RPAR Risk Parity ETF (RPAR US) - Portfolio Construction Methodology

Core Insights - The RPAR Risk Parity ETF utilizes a rules-based multi-asset portfolio designed to achieve similar long-run volatility across four asset classes: global equities, commodities, U.S. Treasury Inflation-Protected Securities (TIPS), and U.S. Treasuries [1] Group 1: Portfolio Construction - The target notional exposures for the portfolio are set as follows: 35% long-duration TIPS, 25% commodities (including global commodity-producer equities and gold), approximately 17.5% global equities (U.S. plus developed ex-U.S.), and 35% U.S. Treasury futures [1] - Treasury futures exposure is unfunded and collateralized with a 15% allocation to T-bills, allowing the gross notional to exceed 100% [1] - The constituents of the portfolio are represented by ETFs and futures/index proxies that meet liquidity screens, with sizing based on long-horizon volatility estimates to equalize risk across the different sleeves [1] Group 2: Rebalancing and Roll Schedule - The index reconstitutes and rebalances quarterly, specifically after the last business day of February, May, August, and November [1] - Treasury futures follow a standardized quarterly roll schedule around first-notice dates [1]