T. Rowe Price Capital Appreciation Premium Income ETF (TCAL US) – Portfolio Construction Methodology

The investment strategy driving the actively managed T. Rowe Price Capital Appreciation Premium Income ETF seeks to provide regular distributions with capital preservation and secondary capital appreciation by combining an actively managed equity portfolio with a systematic covered call overlay. The fund normally invests in equities, such as common stocks across market capitalizations, selected bottom up for attractive risk/reward profiles based on business quality, earnings durability, and valuation. Sector and style exposures are primarily the residual of individual stock selection, allowing concentrations where the team sees favorable fundamentals while monitoring aggregate risk. On top of this equity sleeve, the fund writes call options on portfolio holdings, typically with one- to two-month expiries, to harvest option premiums; as options expire the team sells new calls, adjusting strike levels and overwrite percentages in light of volatility, liquidity, and desired trade-offs between current income, retained upside, and downside resilience.

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