Nasdaq-100 10 Buffer ETF (QBUF US) - Portfolio Construction Methodology

Investment Strategy Overview - The Nasdaq-100 10 Buffer ETF (QBUF) employs an actively managed investment strategy that aims for equity-market participation linked to the Invesco QQQ Trust over rolling three-month outcome periods with a target 10% downside buffer and an upside cap [1] - The fund utilizes a defined-outcome structure through exchange-listed FLEX options referencing QQQ, alongside cash and short-term U.S. instruments [1] Buffer and Cap Mechanism - Option strikes and expirations are calibrated each period to create a 10% loss-mitigation zone while financing upside exposure to a specified cap [1] - Positions are typically grouped by common quarter-end expiries to standardize payoff profiles [1] Management and Adjustments - The manager resets the strategy at each outcome period and may adjust intra-period to maintain buffer mechanics, address path-dependency, or manage cash and distributions [1] - Liquidity and capacity are supported by listed FLEX markets and the depth of QQQ; early or mid-period purchases can significantly alter an investor's remaining buffer and cap [1]