Ecofin Global Water ESG Fund (EBLU US) – Portfolio Construction Methodology

The underlying Ecofin Global Water ESG Net Total Return Index targets developed-market equities materially engaged in water infrastructure or water management. A Water Company must derive at least 50% of revenues from water industries, or at least 40% with water as its principal revenue source and a top-five position by water-sub-industry revenue. New constituents need market cap ≥400m USD for two consecutive quarters and minimum liquidity turnover of 0.15, measured as three-month ADV in USD divided by market cap; existing members must maintain ≥300m USD and weaker turnover thresholds, with removal if liquidity drops below 0.05. At least 80% of index float-adjusted market cap must carry acceptable Sustainalytics ESG Risk Ratings; additions require scores <30 and deletions occur when scores persistently exceed 30 or reach 40. The float-adjusted, modified market-cap weighting applies issuer and water-sub-industry caps at quarterly rebalances, with annual revenue reviews driving March reconstitutions. To explore EBLU in more depth, visit our ETF analytics platform for institutional-grade insights — including performance and risk metrics, correlations, sensitivities, and factor exposure: https://www.etfstrategy.com/etf/EBLU_US