Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO US) - Portfolio Construction Methodology

Core Insights - The Newfound/ReSolve Robust Equity Momentum Index employs a rules-based, weekly-rotated allocation strategy among global equity and U.S. Treasury ETFs [1] Portfolio Construction Methodology - The index universe includes liquid U.S.-listed funds that represent global equities, U.S. equities, developed ex-U.S. equities, emerging markets, short-term Treasuries, and intermediate Treasuries [1] - Four distinct momentum definitions are evaluated over multiple lookback horizons and sampling frequencies, resulting in tens of thousands of momentum observations aggregated into momentum scores [1] - A dual-momentum sleeve compares global equity momentum with short-term Treasury momentum; when equities lead, the allocation is fully directed to either U.S. or developed ex-U.S. equities, otherwise to short- or intermediate Treasuries [1] - A residual dual-momentum sleeve compares global equity momentum with intermediate Treasuries; when favorable, it selects among U.S., developed, and emerging equity ETFs, otherwise holding intermediate Treasuries [1] - Final index weights are structured as 75% for the dual-momentum sleeves and 25% for the residual sleeve, limiting emerging-markets exposure to 25%, with all changes implemented at the weekly reconstitution [1]