A-Rod Says His Daughters Look at J.Lo 'Like She's the Messiah' and Have Become Part of Her Backstage Crew

"My girls essentially hit the lottery," Alex Rodriguez tells PEOPLE exclusively about his daughters' relationship with Jennifer Lopez

Alex Rodriguez‘s daughters are just as in love with Jennifer Lopez as their dad is.

“She is such a great role model. They look at her like she’s the Messiah,” Rodriguez told PEOPLE exclusively about his daughters — Ella, 9, and Natasha, 12 — at TruFusion gym (for which he is a major investor) in Las Vegas last month.

“When they’re in Las Vegas, I don’t think they leave Jennifer’s side,” adds the 42-year-old former New York Yankees player.

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Rodriguez is often in town to see his girlfriend’s All I Have residency show at Planet Hollywood, and his girls (whom he shares with ex-wife Cynthia Scurtis) have become part of Lopez’s backstage crew.

“They go to the ‘locker room’ early with Jennifer and help her get dressed and are part of the assistant team backstage,” says Rodriguez.

“My girls essentially hit the lottery,” he continues. “What 12-year-old and 9-year-old wouldn’t feel like, ‘Oh my God, I’m the luckiest human being on the planet?’ They’re super thrilled!”

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Lopez, 48, and Rodriguez often hit the gym together. One of their favorite classes is TruFusion’s Barefoot Bootcamp, which the entertainer and her dancers take several times a week.

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The class combines yoga, pilates, kettle bells, sandbags and more in a room that reaches a 120 heat index. “She has a bunch of [super powers],” says Rodriguez of Lopez’s stamina in class. “I have none.”

Recently teaming up (along with Lopez’s ex-husband Marc Anthony) to help raise $35 million for hurricane-ravaged Puerto Rico, the couple are looking forward to their future together and enjoying the fruits of their labor.

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“I’m having the best time because I have the freedom and liberty to go out and be a full-time dad and run my business A-Rod Corp,” says the Shark Tank guest judge.

“I get to do a lot of fun things with Jennifer, and I’ve learned a great, great deal from one of the most amazing women I’ve ever met,” he adds.

For all the details on Jennifer Lopez and Alex Rodriguez’s plans to move in together and merge their families, pick up the latest issue of PEOPLE, on newsstands Friday.

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