Factor Dashboard June A monthly recap of factor trends In this report: Factor in focus: Dividend yield rebounds.
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1 Factor Dashboard June 2018 A monthly recap of factor trends In this report: Factor in focus: rebounds Factor snapshot Factors by funds Factor implementation Factor DNA Not FDIC Insured May Lose No Bank Guarantee For Institutional Investor Use Only Not For Use with the Public
2 Factor in focus With the market fearing rising interest rates, dividend has struggled to keep up with the. However, in March it began to rally and mean revert. Since March, the dividend factor has exceeded the s return by 1.7% and it was the top performing factor in June returning 2.3% versus the s 0.6% return. rebounded during Q2 's rolling 12-month excess return versus the 30% 20% Excess return 10% 0% -10% -20% 9/13 9/14 9/15 Source: Bloomberg, L.P., rolling 12-month excess returns from September 2013 to June /16 9/17 6/18 Amidst the uncertainty in the market surrounding a trade war, the low atility screen built into the Volatility High (dividend ) may potentially help dampen a drawdown. Since the index s launch (Sept. 17, 2012), this low atility screen has helped provide a cushion in down markets. It has delivered excess returns during 16 of the 20 largest weekly declines in the. The Volatility High experienced less of drawdown than the 80% of the time 20 largest weekly declines in the since September % Volatility High (LVHD) LVHD s excess return 4% 2% 0% -2% -4% -6% 3/18 1/16 8/15 2/18 2/18 12/15 11/15 12/14 Source: Bloomberg L.P., from Sept. 21, 2012 to June 29, /15 10/14 2/16 1/15 8/14 1/14 4/14 9/16 11/12 3/15 7/15 10/12 2
3 Factor in focus (continued) s recent uptrend along with its low atility tilt may be an idea for investors looking for but wary of a market downturn. The Volatility High has exhibited a stronger up versus down capture ratio, lower atility and a higher than its peers. Up capture Down capture Up/down Ratio Indicated dividend Volatility Vol High % 4.35% S&P HY Div Aristocrats % 2.89% Div Aristocrats % 2.53% % 1.98% Source: Bloomberg from September 2012 to June The Invesco High Volatility ETF (SPHD) tracks the Volatility High which invests in 50 securities within the that historically have provided high dividend s and low atility. 3
4 Factor snapshot As of June 30, 2018 One-month, YTD & 12-month trailing performance One-month total return YTD total return 12-month total return 2.27% 8.86% 25.76% 1.43% 1.77% 11.48% 0.95% 0.71% 9.34% 0.12% -0.48% 9.05% -0.29% -1.14% 7.75% -0.56% -2.15% 5.18% -2.0% 0.0% 2.0% 4.0% -10.0% -5.0% 0.0% 5.0% 10.0% 0.0% 10.0% 20.0% 30.0% Diversification is important because factors perform differently based on the market environment July 2017 August 2017 September 2017 October 2017 November 2017 December 2017 January 2018 February 2018 March 2018 April 2018 May 2018 June 2018 Best 2.9% 2.1% 0.9% 0.5% 4.0% 2.9% 6.0% 2.3% 4.9% 3.9% 1.8% 1.3% 8.2% 5.7% -0.8% -3.7% 0.9% 0.5% 1.7% 1.3% 3.8% 2.4% 2.3% 1.4% 1.8% 0.3% 2.9% 1.9% 3.8% 1.2% 5.5% -3.7% -0.9% 0.9% 2.4% 0.9% 1.6% -0.2% 2.9% 1.2% 3.7% 1.1% 4.8% -4.2% -2.4% 0.4% 1.9% 0.6% 1.4% -0.3% 2.4% 1.1% 3.6% 0.6% 4.5% -4.3% -2.5% 0.4% 1.4% 0.1% Worst 1.1% 0.7% -0.9% -2.4% 2.1% 0.8% 1.1% 0.8% 3.1% 2.3% -0.1% -1.1% 2.7% 0.3% Source: Bloomberg L.P., as of June 30, Past performance does not guarantee future results. An investment cannot be made directly into an index. In the charts above, low atility is represented by the Volatility ; dividend is represented by the Volatility High ; quality is represented by the ; value is represented by the Enhanced ; momentum is represented by the S&P 500 and small is represented by the Equal Weight. -4.9% -6.7% -2.9% -3.7% -0.6% -1.1% 0.7% -0.6% -0.3% -0.6% Market cycle phases and factor performance behaviors Early contraction Late contraction Peak Size Size Trough Early expansion Late expansion For illustrative purposes only. This should not be construed as investment advice nor as a recommendation of a particular strategy or product. The Equal Weight was selected as a proxy for small because equally weighting all constituents in a cap-weighted parent index results in a portfolio with a smaller weighted average and median marketing capitalization. The Volatility High was selected as a proxy for dividend because it screens first for dividend. 4
5 Factor snapshot (continued) Two-year correlation of excess returns During the past two years, many of the factors have had low or negative correlation to each other. atility Volatility Historical factor atility 25% one-year atility 10-year atility 10-year atility One-year atility Volatility (standard deviation) 20% 15% 10% 5% 0% atility Source: Bloomberg L.P., June 30, 2008 to June 30, Past performance does not guarantee future results. An investment cannot be made directly into an index. Source: Bloomberg L.P., as of June 30, Past performance does not guarantee future results. An investment cannot be made directly into an index. In the charts above, low atility is represented by the Volatility ; dividend is represented by the Volatility High ; quality is represented by the ; value is represented by the Enhanced ; momentum is represented by the and small is represented by the Equal Weight. 5
6 Factor snapshot (continued) Factor Valuation Premium/Discount to Price/Earnings Premium/Discount (%) year range Median Current Current % Price/Sales Premium/Discount (%) Current % Price/Book Premium/Discount (%) Current % Source: FactSet Research Inc. as of June 30, An investment cannot be made directly into an index. 6
7 Factors by funds Please see the key on page 9 for an explanation of the methodology, Factor DNA TM chart and other important information. SPLV Invesco Volatility ETF The Volatility Description The S&P Volatility is designed to measure the performance of the 100 stocks in the with the lowest atility, measured on a one-year trailing basis. The weighting of each stock is determined in inverse proportion to its atility. Factor DNA TM SPLV normalized score SPLV percentile SPLV nd 2.4% 1.9% rd 16.7% 22.5% th $53.1B $213.7B th th th - - Invesco Volatility ETF SPHD Invesco High Volatility ETF Volatility High Description The Volatility High index is designed to measure the performance of the 50 least atile high dividend-ing stocks in the. Each component is weighted proportionally to its dividend. Factor DNA TM SPHD normalized score SPHD percentile SPHD th 4.3% 1.9% th 19.8% 22.5% th $68.8B $213.7B th th rd - - Invesco High Volatility ETF SPHQ Invesco ETF Description The is designed to track the 100 stocks in the with the highest quality score, which is calculated based on return on equity, accruals ratio and financial leverage ratio. The weighting is proportional to both the quality score, and the market capitalization of each component. Factor DNA TM SPHQ normalized score SPHQ percentile SPHQ th 1.5% 1.9% th 23.5% 22.5% nd $125.9B $213.7B th th th - - Invesco ETF Source: FactSet Research Inc. and Invesco, as of June 30, Past performance does not guarantee future results. 7
8 Factors by funds (continued) SPVU Invesco Enhanced ETF The Enhanced Description The S&P Enhanced is designed to measure the performance of the 100 stocks in the with the highest book value-to-price, earnings-to-price and sales-to-price. The weighting is proportional to both the value score and the market capitalization of each component. Factor DNA TM SPVU normalized score SPVU percentile SPVU th 2.6% 1.9% th 24.0% 22.5% th $114.6B $213.7B th th th - - Invesco Enhanced ETF SPMO Invesco ETF Description The comprises the top 100 stocks in the based on 12-month prior risk-adjusted performance (excluding the most recent month at the rebalance). The weighting is inversely proportional to the trailing atility of each component. Factor DNA TM SPMO normalized score SPMO percentile SPMO th 1.0% 1.9% th 22.8% 22.5% rd $325.4B $213.7B st th nd - - Invesco ETF RSP Invesco Equal Weight ETF Equal Weight Description The Equal Weight equally weights the stocks in the. RSP normalized score RSP percentile RSP Factor DNA TM th 1.9% 1.9% th 24.2% 22.5% nd $48.5B $213.7B st nd th - - Invesco Equal Weight ETF Source: FactSet Research Inc. and Invesco, as of June 30, Past performance does not guarantee future results. 8
9 Factor implementation All portfolios exhibit factor tilts. Understanding and intentionally seeking a diversified portfolio based on factor blends may allow investors to better target important drivers of return. As an example, consider a portfolio that equally weights low atility, quality, value, momentum dividend, and small as in the chart below. Equal weight factor portfolio Volatility Enhanced US Dollar Gross Total Return Volatility High Equal Weighted USD Total Return For illustrative purposes only. Factor DNA Blending the six factors equally results in increased exposure to everything except momentum and quality versus the benchmark. Six Factor Equal Weight For illustrative purposes only. Factor scores Equal weight normalized score Equal weight percentile Equal weight th 2.3% 1.9% rd 21.8% 22.5% th $122.8B $213.7B th rd th - - Source: FactSet Research Inc. and Invesco, as of June 30, Past performance does not guarantee future results. An investment cannot be made directly into an index. Please see the key on page 11 for an explanation of the methodology, Factor DNA TM chart and other important information. 9
10 Factor implementation (continued) The equal weight factor portfolio has a 64.9% overlap with the with a 35.1% difference from the. Statistics Volatility Up capture Down capture Alpha Sharpe Beta Tracking error Information ratio Equal weight factor portfolio 11.4% 93% 93% 0.29% % % 100% 100% 0.00% % NA Performance Month-to-date Year-to-date One-year Since inception Equal weight factor portfolio 0.7% 1.3% 11.9% 13.3% 0.6% 2.6% 14.4% 14.0% Equal weight factor portfolio sector weights versus Six factor equal weight portfolio 10.0% 8.0% 6.4% Minimum overlap of six factor equal weight portfolio versus Difference from the 80% 6.0% 4.0% 2.6% 4.4% 60% 64.9% 2.0% 0.0% 0.3% 0.5% 0.4% 0.7% 40% 35.1% -2.0% -4.0% -6.0% -8.0% -1.1% -2.0% -4.8% -7.5% 20% 0% For illustrative purposes only % -12.0% Consumer disc Consumer staples Energy Financials Health care Industrials Info tech Materials Real estate Telecom Utilities Source: Bloomberg L.P., as of June 30, Past performance does not guarantee future results. 10
11 Factors by funds key Methodology The Factor DNA TM chart plots the difference in the fund's normalized score for each factor, in standard deviations, relative to the with a range of -1.5 to 1.5. The serves as the baseline and is plotted at zero. The factor scores are first calculated for every stock within the starting universe, the Russell 3000 and Russell Global ex-us. Factor scores are normalized using z-scores with a mean of zero and a standard deviation of one. The factor definitions are as follows: Annualized 252-day standard deviation of the stock s price. er standard deviations receive a higher factor exposure score. Total dividends paid by the stock over the past 12 months divided by its current price. Each fundamental ratio is standardized using a z-score relative to its universe before averaging (return on equity - accruals ratio - debt to common equity) / three. Each fundamental ratio is standardized using a z-score relative to its universe before averaging (earnings/price + book value/price + sales/price) / three. 12-month return excluding the most recent month. The return is risk adjusted using the standard deviation of daily price returns over the past year. Stock s market capitalization in USD. er market capitalization companies receive a higher factor exposure score. The normalized score shows the number of standard deviations the fund s factor exposure is from the. Percentile is the percent of companies that have a lower factor score than the average company in a portfolio. For example, a portfolio that is at the 60th percentile for the value factor has a greater or equal value exposure than 60% of companies in the. The weighted average column shows the weighted average atility, beta, dividend and market capitalization of companies within the portfolio. Factor DNA TM ETFs with the highest scores by factor Factor normalized Factor Fund score Percentile SPLV rd SPHD th SPHQ th 0.0 SD -1.5 SD SPVU th SPMO st RSP nd +1.5 SD SD = standard deviation For illustrative purposes only. 11
12 Important risk information for all funds There are risks inved 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 short selling and margin maintenance. Ordinary brokerage commissions apply. The fund s return may not match the return of the underlying index. The opinions expressed are based on current market conditions and are subject to change without notice. These opinions may differ from those of other Invesco investment professionals. There is no assurance that the Funds will provide low atility. Factor investing is an investment strategy in which securities are chosen based on certain characteristics and attributes. Investments focused in a particular industry or sector are subject to greater risk, and are more greatly impacted by market atility, than more diversified investments. Securities that pay high dividends as a group can fall out of favor with the market, causing such companies to underperform companies that do not pay high dividends. Shares are not individually redeemable and owners of the 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. Note: Not all products available through all firms. 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 Funds call or visit invesco.com for prospectus/ summary prospectus. ETF Global Products & Research team Lorraine Wang, CFA, Global Head of ETF Products & Research Jason Bloom, Director ETF Global Markets Strategist Jason Stoneberg, CFA, Director of Research and Product Development John Boese, Product Development Manager John Feyerer, CFA, Director of Equity ETF Product Strategy Nick Kalivas, Sr. Equity ETF Product Strategist Mike Paull, Fixed Income Product Strategist Tim Urbanowicz, CFA, Sr. Fixed Income Product Strategist Brad Smith, Sr. ETF Research Analyst Keegan Ovitt, ETF Research Analyst How to contact Invesco: p: w: invesco/us.com Authors of the Factor Dashboard Jason Stoneberg, CFA, Director of Research and Product Development Keegan Ovitt, ETF Research Analyst Brad Smith, Sr. ETF Research Analyst 12
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14 P-FACTORD-MR-1 US /18 Invesco Distributors, Inc. invesco.com/us
DNA. Factor Dashboard August Factor. A monthly recap of factor trends In this report: Factor in focus Low volatility.
Factor Dashboard August A monthly recap of factor trends In this report: Factor in focus Factor snapshot Factors by funds Factor implementation Factor DNA Not FDIC Insured May Lose No Bank Guarantee For
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