JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE US) - Portfolio Construction Methodology

Group 1 - The JP Morgan Diversified Factor US Small Cap Equity Index utilizes a rules-based multifactor approach to construct a portfolio from the Russell 2000 universe [1] - Securities are scored based on value, quality, and momentum, with an overall composite rank determining selection [1] - Industry risk is equalized through inverse-volatility industry targets, promoting diversified risk across industries [1] Group 2 - Constituents are weighted using a liquidity-aware optimization strategy that limits absolute weights and one-way weight changes [1] - Minimum and maximum single-name bounds and turnover thresholds are implemented to control trading costs [1] - A single most-liquid line per company is utilized, with quarterly reviews occurring in March, June, September, and December [1]