Horizon Kinetics SPAC Active ETF (SPAQ US) – Portfolio Construction Methodology

The investment process governing the actively managed Horizon Kinetics SPAC Active ETF targets event-driven returns from U.S. listed special purpose acquisition companies with an emphasis on pre-combination trust protection and post-announcement optionality. The investable universe spans SPAC common shares, units, and occasionally warrants, with eligibility anchored by cash-held-in-trust characteristics, sponsor terms, and redemption mechanics. Security selection applies bottom-up analysis of sponsor alignment, warrant coverage, float, vote timelines, and trust value per share relative to market price, seeking favorable downside-to-par asymmetry. Portfolio construction diversifies across issuers and maturity windows to stagger corporate-action catalysts; concentration caps limit exposure to any single sponsor family or deal. Liquidity screens avoid thin or impaired vehicles. Rebalancing centers on announcement, record, and redemption dates; positions are trimmed as discounts compress toward trust value or when post-deal profiles no longer meet risk-return parameters. Capacity reflects SPAC float, borrow, and corporate-action calendars.

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