SEI Enhanced U.S. Large Cap Momentum Factor ETF (SEIM US) – Portfolio Construction Methodology

The investment strategy governing the actively managed SEI Enhanced U.S. Large Cap Momentum Factor ETF seeks capital appreciation by owning U.S. large-cap equities exhibiting relatively strong recent performance. The investable universe is defined as large companies within the market-cap range of the Russell 1000 at purchase; the fund observes an ≥80% policy in equity and equity-related securities (e.g., depositary receipts, convertibles, warrants, rights). SIMC applies a quantitative, rules-based screen emphasizing price-trend measures alongside earnings/profitability trends, surprise dynamics, and analyst-outlook changes to isolate primary Momentum exposure. Portfolio construction uses a risk model and optimizer to size positions, manage secondary factor exposures (e.g., Quality, Value, Low Volatility), and enforce issuer/sector constraints and other investment restrictions. Liquidity and capacity are supported by U.S. large-cap trading depth; concentrations are capped in optimization. Rebalancing and trims occur as model scores, exposures, or constraints warrant.

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