Invesco PowerShares Attribution Report PowerShares QQQ (QQQ) vs. S&P 500 Index

Transcription

1 Invesco PowerShares Attribution Report PowerShares QQQ (QQQ) vs. S&P 500 Index March 31, 2018 Sources: Bloomberg, L.P., FactSet Research Systems, as of March 31, Not FDIC Insured May Lose Value No Bank Guarantee

2 Key Highlights QQQ outperformed the S&P 500 Index by 8.1% over the past year (22.1% vs 14.0%) driven by allocation effects. QQQ outperformed in seven of 12 months and was positive in eight of 12 months. Over the past quarter, outperformance against the S&P 500 Index was 3.9% (3.1% vs -0.8%). QQQ volatility saw in increase during the first quarter of 2018 as 46% of trading days experienced a return either greater than 1% or less than -1%. That compares to 12% of trading days during Allocation effects (+7.0%) accounted for most of the one-year outperformance while both selection (+0.2%) and interaction (+1.3%) effects were also positive. For the quarter, allocation effects were still the largest. Allocation effects were positive in 10 of 11 sectors for the year while being positive in all 11 sectors for the quarter. For the year, the largest allocation effects were consumer discretionary (+1.7%) and information technology (+1.3%). Only financials detracted from relative performance (-0.5%). During the 4th quarter, allocation effects were driven by information technology (+1.6%) and consumer discretionary (+0.3%). Selection effects for both the past year and quarter were strongest within consumer discretionary (+1.0%, +0.8%) and industrials (+0.6%, +0.3%). Healthcare (-1.1%, -0.5%) was the largest detractor over both periods. Consumer staples was the only other selection detractor over the past year (-0.7%) while information technology (-0.1%) was the second largest detractor with regards to selection effects over the quarter. Over the past year, the three largest contributors to outperformance against the S&P 500 were Amazon (+63.3%), Microsoft (+41.5%) and General Electric (-53.2%). The three leading detractors were Kraft-Heinz (-29.3%), Celgene (- 28.3%) and Boeing (+90.0%). All fund returns are NAV, unless otherwise noted. Holdings listed are for educational purposes only and are not buy sell recommendations. Performance data quoted represents past performance. Past performance is not a guarantee of future results; current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate and Shares, when redeemed, may be worth more or less than their original cost. See Invescopowershares.com to obtain a prospectus and to find the most recent month-end performance numbers. 2

3 Attribution Summary Q QQQ vs. S&P 500 Past 12 Months QQQ vs. S&P 500 3/31/17 3/30/18 Attribution (%) Allocation 0.73 Selection 0.19 Interaction 3.91 Attribution (%) Allocation 0.21 Selection 1.28 Interaction 8.44 QQQ vs. S&P 500 Rolling Quarterly Excess Returns Since Inception QQQ vs. S&P 500 Growth Rolling Twelve-month Excess Returns Since Inception Min= -26.6% Max= 45.1% 25-percentile= -2.7% 50-percentile= 1.0% 75-percentile= 3.7% 03/31/2018= 3.9% Min= -47.1% Max= 90.3% 25-percentile= -4.4% 50-percentile= 3.8% 75-percentile= 8.7% 03/31/2018= 8.1% Attribution Disclosure: all return numbers quoted in attribution charts and tables should be used for illustrative and descriptive purposes only. These figures are estimated based on daily holdings and do not account for trading costs or fund expenses. All performance numbers not explicitly labeled attribution are standard fund and index total return figures. Past performance is not a guarantee of future results. Investments cannot be made directly into an index. 3 QQQ Inception: 03/10/1999

4 QQQ vs. S&P 500 Index Excess Return 12.0% Cumulative Monthly Returns 10.0% 8.0% QQQ S&P 500 Index Apr % 1.03% Excess Return 6.0% 4.0% 2.0% May % 1.41% Jun % 0.62% Jul % 2.06% Aug % 0.31% 0.0% Sep % 2.06% -2.0% -4.0% Apr 17 May 17 Jun 17 Jul 17 Aug 17 Sep 17 Oct 17 Nov 17 Dec 17 Jan 18 Feb 18 Mar 18 Oct % 2.33% Nov % 3.07% Dec % 1.11% Jan % 5.73% Feb % -3.69% Monthly Cumulative Mar % -2.54% Source: Bloomberg, L.P., as of March 31, *Excess return represents the portfolio's over or under performance versus the market during a given period. The market is represented by the broad based benchmark the S&P 500 Index. Performance data quoted represents past performance. Past performance is not a guarantee of future results; current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate and Shares, when redeemed, may be worth more or less than their original cost. See Invescopowershares.com to obtain a prospectus and to find the most recent month-end performance numbers. Market returns are based on the midpoint of the bid-ask spread at 4 p.m. ET and do not represent the returns an investor would receive if shares were traded at other times. An investor cannot invest directly in an index. The results assume that no cash was added to or assets withdrawn from the Index. Index returns do not represent Fund returns. Fund performance reflects fee waivers, absent which, performance data quoted would have been lower. 4 Return (%) 1 Year 3 Year 5 Year 10 Year Since Inception (03/10/1999) Volatility Since Inception Performance Stats Sharpe Ratio Alpha Beta Correlation QQQ (NAV) % % QQQ (Market Price) S&P 500 Index % %

5 Sector Attribution Quarterly Bench. Rel. Return Port. Rel. Attribution Allocation Weight +/- +/- Selection Return +/- Health Care Financials Utilities Telecommunication Services Industrials Real Estate Materials Consumer Staples Energy Information Technology Consumer Discretionary Past 12 Months Bench. Rel. Return Port. Rel. Attribution Allocation Weight +/- +/- Selection Return +/- Health Care Financials Materials Industrials Consumer Staples Telecommunication Services Utilities Real Estate Energy Consumer Discretionary Information Technology : The total portfolio excess return which is the sum of allocation, selection and interaction effects. Allocation : The portion of portfolio excess return attributed to having varying exposure to a particular segment (country, sector, market cap, etc.) of the market relative to the benchmark. Weight +/-: The average portfolio weight relative to the average benchmark weight. Bench. Rel. Return +/-: The benchmark relative return is the difference between the return for a particular benchmark segment (country, sector, market cap, etc.) minus the benchmark total return. Attribution Definitions Selection : The portion of portfolio excess return attributed to choosing different securities within a particular segment (country, sector, market cap, etc.) of the market relative to the benchmark. Interaction : The portion of portfolio excess return attributed to combining allocation and selection effects. For example if a particular segment (country, sector, market cap, etc.) is overweight and the selection effect is negative the interaction effect will be negative. For simplicity the interaction effect is excluded from certain charts and tables. Port. Rel. Return +/-: The portfolio relative return is the difference between the return for a particular portfolio segment (country, sector, market cap, etc.) minus the benchmark return for that segment. Past performance is not a guarantee of future results. Benchmark relative return calculated using the S&P 500 Index as a broad base benchmark representative of the overall market. Investments cannot be made directly into an index. 5

6 Quarterly Holdings Attribution Leading Contributors (%) Leading Detractors (%) Exposure (%) Wgt. Wgt. Dif. Return Wgt. Wgt. Dif. Return Top 10 Portfolio Holdings Wgt Return Amazon.com, Inc Facebook, Inc. Class A Apple Inc Microsoft Corporation Comcast Corporation Class A Microsoft Corporation Netflix, Inc Kraft Heinz Company Amazon.com, Inc Intel Corporation Mastercard Incorporated Class A Facebook, Inc. Class A Cisco Systems, Inc Celgene Corporation Alphabet Inc. Class C NVIDIA Corporation Tesla Inc Alphabet Inc. Class A Adobe Systems Incorporated Boeing Company Intel Corporation Booking Holdings Inc QUALCOMM Incorporated Cisco Systems, Inc Wells Fargo & Company Biogen Inc Comcast Corporation Class A Exxon Mobil Corporation JPMorgan Chase & Co NVIDIA Corporation General Electric Company NetEase, Inc. Sponsored ADR Top 10 Benchmark Holdings Procter & Gamble Company Broadcom Inc Apple Inc Johnson & Johnson Walgreens Boots Alliance Inc Microsoft Corporation Micron Technology, Inc Visa Inc. Class A Amazon.com, Inc Verizon Communications Inc Charter Communications, Inc. Class A Facebook, Inc. Class A Chevron Corporation salesforce.com, inc Berkshire Hathaway Inc. Class B AT&T Inc Raytheon Company JPMorgan Chase & Co Citigroup Inc Bank of America Corporation Johnson & Johnson Altria Group Inc Northrop Grumman Corporation Exxon Mobil Corporation DowDuPont Inc Thermo Fisher Scientific Inc Alphabet Inc. Class C Alphabet Inc. Class A Fund holdings are listed for informational purposes only, are subject to change, and are not buy or sell recommendations Weight difference is the average weight in QQQ less the average weight in the S&P 500 Index. Note: Return is the return generated by the security within the portfolio. * Past performance is no guarantee of future results. 6

7 Past 12 Months Holdings Attribution Leading Contributors (%) Leading Detractors (%) Exposure (%) Wgt. Wgt. Dif. Return Wgt. Wgt. Dif. Return Top 10 Portfolio Holdings Wgt Return Amazon.com, Inc Kraft Heinz Company Apple Inc Microsoft Corporation Celgene Corporation Microsoft Corporation General Electric Company Boeing Company Amazon.com, Inc NVIDIA Corporation Comcast Corporation Class A Facebook, Inc. Class A Intel Corporation Walgreens Boots Alliance Inc Alphabet Inc. Class C Netflix, Inc Mastercard Incorporated Class A Alphabet Inc. Class A Apple Inc JPMorgan Chase & Co Intel Corporation Alphabet Inc. Class C AbbVie, Inc Comcast Corporation Class A PayPal Holdings Inc Visa Inc. Class A Cisco Systems, Inc Adobe Systems Incorporated Charter Communications, Inc. Class A Amgen Inc Exxon Mobil Corporation Bank of America Corporation Top 10 Benchmark Holdings AT&T Inc T-Mobile US, Inc Apple Inc Alphabet Inc. Class A UnitedHealth Group Incorporated Microsoft Corporation Procter & Gamble Company Incyte Corporation Amazon.com, Inc Cisco Systems, Inc Tesla Inc Facebook, Inc. Class A Merck & Co., Inc Caterpillar Inc Johnson & Johnson Micron Technology, Inc Starbucks Corporation Berkshire Hathaway Inc. Class B Wells Fargo & Company QUALCOMM Incorporated JPMorgan Chase & Co Walt Disney Company Regeneron Pharmaceuticals, Inc Exxon Mobil Corporation Philip Morris International Inc Mondelez International, Inc. Class A Alphabet Inc. Class A Alphabet Inc. Class C Fund holdings are listed for informational purposes only, are subject to change, and are not buy or sell recommendations. Note: Return is the return generated by the security within the portfolio. * Past performance is no guarantee of future results. 7

8 Sector Weights 3/31/ /31/2017 3/31/ Consumer Discretionary Materials Consumer Staples Telecommunication Services Financials Health Care Energy Real Estate Industrials Information Technology Utilities Relative Weight (%) 3/31/ /29/2017 3/31/2018 Information Technology C onsumer Discretionary Telecommunication Services Real Estate Materials Utilities C onsumer Staples Health C are Energy Industrials Financials Throughout the report, numbers may not add up to 100 due to rounding. Benchmark relative return calculated using the S&P 500 Index as a broad based benchmark representative of the overall market. 8

9 The Global Industry Classification Standard was developed by and is the exclusive property and a service mark of MSCI, Inc. and Standard & Poor's. Indexes are trademarks of the respected Index providers which are licensed for use by Invesco PowerShares Capital Management LLC in connection with the PowerShares ETFs. The ETFs are not sponsored or endorsed by the Index providers and they make no warranty or representation as to the accuracy and/or completeness of the Indexes or results to be obtained by any person from use of the Indexes or the trading of the ETFs. There are risks involved with investing in ETFs, including possible loss of money. Shares are not actively managed and are subject to risks similar to those of stocks, including those regarding short selling and margin maintenance requirements. Ordinary brokerage commissions apply. The Fund s return may not match the return of the Underlying Index. The Fund is subject to certain other risks. Please see the current prospectus for more information regarding the risk associated with an investment in the Fund. Invesco Distributors, Inc. Note: Not all products are available through all firms With respect to Invesco ETFs, shares are not individually redeemable and owners of such shares may acquire those shares from the funds and tender those shares for redemption to the funds in Creation Unit aggregations only, typically consisting of 10,000, 50,000, 75,000, 80,000, 100,000, 150,000 or 200,000 Shares. This does not constitute a recommendation of any investment strategy or product for a particular investor. Investors should consult a financial professional before making any investment decisions. Before investing, investors should carefully read the prospectus/summary prospectus and carefully consider the investment objectives, risks, charges and expenses. For this and more complete information about the Fund call or visit invescopowershares.com for the prospectus/summary prospectus. Not FDIC Insured No Bank Guarantee May Lose Value *Throughout the report numbers may not add up to 100% due to rounding P-QQQ-ATR-1-E US4824 9