NYLI Hedge Multi-Strategy Tracker ETF (QAI US) – Portfolio Construction Methodology

The underlying NYLI Hedge Multi-Strategy Index gives liquid, rules-based exposure designed to replicate the longer-term beta of the hedge fund universe (as proxied by the Barclay Hedge Fund Index) across multiple styles. The index typically holds a diversified basket of exchange-traded products (ETFs/ETNs/ETVs) and, where needed, listed derivatives to proxy long/short equity, market neutral, event-driven, fixed income arbitrage, global macro, and emerging-markets sleeves. Components must be exchange-traded and sufficiently liquid to support capacity; the index generally maintains 30–70 positions, adjusting weights to reflect target style exposures and to limit concentration at the instrument level. The index rebalances monthly to maintain style budgets and risk levels, with an annual reconstitution to refresh the component set and update proxies when liquidity, fees, or tracking characteristics change.

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