Source: Bloomberg and GSAM as of August 31, 2017. Negative Return Market is defined as returns less than 0, Flat to Single-Digit Market is defined as returns from 0–9.99% and Exuberant Return Market is defined as returns greater than 10%. As of August 31, 2017, the S&P 500 Index average annual returns for the 1-, 5- and 10-year period were 17.16%, 13.30% and 7.51%, respectively. Buy-Write strategies are represented by the CBOE S&P 500 2% OTM BuyWrite Index. As of August 31, 2017, the CBOE S&P 500 2% OTM BuyWrite Index average annual returns for the 1-, 5- and 10-year period were 15.14%, 8.90% and 6.45%, respectively. Analysis from April 2006 to August 2017, the common inception date of both the S&P 500 Total Return Index and the CBOE S&P 500 2% OTM BuyWrite Index. Frequency of outperformance is calculated by comparing the number of times the CBOE S&P 500 2% OTM BuyWrite Index outperformed the S&P 500 Total Return Index on a 12 month rolling return basis. A Buy-Write strategy refers to an investment that receives call premiums on an underlying equity position seeking to generate income. The CBOE S&P 500 2% OTM BuyWrite Index’s performance is not necessarily reflective of all Buy-Write strategies. The CBOE S&P 500 2% OTM BuyWrite Index is a benchmark index designed to track the performance of a hypothetical Buy-Write strategy on the S&P 500 Total Return Index. Past performance does not guarantee future results, which may vary. There is no guarantee that these objectives will be met.