volatility Plus Daily Risk Control Index (current Bloomberg symbol: “SPXFVPRE Index”), which we also refer to in this index supplement as the “index,” is designed to provide leveraged exposure to the S&P 500® Futures Excess Return Index based on a dynamic volatility target, subject to a minimum exposure of 100% and a maximum exposure of 200%. The S&P 500® Futures Excess Return 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 February 4, 1998, 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-volatility-plus-daily-risk-control-index. We are not incorporating by reference the website or any material it includes in this index supplement.

Your investment in securities linked to the index involves certain risks. See “Selected Risk Factors” on page S-7 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

May 2025 S&P 500® Futures Volatility Plus Daily Risk Control Index Supplement dated May 23, 2025.

Comparative Performance Data

Index Performance Compared to the S&P 500® Futures Excess Return Index and its Parent Index

For comparative purposes, the graph below shows the performance, from January 2, 2020 through May 1, 2025, of the S&P 500® Futures Volatility Plus Daily Risk Control Index (in dark blue), the S&P 500® Futures Excess Return Index (in black) and the S&P 500® Index (in light blue).

For comparative purposes, each of the S&P 500® Futures Volatility Plus Daily Risk Control Index, 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 2, 2020 by dividing the applicable closing level on each day by that index’s closing level on January 2, 2020 and multiplying the quotient by 100.00.

Since the S&P 500® Futures Volatility Plus Daily Risk Control Index was launched on April 25, 2022 and has a limited operating history, the graph includes hypothetical performance data for the S&P 500® Futures Volatility Plus Daily Risk Control Index prior to its launch of April 25, 2022. The hypothetical performance data for the S&P 500® Futures Volatility Plus Daily Risk Control Index prior to April 25, 2022 used to create this graph was obtained from the index sponsor’s website, without independent verification. The daily historical closing levels of the S&P 500® Futures Volatility Plus Daily Risk Control Index from April 25, 2022 to May 1, 2025 used to create this graph were obtained from Bloomberg Financial Services, without independent verification. (In the graph, historical closing levels can be found to the right of the vertical solid line marker.) The daily historical closing levels of the S&P 500® Futures Excess Return Index and the S&P 500® Index from January 2, 2020 through May 1, 2025 used to create this graph were obtained from Bloomberg Financial Services, without independent verification. You should not take this graph, the hypothetical performance data or 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 Volatility Plus Daily Risk Control Index, or the correlation (if any) between the level of the S&P 500® Futures Volatility Plus Daily Risk Control Index and the levels of the S&P 500® Futures Excess Return Index or the S&P 500® Index.

Comparative Performance of the S&P 500® Futures Volatility Plus Daily Risk Control Index (SPXFVPRE) and the S&P 500® Futures Excess Return Index (SPXFP) and the S&P 500® Index (SPX)

Index Annualized Return Compared to the S&P 500® Futures Excess Return Index and its Parent Index

The following table provides a comparison of the annualized returns of the S&P 500® Futures Volatility Plus Daily Risk Control Index, the S&P 500® Futures Excess Return Index and the S&P 500® Index for the applicable period ended May 1, 2025 (using hypothetical performance data and historical closing levels, as described above). 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 hypothetical or historical annualized returns of the indices as an indication of the future performance of any index, including the S&P 500® Futures Volatility Plus Daily Risk Control Index.

Comparison of Annualized Returns of the S&P 500® Futures Volatility Plus Daily Risk Control Index, the S&P 500® Futures Excess Return Index and the S&P 500® Index

* Historical information begins April 25, 2022 (the index launch date). Hypothetical performance data, which was used for all data prior to April 25, 2022, was obtained from the index sponsor’s website, without independent verification.

Index Annualized Volatility Compared to the S&P 500® Futures Excess Return Index and its Parent Index

The following graph provides a comparison of the annualized volatility of the S&P 500® Futures Volatility Plus Daily Risk Control Index, the S&P 500® Futures Excess Return Index and the S&P 500® Index from January 2, 2020 through May 1, 2025 (using hypothetical performance data and historical closing levels, as described above). In the graph, historical annualized volatility can be found to the right of the vertical solid line marker. For each day, 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 a 60 business day look-back period. You should not take the hypothetical or historical annualized volatility of the indices as an indication of the future performance of any index, including the S&P 500® Futures Volatility Plus Daily Risk Control Index.

Comparison of Annualized Volatility of the S&P 500® Futures Volatility Plus Daily Risk Control Index (SPXFVPRE), the S&P 500® Futures Excess Return Index (SPXFP) and the S&P 500® Index (SPX)

Index Volatility Spread

The following graph shows the percentage difference in the annualized volatility of the index compared to the S&P 500® Futures Excess Return Index from January 2, 2020 through May 1, 2025 (using hypothetical performance data and historical closing levels, as described above). In the graph, historical annualized volatility can be found to the right of the vertical solid line marker. For each day, 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 a 60 business day look-back period. The index is intended to provide investors with leveraged exposure to the S&P 500® Futures Excess Return Index based on a dynamic volatility target. The dynamic volatility target is the applicable realized volatility of the S&P 500® Futures Excess Return Index plus 10%. However, because of how the leverage factor is calculated, there is a lag of two index calculation days between the measurement of realized volatility of the S&P 500® Futures Excess Return Index and the calculation of the leverage factor. Therefore, the index will not reflect the most current volatility of the S&P 500® Futures Excess Return Index and the realized volatility of the index will not always be exactly 10% higher than the realized volatility of the S&P 500® Futures Excess Return Index. You should not take the hypothetical or historical annualized volatility of the indices as an indication of the future performance of any index, including the S&P 500® Futures Volatility Plus Daily Risk Control Index.

Percentage Difference Between the Annualized Volatility of the S&P 500® Futures Volatility Plus Daily Risk Control Index and the S&P 500® Futures Excess Return Index

Index Exposure to the S&P 500® Futures Excess Return Index

The following graph displays the percentage of index exposure to the S&P 500® Futures Excess Return Index (in blue) and the performance the S&P 500® Futures Excess Return Index (in gray) during the period from January 2, 2020 through May 1, 2025 (using hypothetical performance data and historical closing levels, as described above). The S&P 500® Futures Excess Return Index has been adjusted to have a closing level of 100.00 on January 2, 2020 by dividing the applicable closing level on each day by such index’s closing level on January 2, 2020 and multiplying the quotient by 100.00. In the graph, historical data can be found to the right of the vertical solid line marker. The percentage of index exposure to the S&P 500® Futures Excess Return Index on May 1, 2025 is 129.64%. You should not take the hypothetical performance data or historical levels of the index as an indication of its future performance.

Percentage of Index Exposure to the S&P 500® Futures Excess Return Index