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

The underlying Pacer Trendpilot European Index targets a rules-based mix of eurozone equities and U.S. Treasury bills driven by a trend signal. Its equity sleeve is the FTSE Eurozone Index, a free-float market-cap-weighted index of large- and mid-cap stocks from developed eurozone markets, reviewed semi-annually in March and September for investability. The Trendpilot overlay compares the FTSE Eurozone Total Return Index with its 200-day simple moving average each business day. If the total return index closes above the average for five straight days, exposure is set to 100% FTSE Eurozone; five straight closes below the average shift it to a 50% FTSE Eurozone / 50% 3-Month US Treasury bill mix. When the 200-day average itself falls below its level five days earlier after a 50/50 state, a T-Bill trigger moves the index to 100% T-bills. Allocation changes become effective on the second business day after a signal.

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