EFTA Document EFTA01364401

Multi-Asset Risk Premia Portfolio Portfolio Construction OVERVIEW ■ The Portfolio is a Volatility-Targeted Portfolio with weights to the underlying systematically rebalanced based on an Equal Risk Contribution allocation methodology. RISK-WEIGHTING ■ The weights for the basket of risk premia are set according to a risk-weighted allocation considering both strategy volatility and correlation to other risk premia included in the portfolio - the basket is rebalanced quarterly to these weigh