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

The investment strategy steering the actively managed Day Hagan/Ned Davis Research Smart Sector ETF rotates among S&P 500 sectors via unaffiliated sector ETFs to pursue capital appreciation and capital preservation. A composite model—incorporating sector-level price-based, economic, fundamental and behavioral indicators—ranks sectors; portfolio weights are over- or under-allocated versus the S&P 500 accordingly. A separate “weight-of-the-evidence” risk model governs the Fund’s overall equity allocation and may materially reduce equity exposure, including use of USD cash and U.S. Treasury instruments when reward-to-risk is unfavorable. Portfolio construction emphasizes investability and capacity through liquid sector ETFs and creation/redemption mechanics, with issuer/sector concentration reflecting the chosen ETFs. Rebalancing is scheduled monthly, with intra-month trades if signals shift materially. Sell/trim actions follow model downgrades, adverse breadth/leadership changes, or tighter risk budgets; turnover may rise in volatile regimes as exposures adapt.

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