Gs Am Factor Fidelity Webinar 112916

Dont Get Singled Out:
Learn About the Benefits of Multi-Factor Investing

Fidelity Investments
Goldman Sachs Asset Management

November 29, 2016
This material is provided for educational purposes only and should not be construed as investment advice or an offer or solicitation to buy or sell securities..
FOR USE BY FIDELITY CLIENTS ONLY - NOT FOR USE AND/OR DISTRIBUTION TO THE GENERAL PUBLIC
Table of Contents
1. ETF Fundamentals
2. Factor Investing
3. Multi-Factor Framework
GSAMs ETF Experience
$31 BILLION
in total smart beta assets

under supervision
Average sales and

distribution experience
18 YEARS
Years managing factorbased investments
Average investment
experience
ETF liquidity provider

(GS&Co.)
28 YEARS
19 YEARS 16 YEARS
http://www.GSAMFunds.com/ETFs
Please see additional disclosures at the end of this presentation.

Smart beta refers to quantitative index-based strategies. For more information, please see the disclosures at the end of this document.
What is an ETF?
An ETF (Exchange-Traded Fund) is a fund that generally tracks an index (such as the S&P 500 Index, Dow
Jones Industrial Average Index, etc.) and whose shares trade throughout the day on an exchange
ETFs have evolved to encompass a wide variety of exposures, from major indexes and regions, to countries,
sectors, fixed income, customized indices, etc.
The benefits of ETFs can be summarized through the Four Ts
trading ease
ETFs can be bought and

sold throughout the day,
providing trading flexibility.
transparency
tax efficiency
Portfolio holdings are

disclosed on a daily basis.
Low portfolio turnover can

help manage the impact of
capital gains taxes.
lower total cost
Reduced fund expenses

keep investor fees down.
Source: GSAM. For illustrative purposes only.

Goldman Sachs does not provide legal, tax or accounting advice to its clients. All investors are strongly urged to consult with their legal, tax, or accounting advisors regarding any potential
transactions or investments. There is no assurance that the tax status or treatment of a proposed transaction or investment will continue in the future. Tax treatment or status may be changed by
law or government action in the future or on a retroactive basis. Brokerage commissions will reduce returns. Standard brokerage commissions apply.
ETF Industry Growth

The US ETF Industry has grown rapidly to $2.4 Trillion as of Q3 2016, showing an
average growth rate of 19% since 2011
Evolution of ETFs (1993 September 2016)

AUM $ in billions
US Equity
2,500
Key Highlights
International Equity
1. It took 18 years to reach $1

Trillion in ETF Assets Under
Management (AUM), and only
another 4 years to reach $2
Trillion
Fixed Income
Other
2,000
Smart Beta
1,500
2. Product innovation, particularly

the rise of smart beta, is a
primary source of growth (now
22% of ETF AUM)
1,000
3. The popularity of smart beta

has taken off in recent years,
with an average growth rate
of 28.4% from 2011 to
Q3 2016
Source: GSAM, Bloomberg, Morningstar; Fixed Income includes Currency and Commodity ETFs
Q3 2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
1995
1994
1993
500
As of 9/30/2016
smart beta
factors
low cost
performance
indexes
blank slate
diversification
rules-based
algorithm
systematic
active
next generation
market-cap
retail
innovation
portfolio
Demystifying Smart Beta
outperform
passive
Exchange-traded funds
Source: GSAM. (2015, October)

Plain Talk About Smart Beta. Retrieved March 04, 2016, from https://assetmanagement.gs.com/content/gsam/us/en/advisors/market-insights/gsam-insights/2015/plain-talk-about-smart-beta.html.
In conjunction with a market research partner, GSAM conducted a three-week series of focus groups involving roughly 75 subjects in New York, Chicago and San Francisco. The goal was to
examine the views of affluent investors on subjects pertaining to exchange-traded funds, smart beta and related topics. See important disclosures at the end of this commentary. For illustrative
purposes only.
Traditional Investing
What is market capitalization weighted indexing?

1. A market cap weighted index is an index where the weights of the underlying stocks are proportional to their relative market
capitalization, i.e. their size (current value of exchange-listed shares of a company)
2. The S&P 500 Index, for example, is a market cap weighted index of the 500 largest stocks in the United States
3. Indexes like the S&P 500 are commonly used as a proxy for the US Market and a benchmark for other strategies because they
seek to track a market
How companies are weighted in a traditional index

Hypothetical Companies to be Indexed
Company
Index Weights of Hypothetical Companies
Market Cap ($ Billions)
40
30
20
10
Total
100
D
10%
C
20%
A
40%
B
30%
Source: GSAM. For Illustrative Purposes Only.
Smart Beta Defined
smart beta [smrt b-t] noun.

A transparent, rules-based investment strategy that aims to outperform and/or reduce
risk relative to a traditional market capitalization-weighted index by applying commonsense investment principles
Source: GSAM, Morningstar

For illustrative purposes only.
Smart Beta Over the Years

Well-established attributes of performance
good value
high quality
Stocks from companies that may be

undervalued by the rest of the market
and exposure to high potential stocks
others may have overlooked tend to
outperform the broader market
Value (Basu)
CAPM
(Treynor Sharpe, Lintner)
1952
Efficient Frontier
(Markowitz)
1962-1965
1972
1977
Stocks that demonstrate

sustainable profitability over
time tend to outperform the
broader market
1981
1992
1993
Size (Banz)
Low Volatility
(Black, Jensen, Scholes)
Quality (Novy-Marx)
Three Factor Model

(Fama and French)
2010
2013
Volatility (Clarke)
Momentum
(Jegadeesh-Titman)
low volatility
strong momentum
Stocks from companies that

are likely to avoid extreme
swings up and down in price
tend to outperform the
broader market
Stocks with prices that have

been growing and allow you
to participate in market trends
tend to outperform the
broader market
Please see the references section of the appendix for a list of academic studies. The Index is constructed using the patented ActiveBeta Portfolio Construction Methodology, which was
developed to provide exposure to the factors (or characteristics) that are commonly tied to a stocks outperformance relative to market returns. These factors include value (i.e., how attractively
a stock is priced relative to its fundamentals, such as book value and free cash flow), momentum (i.e., whether a companys share price is trending up or down), quality (i.e., profitability) and low
volatility (i.e., a relatively low degree of fluctuation in a companys share price over time).
good value
What is it?
value
Identifying stocks that are under- and over-valued by the market, that are
trading away from their intrinsic value.
How does it work?
Growth of $10,000: Illustrative Value Factor Returns relative to the MSCI USA TR, Dec 2010
Nov 2016
Value Factor Excess Return
MSCI USA
$25
$20
$15
$10
2010
Why does it work?
2011
2012
2013
2014
2015
Stocks from companies that may be undervalued by the rest of the market and
exposure to high potential stocks others may have overlooked tend to
historically outperform the broader market.
Source: GSAM, MSCI, Bloomberg as of November 16, 2016. The performance of the Value Factor is represented by the MSCI USA Value Weighted Index. Index data does not account for factors
such as fees, transaction costs, liquidity and other market factors. Had these factors been accounted for, actual performance would have been lower. GROWTH OF $10,000: A graphical
measurement of a portfolio's gross return that simulates the performance of an initial investment of $10,000 over the given time period. Index performance shown on this page is not related to
GSAM products. Past performance does not guarantee future results, which may vary.
strong momentum
What is it?
momentum
Identifying persistence in the direction of stock price movements (up and
down), with an expectation that the persistence will continue in the near term.
How does it work?
Growth of $10,000: Illustrative Momentum Factor Returns relative to the MSCI USA TR, Feb
2013 Nov 2016
Momentum Factor Excess Return
MSCI USA
$20
$15
$10
2013
Why does it work?
2014
2015
2016
Stocks with prices that have been growing and allow you
to participate in market trends tend to historically outperform the broader
market.
Source: GSAM, MSCI, Bloomberg as of November 16, 2016. The performance of the Value Factor is represented by the MSCI USA Momentum Index. Index data does not account for factors such
as fees, transaction costs, liquidity and other market factors. Had these factors been accounted for, actual performance would have been lower. GROWTH OF $10,000: A graphical measurement of
a portfolio's gross return that simulates the performance of an initial investment of $10,000 over the given time period. Index performance shown on this page is not related to GSAM products. Past
performance does not guarantee future results, which may vary.
10
high quality
What is it?
quality
Identifying profitable companies with attractive fundamentals such as
management credibility and balance sheet stability.
How does it work?
Growth of $10,000: Illustrative Quality Factor Returns relative to the MSCI USA TR, Dec 2012
Nov 2016
Quality Factor Excess Return
MSCI USA
$20
$15
$10
2012
Why does it work?
2013
2014
2015
Stocks that demonstrate sustainable profitability over time tend to historically

outperform the broader market.
Source: GSAM, MSCI, Bloomberg as of November 16, 2016. The performance of the Value Factor is represented by the MSCI USA Sector Neutral Quality Index. Index data does not account for
factors such as fees, transaction costs, liquidity and other market factors. Had these factors been accounted for, actual performance would have been lower. GROWTH OF $10,000: A graphical
11
low volatility
What is it?
low volatility
Identifying low-volatility stocks which produce higher risk-adjusted returns
than high-volatility stocks.
How does it work?
Growth of $10,000: Illustrative Low Volatility Factor Returns relative to the MSCI USA TR, May
2008 Nov 2016
Low Volatility Factor Excess Return
MSCI USA
$25
$20
$15
$10
$5
$0
2008
Why does it work?
2009
2010
2011
2012
2013
2014
2015
2016
Stocks from companies that are likely to avoid extreme swings up and down in
price tend to historically outperform the broader market.
Source: GSAM, MSCI, Bloomberg as of November 16, 2016. The performance of the Value Factor is represented by the MSCI USA Minimum Volatility Index. Index data does not account for
factors such as fees, transaction costs, liquidity and other market factors. Had these factors been accounted for, actual performance would have been lower. GROWTH OF $10,000: A graphical
12
How do these factor become stock portfolios?

Example: Typical value index (Based on Book-to-Price i.e. B/P)
Rank stocks in universe by B/P

Expensive Stocks
Cheap stocks
Low B/P
High B/P
Stock Universe
Source: GSAM
As of November 2016. For illustrative purposes only. Past performance does not guarantee future results, which may vary.
13
How to Potentially Improve on This Process
Start with the market cap weighted universe of securities
Score each security based on relative

strength of the factor (example: Priceto-Book ratio for the Value Factor)
Modestly increase or
decrease security weight
based on score
Control for
unwanted
biases or
risks
Smart Beta Factor Index

For illustrative purposes only. There is no assurance that these objectives will be met.
14
Smart Beta Performance U.S. Large Cap

The four factors tend to outperform their passive benchmarks over time but often at
different times
Illustrative Value Factor1 (Growth of $10,000)
Value Factor Excess Return
$25
Illustrative Momentum Factor2 (Growth of $10,000)

Momentum Factor Excess Return
$20
MSCI USA
MSCI USA
$20
$15
$15
Illustrative Quality Factor3 (Growth of $10,000)

Quality Factor Excess Return
$20
2016
2015
Illustrative Low Volatility Factor4 (Growth of $10,000)

Low Volatility Factor Excess Return
$25
MSCI USA
2014
2015
2014
2013
2012
2011
2010
2013
$10
$10
MSCI USA
$20
$15
$15
$10
$5
2016
2015
2014
2013
2012
2011
2010
2009
2008
2015
2014
2013
$0
2012
$10
Source: GSAM, MSCI, Bloomberg as of November 16, 2016. 1The performance of the Value Factor is represented by the MSCI USA Value Weighted Index. 2The performance of the Momentum
Factor is represented by the MSCI USA Momentum Index. 3The performance of the Quality Factor represented the performance of the MSCI USA Sector Neutral Quality Index. 4The performance of
the Low Volatility Factor is represented by the MSCI USA Minimum Volatility Index. GROWTH OF $10,000: A graphical measurement of a portfolio's gross return that simulates the performance of
an initial investment of $10,000 over the given time period. Index data does not account for factors such as fees, transaction costs, liquidity and other market factors. Had these factors been
accounted for, actual performance would have been lower. Index performance shown on this page is not related to GSAM products. Past performance does not guarantee future results, which
may vary.
15
Historical Factor Returns Vary, with No One Factor

Dominating
Historical factors exhibit low or negative correlations to each other
Illustrative Correlations
Return Correlations
Value
Value
1.0
Low Volatility
Quality
Low Volatility
(0.4)
Quality
(0.5)
0.1
1.0
Momentum
(0.8)
0.3
0.3
Momentum
1.0
1.0
Source: GSAM, MSCI, Bloomberg as of November 16, 2016

For illustrative purposes only. Past correlations are not indicative of future correlations, which may vary. Actual performance differ significantly from the index data. In addition,
index results do not account for factors such as fees, transaction costs, liquidity and other market factors. Had these factors been accounted for, actual performance would have
been lower.
Index performance shown on this page is not related to GSAM products
Past correlations are not indicative of future correlations, which may vary.
16
Factor Timing is Difficult

An equal weighted average of the four factors historically tends to have more stability
and may perform better over the long run
Lowest
Highest
Calendar Year Total Returns (Illustrative Factors Feb 2013 Nov 2016)
Q1 2013* Q2 2013
Low Volatility
7.0%
Value
3.5%
Q3 2013
Quality
6.2%
Q4 2013
Q1 2014
Q2 2014
Q3 2014
Q4 2014
Q1 2015
Q2 2015
Q3 2015
Momentum Low Volatility Momentum Momentum Low Volatility Momentum Momentum Low Volatility
11.7%
2.1%
5.3%
2.9%
8.0%
3.6%
2.1%
-1.3%
Momentum MSCI USA Momentum

5.8%
2.6%
5.9%
Quality
11.7%
Value
2.0%
MSCI USA
5.1%
Multi Factor
Portfolio
5.0%
Quality
2.3%
MSCI USA
5.6%
Value
10.8%
MSCI USA
1.7%
Value
5.0%
Value
3.8%
Multi Factor
Portfolio
1.9%
Value
5.0%
Quality
3.4%
Momentum
1.9%
Quality
2.6%
Multi Factor
MSCI USA Momentum Low Volatility MSCI USA
Portfolio
10.1%
0.7%
3.9%
0.8%
5.0%
Quality
0.0%
Quality
3.8%
Quality
2.6%
Value
0.2%
Quality
-3.4%
Value
0.4%
Quality
5.0%
MSCI USA
1.2%
Quality
-0.2%
Value
4.5%
Value
0.2%
Low Volatility
-1.7%
Q3 2016 Q4 2016**
Quality
5.4%
Value
3.4%
Momentum
7.8%
Multi Factor
Momentum
Portfolio
4.9%
2.0%
Value
4.7%
MSCI USA
0.5%
Quality
1.2%
Value
1.2%
MSCI USA Low Volatility MSCI USA

-6.9%
6.3%
0.8%
Value
-8.0%
Q2 2016
Low Volatility Low Volatility

5.7%
5.8%
Multi Factor Multi Factor Multi Factor

MSCI USA
Portfolio
Portfolio
Portfolio
6.6%
2.2%
0.1%
-4.2%
MSCI USA
4.6%
Q1 2016
Quality
8.2%
Multi Factor
Multi Factor
Momentum Low Volatility MSCI USA Momentum
Portfolio
Portfolio
5.1%
2.4%
0.2%
-4.2%
1.9%
7.0%
Multi Factor Multi Factor Multi Factor

Low Volatility
Portfolio
Portfolio
Portfolio
1.7%
10.4%
1.2%
4.5%
MSCI USA Low Volatility Low Volatility Low Volatility

3.3%
-0.1%
2.9%
7.5%
Multi Factor
Portfolio
5.6%
Q4 2015
Value
5.7%
Momentum
0.1%
Multi Factor
MSCI USA
Portfolio
3.9%
3.1%
Quality
0.0%
MSCI USA
2.4%
Multi Factor Multi Factor

Portfolio
Portfolio
2.5%
-0.6%
Value
2.2%
Momentum Low Volatility

1.7%
-2.5%
Quality
-0.6%
Low Volatility Momentum

-1.2%
-3.0%
The illustrative Factor Average aims to provide a more stable outcome than the MSCI USA or any single investment style
Source: GSAM, MSCI, Bloomberg as of November 16, 2016
*Data begins in Feb 2013
**Data ends in Nov 2016
The performance of the Low Volatility Factor is represented by the MSCI USA Minimum Volatility Index. The performance of the Value Factor is represented by the MSCI USA Value Weighted
Index. The performance of the Quality Factor represented the performance of the MSCI USA Sector Neutral Quality Index . The performance of the Momentum Factor is represented by the MSCI
USA Momentum Index. Index data does not account for factors such as fees, transaction costs, liquidity and other market factors. Had these factors been accounted for, actual performance would
have been lower. Index performance shown on this page is not related to GSAM products. Past performance does not guarantee future results, which may vary.
17
A Multi-Factor Approach Seeks Excess Returns Over Time

Value, Momentum, Quality and Low Volatility can be used in conjunction
Growth of $10,000: Illustrative Factor Returns relative to MSCI USA TR, Feb 2013 Nov 2016
$17,000
Illustrative US Large Cap Multifactor Index

Excess return
contribution from
$16,000
Quality1
$15,000
Low Volatility2
Value3
$14,000
Momentum4
$13,000
$12,000
MSCI USA Total
Return Index
$11,000
$10,000
$9,000
2013
2014
2015
2016
Source: GSAM, MSCI, Bloomberg as of November 16, 2016. 1The performance of the Quality Factor represented the performance of the MSCI USA Sector Neutral Quality Index . 2The performance
of the Low Volatility Factor is represented by the MSCI USA Minimum Volatility Index. 3The performance of the Value Factor is represented by the MSCI USA Value Weighted Index. 4The
performance of the Momentum Factor is represented by the MSCI USA Momentum Index. GROWTH OF $10,000: A graphical measurement of a portfolio's gross return that simulates the
performance of an initial investment of $10,000 over the given time period. Index data does not account for factors such as fees, transaction costs, liquidity and other market factors. Had these
factors been accounted for, actual performance would have been lower. Index performance shown on this page is not related to GSAM products. Past performance does not guarantee future
results, which may vary.
18
Considerations When Selecting a Smart Beta ETF
Source of Risk
Seeking to minimize uncompensated sources of risk

Confirming risk is coming from intentional smart beta tilts
Risk Allocation
Diversified allocation of risk across factors may result in better overall returns
Factor Correlations
Factors tend to have low correlations with one another. When combined, the
resulting portfolio may have better risk-adjusted returns
Turnover
Sensitivity to excessive turnover may help increase cost and tax efficiency
Source: GSAM
Diversification does not protect an investor from market risk and does not ensure a profit.
19
How do investors use multi-factor ETFs?
1. Multi-factor ETFs are commonly employed as strategic core holdings

2. They may be viewed as replacements for, or complements to, traditional market cap weighted
ETFs by investors seeking a more fundamentally-based approach
3. They may be viewed as replacements for, or complements to, actively-managed strategies by
investors seeking to lower their overall cost
Source: GSAM
20
Questions?
http://www.GSAMFunds.com/ETFs
Awards
Most Innovative ETF Issuer1: Goldman Sachs Asset Management
Best New US Equity ETF1: GSLC
Best New Smart Beta Factor ETF1: GSLC
NOVA Award for Innovation in Product Development & Marketing2
1The ETF.com Awards recognized the people, products and firms that in 2015 were pioneering across the ETF space to deliver better investment outcomes for investors, leveraging the insights of
more than 15,000 members and leaders in the exchange-traded fund community. Winners were selected by a majority vote of the ETF.com Awards Selection Committee, a group of independent
ETF experts throughout the ETF community.
2The NOVA Awards are presented by NICSA and Money Management Executive in recognition of outstanding service, creativity, leadership and innovation within the asset management industry;
candidates are nominated by their colleagues within the fund industry and winners are chosen by an independent judging panel of distinguished industry leaders.
ActiveBeta is an registered trademark of GSAM.
Please see additional disclosures at the end of this presentation.
21
References
Fama, Eugene F., and Kenneth R. French. 1992. The cross-section of expected stock returns. Journal of Finance 47 (2): 427465.
Basu, S. 1977. Investment performance of common stocks in relation to their price-earnings ratio: A test of the Efficient Market Hypothesis. The Journal of Finance 32 (June): 663682.
LaPorta, R., J. Lakonishok, A. Shleifer, and R. Vishny. 1997. Good news for value stocks: Further evidence on market efficiency. The Journal of Finance 52 (2): 859-874.
Reinganum, Marc R. 1981. Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values. Journal of Financial Economics 9 (1): 1946.
Fama, Eugene F., and Kenneth R. French. 1998. Value versus growth: The international evidence. The Journal of Finance 53 (6): 19751991.
Jegadeesh, N. and S. Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance 48 (1): 6591.
Chan, L.K.C., N. Jegadeesh, and J. Lakonishok. 1996. Momentum strategies. The Journal of Finance 51 (5): 16811713.
Rouwenhorst, K. Geert. 1998. International momentum strategies. The Journal of Finance 53 (1): 267284.
Carhart, Mark M. 1997. On persistence in mutual fund performance. The Journal of Finance 52 (1): 5782.
Novy-Marx, Robert. 2013. The other side of value: The gross profitability premium. Journal of Financial Economics 108(1): 128.
Ball, Ray, Joseph Gerakos, Juhani T. Linnainmaa, and Valeri Nikolaev. 2015. Accruals, cash flows, and operating profitability in the cross section of stock returns. Working paper (University of
Chicago).
Baker, Malcolm, Brendan Bradley, and Jeffrey Wurgler. 2011. Benchmarks as limits to arbitrage: Understanding the low volatility anomaly. Financial Analysts Journal 67 (January/February):
4054.
Clarke, Roger G., Harindra de Silva, and Steven Thorley. 2010. Know your VMS exposure. The Journal of Portfolio Management 36 (Winter): 5259.
Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2006. The Cross-Section of volatility and expected returns. The Journal of Finance 61 (1): 259299.
Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2009. High idiosyncratic volatility and low returns: International and further U.S. evidence. Journal of Financial Economics
91 (1): 123.
Clarke, Roger G., Harindra de Silva, and Steven Thorley. 2006. Minimum-variance portfolios in the U.S. equity market. The Journal of Portfolio Management 33 (1): 1024.
Haugen, Robert A., and A. James Heins. 1975. Risk and the rate of return on financial assets: Some old wine in new bottles. Journal of Financial and Quantitative Analysis 10 (5): 775784.1
Banz, Rolf W. 1981. The relationship between return and market value of common stocks. Journal of financial Economics 9 (1): 318.
22
General Disclosures
Definitions
Book Value
Book value is the value of a companys total assets minus total liabilities as they appear on a balance sheet.
Correlation
Correlation is a measure of the amount to which two investments vary relative to each other.
Dow Jones Industrial Average
A price-weighted average of 30 significant stocks traded on the New York Stock Exchange (NYSE) and the NASDAQ. The DJIA was invented
by Charles Dow back in 1896.
Free Cash Flow
Free cash flow is a measure of financial performance that measures a companys total cash after paying business expenses.
Intrinsic Value
The actual value of a an asset based on an underlying perception of its true value including both tangible and intangible factors.
MSCI USA Minimum

Volatility Index
The MSCI USA Minimum Volatility (USD) Index aims to reflect the performance characteristics of a minimum variance strategy applied to the
large and mid cap USA equity universe. The index is calculated by optimizing the MSCI USA Index, its parent index, in USD for the lowest
absolute risk (within a given set of constraints). Historically, the index has shown lower beta and volatility characteristics relative to the MSCI
USA Index.
MSCI USA Momentum Index
The MSCI USA Momentum Index is based on MSCI USA Index, its parent index, which captures large and mid cap stocks of the US market. It
is designed to reflect the performance of an equity momentum strategy by emphasizing stocks with high price momentum, while maintaining
reasonably high trading liquidity, investment capacity and moderate index turnover.
MSCI USA Sector Neutral

Quality Index
The MSCI USA Sector Neutral Quality Index captures large and mid-cap representation across the US equity markets. The index aims to
capture the performance of securities that exhibit stronger quality characteristics relative to their peers within the same GICS sector by
identifying stocks with high quality scores based on three main fundamental variables: high Return-on-Equity (ROE), low leverage and low
earnings variability.
MSCI USA Total Return Index
The MSCI USA Index is designed to measure the performance of the large and mid-cap segments of the US market. With 617 constituents, the
index covers approximately 85% of the free float-adjusted market capitalization in the US.
MSCI USA Value Weighted

Index
The MSCI USA Value Weighted Index is based on a traditional market cap weighted parent index, the MSCI USA Index, which includes US
large and mid cap stocks. The MSCI USA Value Weighted Index reweights each security of the parent index to emphasize stocks with
lower valuations. Index weights are determined using fundamental accounting datasales, book value, earnings and cash earnings rather
than market prices.
S&P 500 Index
The price-to-book ratio is the current price of a stock divided by its book value per share, which is the value of the assets on the corporations
balance sheet.
The S&P 500 Index is the Standard & Poors 500 Composite Stock Price Index of 500 stocks, an unmanaged index of common stock prices.
Tax Efficiency
An attempt to minimize tax liability when given many different financial decisions.
Transparency
Extent to which investors have ready access to any required financial information about a company such as price levels, market depth and
audited financial reports.
Price/Book Ratio
Source: Bloomberg and each indexs respective website
23
Additional Information
This material is provided for informational and educational purposes only. It is not an offer or solicitation to buy or sell any securities. One cannot invest in the indices.
ETF Risk Disclosures
Exchange-Traded Funds are subject to risks similar to those of stocks. Investment returns may fluctuate and are subject to market volatility, so that an investors shares, when
redeemed, or sold, may be worth more or less than their original cost. ETFs may yield investment results that, before expenses, generally correspond to the price and yield of
an particular index. There is no assurance that the price and yield performance of the index can be fully matched. Please see GSAMFUNDS.com/ETFs for additional risk
considerations.
THIS MATERIAL DOES NOT CONSTITUTE AN OFFER OR SOLICITATION IN ANY JURISDICTION WHERE OR TO ANY PERSON TO WHOM IT WOULD BE
UNAUTHORIZED OR UNLAWFUL TO DO SO.
References to indices, benchmarks or other measures of relative market performance over an specified period of time are provided for your information only and do not imply
that the index will achieve similar results. The index composition may not reflect the manner in which an index is constructed. While an adviser seeks to design an index which
reflects appropriate risk and return features, index characteristics may deviate from those of the benchmark.
This information discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions and should not be construed as
research or investment advice. This material has been prepared by GSAM and is not financial research nor an product of Goldman Sachs Global Investment Research (GIR). It
was not prepared in compliance with applicable provisions of law designed to promote the independence of financial analysis and is not subject to an prohibition on trading
following the distribution of financial research. The views and opinions expressed may differ from those of Goldman Sachs Global Investment Research or other departments or
divisions of Goldman Sachs and its affiliates. Investors are urged to consult with their financial advisors before buying or selling any securities. This information may not be
current and GSAM has no obligation to provide any updates or changes.
GOLDMAN SACHS ASSET MANAGEMENT, L.P., THE GOLDMAN SACHS GROUP, INC., AND GOLDMAN, SACHS & CO. (COLLECTIVELY, GOLDMAN SACHS)
DOES NOT GUARANTEE NOR MAKE ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OR SHAREHOLDERS OF THE FUND OR
ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN SECURITIES GENERALLY OR IN THE FUND PARTICULARLY OR THE ABILITY
OF THE INDEX TO TRACK GENERAL MARKET PERFORMANCE. GOLDMAN SACHS, IN ITS CAPACITY AS THE INDEX PROVIDER OF THE INDEX, LICENSES
CERTAIN TRADEMARKS AND TRADE NAMES TO THE FUND. GOLDMAN SACHS HAS NO OBLIGATION TO TAKE THE NEEDS OF THE FUND OR THE
SHAREHOLDERS OF THE FUND INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE INDEX. GOLDMAN SACHS OR ANY OF ITS
AFFILIATES MAY HOLD LONG OR SHORT POSITIONS IN SECURITIES HELD BY THE FUND OR IN RELATED DERIVATIVES GOLDMAN SACHS DOES NOT
GUARANTEE THE ADEQUACY, TIMELINESS, ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO. GOLDMAN SACHS
HEREBY EXPRESSLY DISCLAIMS ANY AND ALL LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN OR IN THE CALCULATION THEREOF.
GOLDMAN SACHS MAKES NO WARRANTY, EXPRESS OR IMPLIED, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A
PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE INDEX OR ANY DATA INCLUDED THEREIN AS TO THE RESULTS TO BE OBTAINED BY
THE FUND, THE SHAREHOLDERS, OR ANY OTHER PERSON OR ENTITY FROM USE OF THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY
OF THE FOREGOING, GOLDMAN SACHS HEREBY EXPRESSLY DISCLAIMS ANY AND ALL LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR
CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGES.
24
General Disclosures
Index Benchmarks
Indices are unmanaged. The figures for the indices reflect the reinvestment of all income or dividends, as applicable, but do not reflect the deduction of any fees or expenses
which would reduce returns. Investors cannot invest directly in indices.
The third party indices referenced herein have been selected because they are well known, easily recognized by investors, and reflect those indices that the Investment
Manager believes, in part based on industry practice, provide an suitable benchmark against which to evaluate the investment or broader market described herein. The
exclusion of failed or closed hedge funds may mean that each index overstates the performance of hedge funds generally.
Views and opinions expressed are for informational purposes only and do not constitute an recommendation by GSAM to buy, sell, or hold any security. Views and opinions are
current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.
Although certain information has been obtained from sources believed to be reliable, we do not guarantee its accuracy, completeness or fairness. We have relied upon and
assumed without independent verification, the accuracy and completeness of all information available from public sources.
Diversification does not protect an investor from market risk and does not ensure an profit.
Basis points (bps) are equal to .01% (or 1/100th) of an percent.
ETF shares are not individually redeemable and are issued and redeemed by the Fund at their net asset value (NAV) only in large, specified blocks of shares
called creation units. Shares otherwise can be bought and sold only through exchange trading at market price (not NAV). Shares may trade at an premium or
discount to their NAV in the secondary market. Brokerage commissions will reduce returns.
The expense ratios of the Fund do not have an fee waiver and expense limitation. The Net and Gross expense ratios will be the same except for GEM. Please see slide 21 for
more information.
Total returns are calculated assuming purchase of an share at the market price or NAV on the first day and sale of an share at the market price or NAV on the last day of each
period reported. The Total Returns Based on NAV and Market Price do not reflect brokerage commissions in connection with the purchase or sale of Fund shares, which if
included would lower the performance.
The NAV used in the Total Return calculation assumes all management fees and operating expenses incurred by the Fund. Market Price returns are based upon the midpoint of
the bid/ask spread (last trade) at 4:00pm EST and do not reflect the returns you would receive if you traded shares at other times. The first day of secondary market trading is
typically several days after the fund inception of investment operations date; therefore, the NAV of the Fund is used as an proxy for the period from inception of investment
operations to the first day of secondary market trading to calculate the Market Price returns.
Net Asset Value is the market value of one share of the Fund. This amount is derived by dividing the total value of all the securities in the funds portfolio, less any liabilities, by
the number of fund shares outstanding. Market Price is the price at which the Funds shares are trading on the NYSE Arca. The Market Price of the Funds shares will fluctuate
and, at the time of sale, shares may be worth more or less than the original investment or the Funds then current net asset value. The Fund cannot predict whether its shares
will trade at, above or below net asset value.
25
General Disclosures
Quantitative Investment Strategies (QIS) comprises a globally integrated team of highly qualified investment professionals organised into six business lines: (1) Equity Alpha
Strategies, which oversees the research, portfolio construction and implementation of our alpha models in stock selection mandates; (2) Macro Alpha Strategies, which
oversees the research, portfolio construction and implementation of our strategic and tactical asset allocation models across global asset classes, including equities, fixed
income, currencies, commodities and volatility; (3) Alternative Investment Strategies, which focuses on hedge fund replication, liquid alternatives, and risk premia strategies;
(4) ActiveBeta Equity Strategies, which focuses on the design and implementation of smart beta strategies in equity portfolios through the capture of common factors; (5)
Customized Beta Strategies, which focuses on customized, rules-based, and index replication strategies comprising major asset classes; and (6) Tax Advantaged Core
Strategies, which oversees the design and implementation of tax-aware equity portfolios. As of September 30, 2016, QIS employs a team of over 90 investment professionals,
with an additional 90-plus professionals dedicated to trading, information technology and the development of analytical tools. The QIS team offers significant depth of
experience in equity, fixed income, currency, and commodities markets, with applications across our quantitative alpha and advanced beta platforms. Many team members
have been published in leading academic journals.
Confidentiality:
No part of this material may, without GSAMs prior written consent, be (i) copied, photocopied or duplicated in any form, by any means, or (ii) distributed to any person that is not
an employee, officer, director, or authorized agent of the recipient.
A summary prospectus, if available, or an Prospectus for the Funds containing more information may be obtained from
your authorized dealer or from Goldman, Sachs & Co. by calling 1-800-621-2550. Please consider an funds objectives,
risks, and charges and expenses, and read the summary prospectus, if available, and the Prospectus carefully before
investing. The summary prospectus, if available, and the Prospectus contains this and other information about the Fund.
ALPS Distributors, Inc. ADI is the distributor of the Goldman Sachs ETF Funds. ALPS Code: GST 317
ALPS Distributors, Inc. ADI is unaffiliated with Goldman Sachs Asset Management and Fidelity.
Compliance code: 75029-OTU
Date of first use: 11/23/2016
Expiration Date: 11/23/2017
2016 Goldman Sachs. All rights reserved.
Fidelity Investments is an independent company, unaffiliated with Goldman Sachs.

There is no form of legal partnership, agency affiliation, or similar relationship between Goldman Sachs and Fidelity Investments, nor is such a relationship created or implied by
the information herein. Fidelity Investments has not been involved with the preparation of the content supplied by Goldman Sachs and does not guarantee or assume any
responsibility for its content.
Fidelity Brokerage Services, Member NYSE, SIPC 900 Salem Street, Smithfield, RI 02917
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Learn About the Benefits of Multi-Factor Investing

Goldman Sachs Asset Management

GSAMs ETF Experience

in total smart beta assets

Average sales and

Years managing factorbased investments

ETF liquidity provider

Please see additional disclosures at the end of this presentation.

ETFs can be bought and

Portfolio holdings are

Low portfolio turnover can

lower total cost

Reduced fund expenses

Source: GSAM. For illustrative purposes only.

ETF Industry Growth

Evolution of ETFs (1993 September 2016)

1. It took 18 years to reach $1

2. Product innovation, particularly

3. The popularity of smart beta

Demystifying Smart Beta

Source: GSAM. (2015, October)

What is market capitalization weighted indexing?

How companies are weighted in a traditional index

Index Weights of Hypothetical Companies

Market Cap ($ Billions)

Source: GSAM. For Illustrative Purposes Only.

Smart Beta Defined

smart beta [smrt b-t] noun.

Source: GSAM, Morningstar

Smart Beta Over the Years

Stocks from companies that may be

Stocks that demonstrate

Three Factor Model

Stocks from companies that

Stocks with prices that have

How does it work?

Why does it work?

How does it work?

Why does it work?

How does it work?

Why does it work?

Stocks that demonstrate sustainable profitability over time tend to historically

How does it work?

Why does it work?

How do these factor become stock portfolios?

Rank stocks in universe by B/P

How to Potentially Improve on This Process

Start with the market cap weighted universe of securities

Score each security based on relative

Smart Beta Factor Index

Smart Beta Performance U.S. Large Cap

Illustrative Momentum Factor2 (Growth of $10,000)

Illustrative Quality Factor3 (Growth of $10,000)

Illustrative Low Volatility Factor4 (Growth of $10,000)

Historical Factor Returns Vary, with No One Factor

Source: GSAM, MSCI, Bloomberg as of November 16, 2016

Factor Timing is Difficult

Momentum MSCI USA Momentum

MSCI USA Low Volatility MSCI USA

Low Volatility Low Volatility

Multi Factor Multi Factor Multi Factor

Multi Factor Multi Factor Multi Factor

MSCI USA Low Volatility Low Volatility Low Volatility