Goldman Sachs Hedge Industry VIP ETF (GVIP US) – Portfolio Construction Methodology

The underlying Goldman Sachs Hedge Fund VIP Index offers equal-weighted exposure to US-listed stocks most frequently appearing among the top-10 long equity holdings of fundamentally driven hedge fund managers. Each quarter, managers filing 13F are screened to form the manager universe (10–200 US-listed equity positions; ≥ USD 10m reported equity assets; quarter-end reporting). For each manager, top-10 positions are identified using 13F shares multiplied by prices adjusted from the 13F date to a designated selection date, using the most liquid share class (by 3-month dollar volume). Securities that are not US common shares or ADRs, or are pending ineligible corporate events, are excluded. The 50 stocks most frequently present across managers’ top-10 lists become constituents, tie-broken alphabetically by ticker, and are equal-weighted at each rebalance. Rebalancing occurs on the sixth NYSE trading day after the 45-day 13F deadline; between rebalances, weights float.

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