Global X S&P 500 Tail Risk ETF (XTR US) - Portfolio Construction Methodology

Core Viewpoint - The Global X S&P 500 Tail Risk ETF (XTR US) employs a portfolio construction methodology that combines large-cap US equity exposure with a systematic protective-put overlay to manage risk effectively [1] Group 1: Portfolio Construction - The underlying Cboe S&P 500 Tail Risk Index targets large-cap US equity exposure while integrating a long position in the S&P 500 Index portfolio [1] - The strategy includes a long three-month SPX put option that is approximately 10% out-of-the-money, which is adjusted quarterly [1] - Options are settled on the third Friday of March, June, September, and December, with new puts purchased based on the S&P 500 leg's notional exposure [1] Group 2: Index Maintenance - The strike for new puts is chosen as the listed level closest to, but not below, 90% of the index value just before 11:00 a.m. on the settlement day [1] - New S&P 500 additions are incorporated into the index according to the parent index schedule, without additional liquidity or size screens [1] - Index maintenance primarily occurs through the quarterly options roll, allowing the equity sleeve to inherit the S&P 500's ongoing rebalancing [1]