John Hancock Multifactor Small Cap ETF (JHSC US) – Portfolio Construction MethodologyThe underlying John Hancock Dimensional Small Cap Index delivers a systematic US small-cap portfolio drawn from free-float-adjusted operating companies listed on major US exchanges. Size is defined as market caps smaller than the 750th largest US company while excluding the smaller of the 1,350th largest name or the bottom 2.5% of US free-float market cap, curbing micro-cap tail risk and trading frictions. Within this unive ...

Janus Henderson Mortgage-Backed Securities ETF (JMBS US) – Portfolio Construction MethodologyThe investment strategy governing the actively managed Janus Henderson Mortgage-Backed Securities ETF concentrates on agency residential mortgage-backed pass-throughs, allocating across coupons, vintages, and structures to harvest spread while managing prepayment, extension, and convexity risk. Security selection combines pool-level analytics (borrower attributes, seasoning, loan size, geography, servicer) with opti ...

JPMorgan Ultra-Short Income ETF (JPST US) – Portfolio Construction MethodologyThe investment strategy guiding the actively managed JPMorgan Ultra-Short Income ETF seeks current income with low volatility of principal by investing mainly in investment-grade, USD-denominated fixed, variable and floating-rate debt. Security selection follows a single, globally integrated credit process that blends bottom-up research with research-driven sector allocation across corporates, asset-backed securities, commercial p ...

Core Insights - The JP Morgan Diversified Factor US Equity Index provides exposure to US large- and mid-cap stocks selected from the Russell 1000 based on three equally weighted factor groups: value, momentum, and quality [1] Group 1: Portfolio Construction Methodology - The index employs a composite percentile score for stock selection, with target industry weights determined by the inverse of three-year volatility of a reference cohort [1] - Stocks are weighted using an optimizer that incorporates explicit liquidity limits, with new positions requiring a minimum weight of 0.05% and single-name weights capped at 0.60% [1] - Quarterly reviews are conducted in March, June, September, and December, utilizing prior-month fundamentals and specified pricing cut-offs to assess performance [1]

Janus Henderson Small/Mid Cap Growth Alpha ETF (JSMD US) – Portfolio Construction MethodologyThe underlying Janus Henderson Small/Mid Cap Growth Alpha Index targets US-listed small- and mid-cap equities drawn from the Solactive Small/Mid Cap Index universe. A proprietary Smart Growth process scores each security using decile ranks across ten fundamentals spanning growth, profitability, and capital efficiency (e.g., ROIC levels, multi-horizon revenue/EPS/EBIT/EBITDA CAGRs and margin expansion; threshold bonu ...

Janus Henderson Small Cap Growth Alpha ETF (JSML US) – Portfolio Construction MethodologyThe underlying Janus Henderson Small Cap Growth Alpha Index targets U.S. small-cap growth stocks drawn from a Solactive small-cap universe. Companies are scored each quarter on growth, profitability, and capital-efficiency metrics using decile ranks; scores are equally weighted and the top 10% become constituents. Selected names are market-cap weighted within calibrated sector weights that align the index’s sector distr ...

Core Viewpoint - The JUST U.S. Large Cap Equity ETF is designed to provide exposure to large-cap U.S. equities with a focus on companies that score above average on "JUST" criteria, which include worker, customer, environmental, community, and shareholder issues [1]. Group 1: Index Construction Methodology - The underlying index is based on the Russell 1000, with companies ranked by JUST Capital's composite scores [1]. - Only the top 50% of companies within each Industry Classification Benchmark (ICB) are included in the index [1]. - Industry weights are aligned with those of the Russell 1000 during the annual reconstitution in December, and constituents are weighted according to their market capitalizations within each industry [1]. - The index maintains sector neutrality and follows standard FTSE Russell corporate-action treatment without specific caps on single names, sectors, or countries [1]. - The index is calculated as a total return series in USD [1].

Core Insights - The American Century Diversified Corporate Bond ETF (KORP) focuses on generating current income through U.S.-dollar investment-grade corporate bonds while also allocating to high-yield credit when conditions are favorable [1] Investment Strategy - The ETF employs an actively managed investment strategy that integrates fundamental issuer analysis and quantitative risk budgeting to balance interest-rate and credit risk [1] - Duration is typically maintained within a 3–7 year range to manage interest rate sensitivity without sacrificing yield [1] Portfolio Composition - The investable universe includes U.S. and foreign corporate issuers, with the potential to invest up to 35% of net assets in high-yield corporate and other below-investment-grade securities [1] - Portfolio construction aims for broad industry diversification within corporates, with allocations adjusted based on evolving credit conditions [1] Rebalancing Approach - Rebalancing and adjustments are made based on valuation, spread, and risk-budget signals across different quality tiers and sectors [1]

Core Viewpoint - The PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (MINT) focuses on maximizing current income while ensuring capital preservation and daily liquidity through investments in short-maturity, high-quality USD-denominated fixed-income instruments [1] Investment Strategy - The fund primarily invests in U.S. government and agency securities, investment-grade corporates, asset-backed and mortgage-related securities, and money-market instruments, with limited exposure to non-USD and lower-rated securities [1] - Security selection combines macroeconomic views with issuer-level credit analysis, prioritizing stable cash flows, robust structures, and minimal extension or convexity risk [1] Portfolio Construction - The portfolio maintains a short interest-rate profile with tight dispersion around the target duration, ensuring diversified sector exposure and position sizes linked to liquidity and downside risk [1] - Derivatives may be utilized to fine-tune duration, curve, or currency exposures, which are hedged [1] - Ongoing rebalancing aims to capture roll-down and new-issue concessions, harvest spread mean-reversion, and reduce positions that may face downgrade, liquidity erosion, or unfavorable call features [1]

Group 1 - The Pacer Swan SOS Moderate (December) ETF employs a structured-outcome options overlay to manage S&P 500 exposure, providing a defined downside buffer and an upside cap that resets annually in December [1] - The investment strategy focuses on FLEX options collateralized by cash and cash equivalents, aiming for consistent option terms and effective collateral management to reduce slippage and financing drag [1] - The ETF's construction involves a combination of call and put FLEX positions to achieve buffered equity beta within predetermined ranges, while residual cash is managed for liquidity and settlement purposes [1] Group 2 - Day-to-day risk management includes monitoring path dependency, cap proximity, and buffer efficacy as market conditions change, with secondary-market purchases adjusting to the current outcome profile [1] - Rebalancing of the portfolio is typically aligned with option rolls at the outcome reset or to maintain the intended exposure in response to corporate actions or changes in index methodology affecting option underliers [1]