高盛 信息技术-标普IT板块评级 Portfolio Hedging Toolkit (Jul-2025) Hedging Tech-20250717

17July2025|2:31PMIST

PortfolioHedgingToolkit(Jul-2025)HedgingTech

S&P500hasralliedby26%sinceApril-lowsprimarilydrivenbyTech(XLK+44%)stocks.Asweentertheearningsseason,protectingtherecentgainsintechnologystockshasbecomeapriorityforinvestorsworriedaboutelevatedvaluationsand

potentialcrowding.TheaverageTechstockinS&P500isimplyingan

earnings-day-moveof4.7%,thelowestintwodecadessuggestingacomplacent

setupandlowerprobabilityforreliefrallies.OuranalysisofGSvsConsensus

aggregateEBITDAestimatesofthecoveredstocksinXLKindicatethatouranalystsseemarginaldownsidetoconsensusestimatesforthecurrentandnext4quarters.With50%ofstocksbyweightinXLKreportinginthenexttwoweeks,we

recommendhedgingtechexposurewithXLKputsorbuyingputsonstockswithhighearningsrevisionrisk.Therecentrallyintechstocksandrelativelylowimpliedvolatilityoffersacompellingcaseforinvestorstoownhedges.We

recommendowningputsonsinglestockswhereouranalystsareSell-ratedand

expectdownwardearningsrevisions.Wehighlight:GRPN,CNK,ETSY,SMCI,andEBAYasputbuyingcandidates.

TacticalHedgesforthematicrisks

nMarketRisk:Withmarketsclosetotheirall-timehighs,weidentifypotentialhedgesforinvestorstoprotecttheirequitygains.

nTechdrawdownRisk:TechstockshaveralliedsignificantlysinceAprillows,andwehighlightattractiveoptionstohedgedrawdownrisks.

nRatesRisk:Interestrateoptionspricesarelowvshistory,andwehighlightattractiveoptionstohedgeratesrisk.

TechStock&ETFputbuyingcandidatestohedgemomentum&earningsrevisionrisks

Withinvestorsincreasinglyconcernedaroundtherecentmomentumunwind,wesuggestinvestorstohedgetheirtechexposure.Overthepastyear,Techstocks(XLK)haveshowna92%correlationwiththemomentumfactor(MTUM).For

investorsconcernedaboutmomentum&earningsrevisionrisks,werecommendhedgingtechexposurewithXLKputsorbuyingputsonstockswithhighearnings

ArunPrakash,CFA

+1(212)934-6218|arun.prakash@GoldmanSachsIndiaSPL

JohnMarshall

+1(212)902-6848|

john.marshall@

GoldmanSachs&Co.LLC

RohithMedarametla

+1(212)934-5334|

rohith.medarametla@

GoldmanSachsIndiaSPL

ChandruRavikumar

+1(212)934-7681|

chandru.ravikumar@

GoldmanSachsIndiaSPL

VaasuGupta

+1(332)245-7522|

vaasu.x.gupta@

GoldmanSachsIndiaSPL

GoldmanSachsdoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,

investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofthis

report.Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.ForRegACcertificationandotherimportantdisclosures,seetheDisclosureAppendix,orgoto

/research/hedge.html.Analystsemployedbynon-USaf

filiatesarenotregistered/qualifiedasresearchanalystswithFINRAintheU.S.ThisreportisintendedfordistributiontoGSinstitutionalclientsonly.

GoldmanSachsPortfolioHedgingToolkit(Jul-2025)

17July20252

revisionrisk.XLK3mputswouldcapturetheupcomingTechearningsreleases,FOMCmeetings7/30&9/17),policyannouncementsandmultipledatareleases.Putbuyersrisklosingtheirpremiumpaidifsharescloseabovethestrikepriceatexpiration.

17July20253

Hedgeinfocus:HedgingTechExposure

S&P500hasralliedby26%sinceApril-lowsprimarilydrivenbyTech(XLK+44%)stocks.Asweentertheearningsseason,protectingtherecentgainsintechnologystockshasbecomeapriorityforinvestorsworriedaboutelevatedvaluationsandpotential

crowding.TheaverageTechstockinS&P500isimplyinganearnings-day-moveof4.7%,thelowestintwodecadessuggestingacomplacentsetupandlowerprobabilityfor

reliefrallies.OuranalysisofGSvsConsensusaggregateEBITDAestimatesofthe

coveredstocksinXLKindicatethatouranalystsseemarginaldownsidetoconsensus

estimatesforthecurrentandnext4quarters.With50%ofstocksbyweightinXLK

reportinginthenexttwoweeks,werecommendhedgingtechexposurewithXLKputsorbuyingputsonstockswithhighearningsrevisionrisk.Therecentrallyintechstocksandrelativelylowimpliedvolatilityoffersacompellingcaseforinvestorstoownhedges.WerecommendowningputsonsinglestockswhereouranalystsareSell-ratedand

expectdownwardearningsrevisions.

Exhibit1:TheaverageTechstockisimplyinganearnings-day-moveof4.7%,thelowestintwodecades

Earningsdaymove(+/-%)

18

16

14

12

10

8

6

4

2

0

S&P500averageTechstockimpliedandrealizedearningsdaymovessince2006

ImpliedMoves

RealizedMoves

4.7

2006Q1

2006Q2

2006Q3

2006Q4

2007Q1

2007Q2

2007Q3

2007Q4

2008Q1

2008Q2

2008Q3

2008Q4

2009Q1

2009Q2

2009Q3

2009Q4

2010Q1

2010Q2

2010Q3

2010Q4

2011Q1

2011Q2

2011Q3

2011Q4

2012Q1

2012Q2

2012Q3

2012Q4

2013Q1

2013Q2

2013Q3

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

2015Q1

2015Q2

2015Q3

2015Q4

2016Q1

2016Q2

2016Q3

2016Q4

2017Q1

2017Q2

2017Q3

2017Q4

2018Q1

2018Q2

2018Q3

2018Q4

2019Q1

2019Q2

2019Q3

2019Q4

2020Q1

2020Q2

2020Q3

2020Q4

2021Q1

2021Q2

2021Q3

2021Q4

2022Q1

2022Q2

2022Q3

2022Q4

2023Q1

2023Q2

2023Q3

2023Q4

2024Q1

2024Q2

2024Q3

2024Q4

2025Q1

2025Q2

2025Q3

Source:Bloomberg,GoldmanSachsFICCandEquities

XLKputsareattractive

XLKthree-monthimpliedvolatilityisbelowitsaverageleveloverthepastyearandis

belowtherecentrealized,despiteupcomingearningsandrecentrally.XLKthree-monthnormalizedskewisatitsaverageleveloverthepastyear,indicatingthatinvestorsareneutrallypositionedonTechaheadofearnings.Lowimpliedmoves(+/-4.7%movefortheaverageTechstock)andaverageskewlevelssuggestacomplacentsetupandlowerprobabilityforreliefrallies.

GoldmanSachsPortfolioHedgingToolkit(Jul-2025)

17July20254

Exhibit3:XLKhedgingcostsarecloseto1-yearlow

Costof3m5%OTMXLKputs(%ofspot)

Exhibit2:TechimpliedvolatilityisatbelowaveragelevelsvsS&P500

RatioofS&PTechsector(XLK)3m50-deltacallimpliedvolatilitytotheS&P500(SPX)impliedvolatility

1.9

RatioofXLK/SPX3mimpliedvol

1.8

1.7

1.6

1.5

1.4

1.3

1.2

7%

6%

5%

4%

3%

2%

1%

3m5%OTMXLKputcost(%)

XLK/SPX3mimpliedvolatility

Jul-24Oct-24Jan-25Apr-25Jul-25

Jul-24Oct-24Jan-25Apr-25Jul-25

Source:GoldmanSachsFICCandEquitiesSource:GoldmanSachsFICCandEquities

TradeRecommendation:BuyS&PTechnology(XLK)3-month5%OTMputs

Withinvestorsincreasinglyconcernedaroundtherecentmomentumunwind,we

suggestinvestorstohedgetheirtechexposure.Overthepastyear,Techstocks(XLK)haveshowna92%correlationwiththemomentumfactor(MTUM).Forinvestors

concernedaboutmomentum&earningsrevisionrisks,werecommendhedgingtechexposurewithXLKputsorbuyingputsonstockswithhighearningsrevisionrisk.XLK3mputswouldcapturetheupcomingTechearningsreleases,FOMCmeetings7/30&9/17),policyannouncementsandmultipledatareleases.Putbuyersrisklosingtheir

premiumpaidifsharescloseabovethestrikepriceatexpiration.

GoldmanSachsPortfolioHedgingToolkit(Jul-2025)

17July20255

Exhibit4:XLKhedgestrategypayoff

Techstocks(XLK)hedgedwith3m95%OTMXLKput

25%

20%

ExpirationPayoff(%)

15%

10%

5%

0%

-5%

-10%

-15%

-20%

-25%

LongXLK

BuyXLKputs

LongXLK+BuyXLKputs

-25%-20%-15%-10%-5%0%5%10%15%20%25%

XLKreturnatexpiry(%)

XLKreturnatexpiration

-25%-20%-15%-10%-5%0%5%10%15%20%25%

XLKputs

XLK+Hedge

17.7%

(7.3%)

12.7%

(7.3%)

7.7%

(7.3%)

2.7%

(7.3%)

(2.3%)

(7.3%)

(2.3%)

(2.3%)

(2.3%)

2.7%

(2.3%)

7.7%

(2.3%)

12.7%

(2.3%)

17.7%

(2.3%)

22.7%

Source:GoldmanSachsGlobalInvestmentResearch,OptionMetrics

HedgingopportunitiesinTechstocksaheadofearnings

WescreenforputbuyingcandidatesbasedonthoseTMTstockswhereouranalystsareSell-ratedandhaveGSestimatesbelowconsensusforthecurrentandnext4quarters.Forinvestorslookingforsinglestockideasacrosssectorswhereourequityanalysts

haveout-of-consensusviewsonestimaterevisions,pleaseseeTop25TacticalTradesforEarnings,publishedlastweek.

Exhibit5:GRPN,CNK&ETSYscreenasattractivehedgingopportunitiesheadingintoearnings

PutbuyingcandidatesbasedonGSvsConsensusestimatesforthecurrentandnext4quarters

Chgin

consensus

vs

GSvsConsensus

StockMove

EarningsEstimates

Implied8Qavg

GS

Rating

Next4

Q's

2months

ago

Earnings

date(e)

Current

Q

Movemove

CompanyTickerSector

%%

GrouponInc.GRPNTMT30-JulS(16%)(7%)19%14.626.9

Options:(buyputs)

Termstrike

cost

10.4%

August

32.00

CinemarkHoldings

CNK

TMT

1-Aug

S

NM

(5%)

(1%)

4.4

3.7

August

29.00

3.3%

EtsyInc.

SuperMicro

ETSY

TMT

31-Jul

S

(1%)

(3%)

0%

9.5

7.9

August

55.00

5.8%

SMCI

TMT

6-Aug

S

(2%)

(2%)

(0%)

10.6

12.0

August

50.00

5.6%

eBayInc.

Average

EBAY

TMT

31-Jul

S

(2%)

(1%)

(4%)

(0%)

5.2

5.0

August

75.00

2.7%

5.6%

(4%)

4%

8.9

11.1

Source:GoldmanSachsGroupInc.,GoldmanSachsGlobalInvestmentResearch,Bloomberg

17July20256

TacticalHedgesforMacro/Factorrisks

Tacticalhedgeselectioninvolvesacarefulconsiderationofthesensitivityof

assetstothefactortobehedgedandthecostofhedgingwiththatasset.Inour

view,themajorriskscurrentlyfacinginvestorsarerelatedtopotentialmarketrisks,techstocksdrawdown,andrates.Weuseourhedgingframeworktoidentifyoptimalhedgesforthesemajormarketrisks.Ineachcase,wecalculatethebetaofeachassettothe

riskfactoroverthepast3yearstoidentifythestocks,ETFsorIndexesthathavethelowestoptionspricesinthecontextofitsspecificfactorbeta.Thismethodfocusesontheday-to-daysensitivityoftheassettotheriskfactorratherthanoptimizingon

particularperiodsthroughhistorywhichmayormaynotbecomparable.

Exhibit6:Hedgingcostsummary

Costofa3-monthput,3-monthimpliedandrealizedvolatility,

Costof3m3monvolatilityYTDAttractivehedge

Majorindexes5%OTMputimpliedrealizedReturnUSMktTechRates

DJIA

S&P500

Nasdaq100

Russell2000

DIASPY

QQQ

IWM

1.3%

1.5%

1.9%

2.4%

14

15

18

22

16

16

18

19

3.4%

6.2%

8.9%

-1.0%

USSectors

ConsStaplesUtilities

HealthCare

XLP

XLU

XLV

1.0%

1.3%

1.4%

12

15

16

13

15

19

1.9%

8.3%

-3.6%

Materials

Industrials

Financials

XLB

XLI

XLF

1.6%

1.4%

1.8%

17

15

17

16

15

16

5.9%

13.8%

6.9%

Technology

ConsDiscr.Retail

XLK

XLY

XRT

2.2%

2.2%

2.6%

20

20

23

21

22

23

10.9%

-2.4%

-0.7%

EnergyBanks

EnergyE&P

GoldMiners

XLE

KBE

XOP

GDX

2.3%

2.7%

3.2%

3.6%

21

24

27

32

21

23

27

37

1.4%

2.6%

-2.7%

52.2%

InternationalETFs

UnitedKingdom

EmergingMktsEMEA

Japan

EWU

EEM

EFA

EWJ

1.1%

1.1%

1.3%

1.9%

13

15

14

18

13

13

12

16

16.8%

16.4%

16.4%

6.8%

JapanFXHedgedEurope

Taiwan

China

DXJ

FEZ

EWTFXI

2.2%

1.8%

2.4%

2.5%

20

18

22

25

19

15

24

20

3.9%

23.1%

12.6%

23.7%

Commodities

Gold

GLD

0.9%

15

23

26.7%

Oil

USO

3.9%

31

37

-0.4%

BondsandRelated

2%OTMput

Treasuries7-10y

HighYieldBondsIGBonds

Treasuries20+y

IEF

HYG

LQD

TLT

0.4%

0.6%

1.0%

2.1%

7

5

8

15

7

5

7

13

1.6%

1.5%

0.8%

-2.7%

Dataasof15-Julclose

Source:GoldmanSachsGlobalInvestmentResearch,Bloomberg

Methodology:Weestimatethebetaofeachstock,ETFandIndextothefactorusingweeklyobservationsoverthepast3years.Weconsideronlyassetswithliquidoptionsandaminimumcorrelationtothefactortoincreasetradabilityandrelevance.We

17July20257

identifytheleastexpensiveoptionsrelativetotheirsensitivity(beta)andinsomecases,directlytradingoptionsonthefactoritselfmaypresentthemostattractivehedging

opportunity.Thegoalistoidentifyattractiveoptionalityforhedging;however,

investorsbullishonafactorwillalsofindcallsattractiveforupsideexposure.Thismethodassumesthehistoricalrelationshipisausefulguidetotheforwardrelationshipandmayunderperformifthereisasignificantchangeinthatrelationship.Callbuyers

risklosingpremiumpaidifthestockclosesbelowstrikepriceonexpiration.Putbuyersrisklosingtheirpremiumpaidifsharescloseabovethestrikepriceatexpiration.

1)ThematicRisk:USMarketrisk(S&P500)

WithS&P500atall-timehighs,weseeincreasedinvestorinterestinidentifyingthe

idealportfoliohedgetoprotecttheirequitygains.Below,weestimatetherelationshipbetweenthebetaandimpliedvolatilityforS&P500anddeterminewhichstocks/ETFshavetheleastexpensiveoptionsrelativetotheirsensitivitytotheS&P500.Whilea

sharpmarketdeclineisnotourbasecasescenario,webelieveput-buyingstrategiesinthesestocks/ETFswhichhavehighbetaandcorrelationtomarketarelikelyto

outperformotherhedgesifthemarketpullsback.

Exhibit7:OptimalhedgesforUSMarketrisk

BetatoSPXusingweeklyreturnsover3years;rankedbytheregressionimpliedupsidetoimpliedvolatility

USMARKETRISK3monthvolatility

Impliedvol

upsidetovol

Putcost:10%OTM

Company

Ticker

BetatoS&P500

TROW

T.RowePriceGroup

1.4

23

7

1.5%

MCO

Moody'sCorporation

1.3

23

6

1.3%

BLK

BlackRock,Inc.

1.3

22

6

1.3%

SPGI

S&PGlobal,Inc.

1.1

20

5

1.1%

TEL

TEConnectivityLtd.

1.3

23

5

1.5%

BX

BlackstoneInc.

1.7

31

4

2.5%

STT

StateStreetCorporation

1.2

23

4

1.6%

NVDA

NVIDIACorporation

2.1

39

4

3.6%

ADSK

Autodesk,Inc.

1.5

27

4

1.8%

MSFT

MicrosoftCorporation

ExchangeTradedFund(ETF)

1.1

21

3

1.2%

5%OTM

IVW

QQQ

XLK

iSharesS&P500GrowthETFInvescoQQQTrust

TechnologySelectSectorSPD

1.2

1.2

1.4

16

18

20

5

3

3

1.6%

1.9%

2.2%

(%)

60

55

3monthimpliedvolatility

50

45

40

35

30

25

20

15

10

y=18.20x+4.18R²=0.74

0.00.51.01.52.02.5

BetatoS&P500

Stocks/ETFswithattractiveoptionsrelativetotheirsensitivityandcorrelationtoUSMarketRisk.Dataasof15-Julclose.

Source:GoldmanSachsGlobalInvestmentResearch,Bloomberg

2)ThematicRisk:Techdrawdownrisk

TechstockshaveralliedsharplysinceAprillows(XLK+44%)andwehavefielded

questionsfrominvestorsonidentifyingattractivehedgestoprotecttheirgains.We

focusonthenameswiththelowestbetaadjustedimpliedvolatilitytoidentifythemostattractiveequityoptionstohedgethisrisk.Forhedgingthetechdrawdownrisk,werankUSlistedhedgingalternativestoXLKbasedontheirsensitivitytothefactorandcurrentcostintheoptionsmarkettoidentifyoptimalhedgesbelow.

17July20258

Exhibit8:OptimalhedgesforTechdrawdownrisk

BetatoXLKusingweeklyreturnsover3years;rankedbytheregressionimpliedupsidetoimpliedvolatility

TECHDRAWDOWNRISK3monthvolatility

Impliedvol

upsidetovol

BetatoXLK

Company

Ticker

Putcost:10%OTM

NVDA

NVIDIACorporation

1.7

39

11

3.6%

MSFT

MicrosoftCorporation

0.8

21

8

1.2%

LRCX

LamResearchCorporation

1.4

36

7

3.1%

AMAT

AppliedMaterials,Inc.

1.3

34

6

2.7%

TEL

TEConnectivityLtd.

0.8

23

5

1.5%

ADSK

Autodesk,Inc.

0.9

27

4

1.8%

SPGI

S&PGlobal,Inc.

0.6

20

4

1.1%

KLAC

KLACorporation

1.2

35

4

2.9%

AMZN

A,Inc.

1.0

29

3

2.0%

AAPL

AppleInc.

ExchangeTradedFund(ETF)

0.8

26

3

1.8%

5%OTM

IVW

SPY

IVE

iSharesS&P500GrowthETFSPDRS&P500ETFTrust

iSharesS&P500ValueETF

0.8

0.6

0.4

16

15

13

6

5

4

1.6%

1.5%

1.3%

(%)

60

55

3monthimpliedvolatility

50

45

40

35

30

25

20

15

10

y=23.91x+8.96R²=0.66

0.00.51.01.52.0

BetatoXLK

Stocks/ETFswithattractiveoptionsrelativetotheirsensitivityandcorrelationtoTechstocks.Dataasof15-Julclose.

Source:GoldmanSachsGlobalInvestmentResearch,Bloomberg

3)ThematicRisk:Ratesrisk

Oureconomists’revisedFedbaseline—whichimpliesearliercutstoalowerterminal

rate—sitsonthedovishsideofmarketpricingandisconsistentwithamodestlyricherrangeforUSyields.Ourratesstrategistsbelievetherisksassociatedwiththe

perceptionofdiminishedcentralbankindependence,afiscaltrajectorythatremainsa

sourceofaccumulatingpressure,andimpulsesfromEuropeandJapanthatshouldpushtowardshigheryieldsarealllimitingfactorstolong-endricheningintheabsenceofa

strongercyclicalpush.WefocusonthestocksandETFswiththegreatestbetaand

correlationtoTreasuriesoverthepastthreeyears.Eachofthehighlighthedging

opportunitieshaveagreaterthan0.7betato10yearTreasuriesandagreaterthan35%correlation.

Exhibit9:OptimalhedgesforRatesrisk

BetatoUS10Yratesusingweeklyreturnsover3years;rankedbytheregressionimpliedupsidetoimpliedvolatility

10YUSTREASURYRISK3monthvolatility

3monthimpliedvolatility(%)

40

35

30

25

20

15

Impliedvol

upsidetovol

BetatoIEF

Company

Ticker

Putcost:5%OTM

AMT

AmericanTowerCorporation

2.0

22

11

2.4%

SBAC

SBACommunicationsCorp.Cl

1.7

24

6

2.7%

CCI

CrownCastleInc.

1.7

24

6

2.9%

AWK

AmericanWaterWorksCompa

1.4

21

5

2.1%

MCO

Moody'sCorporation

1.4

23

3

2.4%

VTR

Ventas,Inc.

1.3

21

3

2.3%

SPGI

S&PGlobal,Inc.

1.2

20

3

2.0%

DUK

DukeEnergyCorporation

1.0

18

3

1.7%

PSA

PublicStorage

1.4

23

2

2.6%

WEC

WECEnergyGroupInc

ExchangeTradedFund(ETF)

1.0

17

2

1.8%

2%OTM

LQD

TLT

HYG

iSharesiBoxx$InvestmentGraiShares20+YearTreasuryBoniSharesiBoxx$HighYieldCor

1.0

1.8

0.5

8

15

5

3

2

2

1.0%

2.1%

0.6%

y=14.22x+5.76R²=0.64

0.00.51.01.52.02.5

BetatoIEF

Stocks/ETFswithattractiveoptionsrelativetotheirsensitivityandcorrelationtoUSratesrisk.Dataasof15-Julclose.

Source:GoldmanSachsGlobalInvestmentResearch,Bloomberg

17July20259

Systematichedginginformedbyour27yearstudy

Inour27-yearassetallocationstudy,wecalculatedthereturnsandvolatilitydatafor20+differenthedgedequitystrategiesbasedonowningtheS&P500and

systematicallyhedgingwithSPXoptions.Whileeveryhedgingstrategylikelong

puts,putspreadsandputspreadcollarshavetheiradvantagesanddisadvantages,

thesesystematicstrategiesprovideastartingpointforinvestorstodesigntheirown

systematichedgingprograms.Thereturnandvolatilitycharacteristicsofthesestrategieswerebetweenequitiesandbonds(Exhibit10).Manyofthestrategiesstudiedoffer

superiorriskadjustedreturnstotheS&P500andfacedsmallerdrawdowns.Forfurtherdetails,pleaseseeNewModelsforAsymmetricInvesting:a27-yearAssetAllocationPerspectivepublishedonApril-10,2023.

Exhibit10:HedgedequitystrategieshavereturnsandvolatilitybetweenBondsandtheSPX

AnnualizedTotalReturnforHedgedSPXstrategies

Annualizedreturnsandvolatilityofmonthlyreturnsofvarioussystematichedgedequitystrategies1996-2023

SPX

TRIndex

HedgedS

PX

strategies

USCor

porateBon

ds

US

Treasuries

10.0%

9.0%

8.0%

7.0%

6.0%

5.0%

4.0%

3.0%

2.0%

1.0%

0.0%

0.0%2.0%4.0%6.0%8.0%10.0%12.0%14.0%16.0%18.0%20.0%

Annualizedvolatilityofmonthlyreturns

Source:GoldmanSachsGlobalInvestmentResearch,Bloomberg

Keytakeawaysbelow:

nWhilebothequities(S&P500)andbondshadnegativereturnsin2022,anequitypositionhedgedwith12-monthputspreadcollarshadapositivereturn.

nPutspreadcollarstrategieshadthehighestrisk-adjustedreturnsoverthepast27years,drivenbyoptionsellingperformance.

nPutspreadstrategiesperformedbetterthanlongputs(duetolowercost)butworsethanputspreadcollarsinrisk-adjustedreturn.

nLongputstrategieshadthelowestrisk-adjustedreturnsowingtothehighcostof5%OTMputs.

nShort-termoptionsandmorefrequentrollingstrategieshadthelowestriskadjusted

17July202510

returnsamongeachcategory(longputs,putspreadsandputspreadcollars).

nOnlytwohedgedequitystrategies(Longput1mexpiry1mrollandPutSpread1mexpiry1mroll)hadalowervolatilityadjustedreturnthanS&P500.

Exhibit11:ComparingSPXsystematichedgingstrategies

AnnualizedreturnandriskmetricsforlongSPXwithvarioushedges1996-2023

PutSpreadCollar_3m_3m_Mar

AnnualizedReturns

AnnualizedVolatility

Return/Volatility

Largestdownmonth

Largestupmonth

11%

7.6%

8.8%

0.86

-14%

PutSpreadCollar_3m_3m_Jan

6.7%

9.0%

0.74

-16%

15%

PutSpreadCollar_3m_1m

6.4%

9.1%

0.70

-17%

12%

PutSpreadCollar_6m_3m

6.5%

9.3%

0.70

-18%

11%

LongPut_12m_12m

7.1%

10.1%

0.70

-10%

13%

PutSpreadCollar_12m_12m

PutSpreadCollar_1m_1m

7.2%

10.7%

0.67

-19%

14%

10%

6.9%

10.5%

0.66

-14%

PutSpreadCollar_3m_3m_Feb

6.3%

9.8%

0.65

-17%

14%

PutSpread_12m_12m

8.6%

13.5%

0.64

-22%

15%

PutSpreadCollar_12m_6m

6.7%

10.6%

0.63

-19%

14%

PutSpreadCollar_12m_3m

6.6%

10.4%

0.63

-19%

13%

LongPut_12m_3m

LongPut_12m_6m

6.3%

10.1%

0.62

-13%

14%

8%

5.8%

9.4%

0.61

-10%

PutSpread_3m_3m

7.5%

13.0%

0.58

-17%

20%

PutSpread_12m_6m

7.7%

13.5%

0.57

-22%

15%

PutSpread_12m_3m

8.0%

14.2%

0.57

-24%

21%

PutSpread_6m_3m

7.4%

13.4%

0.55

-22%

21%

LongPut_6m_3mPutSpread_3m_1m

5.7%

10.5%

0.55

-12%

14%

20%

6.8%

13.2%

0.52

-19%

LongPut_3m_3m

6.0%

11.6%

0.52

-12%

15%

LongPut_3m_1m

5.5%

10.9%

0.51

-10%

14%

SPXTRIndex

9.2%

18.2%

0.51

-31%

25%

PutSpread_1m_1m

6.5%

13.7%

0.47

-16%

19%

LongPut_1m_1m

5.8%

13.1%

0.44

-10%

17%

Source:GoldmanSachsGlobalInvestmentResearch,Bloomberg

Hedgingstudymethodology:

LongPut=Buyingaputatastrikethatis5%out-of-the-moneyeachperiod.

PutSpread=Buyingaputatastrikethatis5%out-of-the-moneyeachperiodandsellinga20%out-of-the-moneyput.

PutSpreadCollar=Buyingaputatastrikethatis5%out-of-the-moneyeachmonth,sellinga20%out-of-the-moneyputandsellingacalltomakethestructurezeroupfrontcost.

Thefirstnumbercorrespondstothedurationofthehedgethatisbought;thesecondnumbercorrespondstohowfrequentlytheentirenotionalisrolled.

Example:PutSpreadCollar_6m_3misa6-monthputspreadthatisrolledevery3monthstonewstrikesandanewexpiration.

Recenthedgingperformanceupdate

WetracktheperformanceofowningS&P500andhedgingwithSPXoptions(puts,putspreadsandputspreadcollars)overthepast3months.Allhedgingstrategies

underperformedS&P500overthepast3monthsasmarketsralliedsharplyfromAprillows.

17July202511

Exhibit12:AllhedgingstrategiesunderperformedS&P500overthepast3months

3mtotalreturnofS&P5001mhe