Pacer Trendpilot European Index ETF (PTEU US) - Portfolio Construction Methodology

Core Insights - The Pacer Trendpilot European Index ETF (PTEU) utilizes a rules-based approach to allocate between eurozone equities and U.S. Treasury bills based on trend signals [1] Group 1: Portfolio Construction Methodology - The underlying index for PTEU is the FTSE Eurozone Index, which is a market-cap-weighted index of large- and mid-cap stocks from developed eurozone markets, reviewed semi-annually for investability [1] - The Trendpilot overlay assesses the FTSE Eurozone Total Return Index against its 200-day simple moving average daily [1] - If the total return index exceeds the 200-day average for five consecutive days, the allocation shifts to 100% FTSE Eurozone; conversely, if it falls below for five consecutive days, the allocation changes to a 50% FTSE Eurozone and 50% 3-Month U.S. Treasury bill mix [1] - A further condition triggers a move to 100% T-bills if the 200-day average itself drops below its level from five days prior after being in a 50/50 state [1] - Allocation changes are implemented on the second business day following a signal [1]