Westwood LBRTY Global Equity ETF (BFRE US) – Portfolio Construction Methodology

The underlying TOBAM LBRTY All World Equity Index targets global large- and mid-cap equities while sharply reducing exposure to authoritarian regimes. It starts from the TOBAM Universe All World Index, itself based on Bloomberg World Large & Mid Cap constituents, so eligible securities are primarily sizeable, liquid stocks listed on regulated exchanges, including selected DRs. TOBAM first builds a whitelisted parent benchmark by excluding countries whose composite civil-democracy score falls below a threshold, plus companies breaching TOBAM’s sector and controversy exclusions or failing governance tests. Within eligible countries, each stock’s authoritarian exposure is estimated from its economic ties to excluded countries, de-biased for market and sector effects. The index is then optimized to minimize portfolio-level authoritarian exposure subject to a long-run tracking-error limit versus the whitelisted benchmark, and is market-cap weighted with constituent weights between 0.01% and 4.5%. It is rebalanced quarterly using updated country scores and company data.

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