Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI US) – Portfolio Construction Methodology

The investment process guiding the actively managed Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF prioritizes dynamic sector rotation across fixed income via a fund-of-funds architecture. The strategy allocates among unaffiliated ETFs spanning nine categories—U.S. investment-grade corporates, long-duration U.S. Treasuries, U.S. mortgage-backed securities, international investment-grade bonds, TIPS, U.S. high yield, emerging-market debt, U.S. floating-rate notes, and USD cash equivalents—based on proprietary models combining macro, technical, credit and currency indicators. Portfolio construction overweights categories with stronger composites and de-emphasizes areas showing deteriorating carry/quality or unfavorable trend/dispersion, with flexibility to lower duration and credit beta when conditions weaken. Liquidity and capacity are supported by use of large, liquid ETFs and in-kind creation/redemption mechanics. The portfolio is typically rebalanced monthly, with intra-month changes when model signals shift; trims/sells follow model downgrades or adverse risk readings.

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