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

The investment philosophy driving the actively managed SEI Enhanced U.S. Large Cap Quality Factor ETF targets capital appreciation by concentrating in U.S. large-cap companies with superior and stable profitability characteristic of the Quality factor. The universe is defined within the Russell 1000 market-cap range at purchase; the fund maintains an ≥80% equity (and equity-related) policy. SIMC’s quantitative process screens issuers for persistent profitability and balance-sheet strength and may consider earnings and cash-flow attributes; an optimizer then builds a portfolio with high primary Quality exposure while concurrently managing secondary exposures to Momentum, Value, and Low Volatility. A dedicated risk model informs position sizing and sector/issuer constraints to control unintended bets and unrewarded risk. Liquidity and investability derive from U.S. large-cap depth; optimization mitigates concentration and capacity pressures. Rebalancing and sell/trim activity are systematic, triggered by model score changes, exposure drift, and constraint maintenance.

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