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Goldman Sachs Strategic Volatility Premium Fund
mutual fund
SVPBX
Payout Change
Pending
Price as of:
$10.02
+0.0
+0.0%
primary theme
U.S. Large-Cap Blend Equity
share class
SVPBX (Mutual Fund)
Goldman Sachs Strategic Volatility Premium Fund
Payout Change
Pending
Price as of:
$10.02
+0.0
+0.0%
primary theme
U.S. Large-Cap Blend Equity
share class
SVPBX (Mutual Fund)
Goldman Sachs Strategic Volatility Premium Fund
Payout Change
Pending
Price as of:
$10.02
+0.0
+0.0%
primary theme
U.S. Large-Cap Blend Equity
share class
Name
As of 12/03/2024Price
Aum/Mkt Cap
YIELD
Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.
Exp Ratio
Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.
Watchlist
Vitals
YTD Return
4.2%
1 yr return
5.7%
3 Yr Avg Return
1.6%
5 Yr Avg Return
N/A
Net Assets
$436 M
Holdings in Top 10
94.6%
52 WEEK LOW AND HIGH
$10.0
N/A
N/A
Expenses
OPERATING FEES
Expense Ratio 0.72%
SALES FEES
Front Load N/A
Deferred Load N/A
TRADING FEES
Turnover N/A
Redemption Fee N/A
Min Investment
Standard (Taxable)
$0
IRA
N/A
Fund Classification
Fund Type
Open End Mutual Fund
Name
As of 12/03/2024Price
Aum/Mkt Cap
YIELD
Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.
Exp Ratio
Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.
Watchlist
SVPBX - Profile
Distributions
- YTD Total Return 4.2%
- 3 Yr Annualized Total Return 1.6%
- 5 Yr Annualized Total Return N/A
- Capital Gain Distribution Frequency N/A
- Net Income Ratio -0.35%
- Dividend Yield 4.1%
- Dividend Distribution Frequency None
Fund Details
-
Legal NameGoldman Sachs Strategic Volatility Premium Fund
-
Fund Family NameGoldman Sachs Fund Complex
-
Inception DateMar 29, 2021
-
Shares OutstandingN/A
-
Share ClassP
-
CurrencyUSD
-
Domiciled CountryUS
-
ManagerFederico Gilly
Fund Description
The Fund seeks to achieve its investment objective through the implementation of a proprietary volatility overlay strategy (“Strategic Volatility Premium”). The Strategic Volatility Premium is a “factor” within the proprietary Strategic Factor Allocation process of the Goldman Sachs Investment Strategy Group (“Investment Strategy Group”). The Strategic Factor Allocation process was developed to provide exposure to “factors,” which the Investment Adviser believes to be systematic drivers of investment returns that offer the potential for greater and more consistent returns in different market environments. The Strategic Volatility Premium is generally derived from the Investment Strategy Group’s market views. The Investment Adviser determines in its sole discretion how to implement the Strategic Volatility Premium.The Strategic Volatility Premium seeks to enhance the returns of a fixed income allocation to U.S. Treasury securities with the implementation of an options-based overlay strategy whereby the Fund sells (writes) options on securities indices and/or various other reference securities, such as U.S. Treasury futures and futures contracts based on the Secured Overnight Financing Rate (“SOFR”). To limit the downside risk of these written options, the Fund may utilize long options on instruments corresponding to the instruments underlying the written options as well as take positions in these instruments directly or by acquiring other closely related securities such as futures on these instruments. These positions are intended to reduce the impacts on the Fund if the underlying instrument approaches or falls past the strike price of a written put option or if it increases past the strike price of a written call option.Under normal circumstances, the Fund will primarily invest in fixed and floating rate U.S. Treasury securities, futures and options. U.S. Treasury securities include U.S. Treasury notes, U.S. Treasury bills and U.S. Treasury floating rate bonds with remaining maturities between one and five years. The Fund may also use futures to gain exposure to U.S. Treasury securities. The options-based overlay strategy seeks to enhance the returns of the U.S. Treasury securities. The options-based overlay strategy is designed to provide the Fund with enhanced returns and additional income. The downside risk may be mitigated by long options positions to the extent of the difference between the strike prices of the purchased options and the strike prices of the written options, as well as hedging positions in the instruments underlying the written options or other closely related securities such as futures on these instruments.As the seller of options, the Fund will receive cash (the “premium”) from the purchaser. If the purchaser exercises an option, the Fund pays the purchaser the difference between the strike price of the option and the price of the underlier at the time of exercise in the case of a put option or the difference between the price of the underlier at the time of exercise and the strike price of the option in the case of a call option. The premium, the exercise price and the market price of the underlier determine the gain or loss realized by the Fund as the seller of options. As the buyer of options, the Fund will pay the “premium” to the seller. If the Fund exercises a put option, the seller will pay the Fund the difference between the strike price of the option and the price of the underlier at the time of exercise. If the Fund exercises a call option, the seller will pay the Fund the difference between the price of the underlier at the time of exercise and the strike price of the option. The premium, the exercise price and the market price of the underlier determine the gain or loss realized by the Fund as the buyer of options.During periods in which the expected volatility of the markets for the instruments underlying the options exceeds subsequent realized volatility, a portfolio of U.S. Treasury securities with an options-based overlay strategy may outperform the same portfolio without such an options overlay strategy. However, a portfolio with an options-based overlay strategy may underperform the same portfolio without these options, for example, if realized volatility in the underlying markets exceeds expected volatility.In addition to the Strategic Volatility Premium, the Fund may use futures contracts, primarily futures on indexes, options on indexes and options on futures to more effectively gain targeted exposure to the volatility premium, to equitize cash and to hedge the Fund’s portfolio if it is unable to purchase or write the necessary options for its overlay strategy. Derivative positions may be listed or over-the-counter (“OTC”) and may or may not be centrally cleared.The Fund’s benchmark index is the Bloomberg 1-5 Year U.S. Treasury Index.
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SVPBX - Performance
Return Ranking - Trailing
| Period | SVPBX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 4.2% | 6.3% | 46.9% | 100.00% |
| 1 Yr | 5.7% | 8.6% | 56.2% | 99.92% |
| 3 Yr | 1.6%* | -10.2% | 18.5% | 99.17% |
| 5 Yr | N/A* | -7.7% | 111.2% | N/A |
| 10 Yr | N/A* | -0.2% | 52.6% | N/A |
* Annualized
Return Ranking - Calendar
| Period | SVPBX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | 0.9% | -42.6% | 47.4% | 96.88% |
| 2022 | -5.1% | -56.3% | -4.2% | 0.50% |
| 2021 | N/A | -27.2% | 537.8% | N/A |
| 2020 | N/A | -22.5% | 2181.7% | N/A |
| 2019 | N/A | -13.5% | 40.4% | N/A |
Total Return Ranking - Trailing
| Period | SVPBX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 4.2% | 6.3% | 46.9% | 100.00% |
| 1 Yr | 5.7% | 8.6% | 56.2% | 99.92% |
| 3 Yr | 1.6%* | -10.2% | 18.5% | 99.17% |
| 5 Yr | N/A* | -7.7% | 111.2% | N/A |
| 10 Yr | N/A* | -0.2% | 52.6% | N/A |
* Annualized
Total Return Ranking - Calendar
| Period | SVPBX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | 5.3% | -5.0% | 47.4% | 98.77% |
| 2022 | -4.4% | -36.8% | -2.2% | 0.83% |
| 2021 | N/A | 3.0% | 537.8% | N/A |
| 2020 | N/A | -15.8% | 2266.0% | N/A |
| 2019 | N/A | -0.4% | 241.3% | N/A |
NAV & Total Return History
SVPBX - Holdings
Concentration Analysis
| SVPBX | Category Low | Category High | SVPBX % Rank | |
|---|---|---|---|---|
| Net Assets | 436 M | 2.34 M | 1.55 T | 70.16% |
| Number of Holdings | 86 | 2 | 3963 | 57.40% |
| Net Assets in Top 10 | 421 M | 880 K | 525 B | 53.72% |
| Weighting of Top 10 | 94.64% | 0.3% | 111.6% | 1.97% |
Top 10 Holdings
- Goldman Sachs Financial Square Funds - Treasury Instruments Fund 29.72%
- U.S. Treasury Bills 16.72%
- U.S. Treasury Bills 11.16%
- U.S. Treasury Bills 6.74%
- U.S. Treasury Bills 5.59%
- U.S. Treasury Bills 5.57%
- U.S. Treasury Bills 5.57%
- U.S. Treasury Bills 5.52%
- U.S. Treasury Bills 4.42%
- U.S. Treasury Bills 3.63%
Asset Allocation
| Weighting | Return Low | Return High | SVPBX % Rank | |
|---|---|---|---|---|
| Cash | 69.32% | 0.00% | 99.07% | 0.25% |
| Stocks | 30.86% | 0.00% | 105.79% | 98.36% |
| Preferred Stocks | 0.00% | 0.00% | 2.03% | 91.66% |
| Convertible Bonds | 0.00% | 0.00% | 5.54% | N/A |
| Bonds | 0.00% | 0.00% | 93.85% | 90.84% |
| Other | -0.18% | -13.91% | 100.00% | 99.18% |
Stock Sector Breakdown
| Weighting | Return Low | Return High | SVPBX % Rank | |
|---|---|---|---|---|
| Utilities | 0.00% | 0.00% | 20.91% | N/A |
| Technology | 0.00% | 0.00% | 48.94% | N/A |
| Real Estate | 0.00% | 0.00% | 31.91% | N/A |
| Industrials | 0.00% | 0.00% | 29.90% | N/A |
| Healthcare | 0.00% | 0.00% | 52.29% | N/A |
| Financial Services | 0.00% | 0.00% | 55.59% | N/A |
| Energy | 0.00% | 0.00% | 41.64% | N/A |
| Communication Services | 0.00% | 0.00% | 27.94% | N/A |
| Consumer Defense | 0.00% | 0.00% | 47.71% | N/A |
| Consumer Cyclical | 0.00% | 0.00% | 30.33% | N/A |
| Basic Materials | 0.00% | 0.00% | 25.70% | N/A |
Stock Geographic Breakdown
| Weighting | Return Low | Return High | SVPBX % Rank | |
|---|---|---|---|---|
| US | 30.86% | 0.00% | 105.79% | 98.36% |
| Non US | 0.00% | 0.00% | 63.83% | 92.07% |
SVPBX - Expenses
Operational Fees
| SVPBX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Expense Ratio | 0.72% | 0.01% | 19.75% | 56.71% |
| Management Fee | 0.50% | 0.00% | 1.90% | 49.71% |
| 12b-1 Fee | N/A | 0.00% | 1.00% | N/A |
| Administrative Fee | N/A | 0.00% | 0.85% | N/A |
Sales Fees
| SVPBX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Front Load | N/A | 1.00% | 5.75% | N/A |
| Deferred Load | N/A | 1.00% | 5.00% | N/A |
Trading Fees
| SVPBX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Max Redemption Fee | N/A | 0.25% | 2.00% | N/A |
Related Fees
Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.
| SVPBX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Turnover | N/A | 0.00% | 268.00% | N/A |
SVPBX - Distributions
Dividend Yield Analysis
| SVPBX | Category Low | Category High | SVPBX % Rank | |
|---|---|---|---|---|
| Dividend Yield | 4.14% | 0.00% | 25.47% | 21.64% |
Dividend Distribution Analysis
| SVPBX | Category Low | Category High | Category Mod | |
|---|---|---|---|---|
| Dividend Distribution Frequency | None | Annual | Quarterly | Quarterly |
Net Income Ratio Analysis
| SVPBX | Category Low | Category High | SVPBX % Rank | |
|---|---|---|---|---|
| Net Income Ratio | -0.35% | -54.00% | 2.44% | 92.40% |
Capital Gain Distribution Analysis
| SVPBX | Category Low | Category High | Capital Mode | |
|---|---|---|---|---|
| Capital Gain Distribution Frequency | Annually | Annually | Annually |
Distributions History
| Date | Amount | Type |
|---|---|---|
| Dec 20, 2023 | $0.414 | OrdinaryDividend |
| Dec 20, 2022 | $0.073 | OrdinaryDividend |
| Dec 14, 2021 | $0.012 | CapitalGainShortTerm |
| Dec 14, 2021 | $0.026 | CapitalGainLongTerm |
SVPBX - Fund Manager Analysis
Managers
Federico Gilly
Start Date
Tenure
Tenure Rank
Mar 30, 2021
1.17
1.2%
Mr. Gilly is co-head of research, portfolio management and portfolio construction for the Alternative Investment Strategies (AIS) team within GSAM’s QIS platform. Mr. Gilly joined Goldman Sachs in 2000.
Patrick Hartnett
Start Date
Tenure
Tenure Rank
Mar 30, 2021
1.17
1.2%
James Park
Start Date
Tenure
Tenure Rank
Mar 30, 2021
1.17
1.2%
James Park joined Goldman Sachs Asset Management as a member of the QIS Team in 2004. He is a senior member of the QIS research and portfolio management team.
Tenure Analysis
| Category Low | Category High | Category Average | Category Mode |
|---|---|---|---|
| 0.04 | 39.02 | 7.25 | 2.42 |
