Invesco Multi-Factor Large Cap Index Methodology April 2018
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1 Invesco Multi-Factor Large Cap Index Methodology April 2018
2 Invesco Multi-Factor Large Cap Index Methodology Table of Contents Description 3 Updates 4 Calculation Agent 5 Corporate Events 5 Index Policy 6 Governance 6 Return Types and Tickers 6 Index Information and Data Dissemination 7 2
3 Description Overview The Invesco Multi-Factor Large Cap Index ( the Index ) seeks to identify attractive companies with strong performance potential via a multi-factor approach while maintaining similar sector exposures to the S&P 500 Index. The Index contains approximately 50 stocks selected based on several fundamental and non-fundamental factors. The use of multiple diversifying factors is intended to provide more consistent performance as compared to single factor strategies that inherently experience cycles of underperformance when a particular factor is out of favor. Security Selection The universe for the Index is the set of securities that comprise the S&P 500 Index. For each stock in the universe, seven factors are calculated: value, growth, quality, momentum, short interest, volatility and liquidity. A composite score is computed as a weighted average of the seven factor scores. Value, growth and quality are each weighted 20%. Momentum, short interest, volatility and liquidity are weighted 10%. In the event of missing data for a stock, the composite score is calculated on a pro-rata basis for that stock. The stocks with the highest composite scores within each sector are selected with the number of stocks in each sector reflecting the sector weights of the S&P 500 Index. Security Weighting Each security in the Index is equally weighted. History The Index was launched on March 31, 2017 under the name Guggenheim Multi-Factor Large-Cap Index. Invesco Indexing acquired the Index in April 2018 and renamed the Index Invesco Multi- Factor Large Cap Index. History is available for the Index since its base date of December 31, The base value of the Index is
4 Updates The Index is rebalanced eight business days into each quarter (January, April, July, and October). Index Key Dates The key dates are outlined in the table below. The Index Review Team (see Governance on page 6) may change these dates for reasons including market holidays. Any such changes will be publicly announced with as much advance notice as possible under the circumstances. All events take place after the close. Event Day Description Reference Date First business day of the quarter Data is captured for Index construction Pro-Forma Date Effective Date Third business day prior to effective day Eighth business day into each quarter Preliminary Index weights begin to be distributed to Index subscribers Rebalanced Index weights are finalized 4
5 Calculation Agent The calculation agent for the Index ( the Calculator ) is S&P Dow Jones Indices (SPDJI). The Calculator updates the Index at Rebalance Months and updates daily Index weights between Rebalance Months based on price changes and corporate events (see Corporate Events section below). It distributes Index data to Invesco Indexing and major index data distribution partners (see Index Information and Data Dissemination on page 7). Corporate Events The Calculator identifies and adjusts for corporate events based on the following policy. Corporate Events Rights Offer Spin-off Deletion Special Dividends Stock Split Index Adjustments If the rights are in the money, the Index shares of the underlying security will be adjusted on the ex-date to offset the price adjustment of the underlying in the market due to the rights offering. The Index divisor will not be adjusted as the Index market cap of the Index constituent will not change. Standard SPDJI zero price spin-off policy for US stocks applies. All spin-off companies are added to the Index at a zero price on the exdate of the event with no divisor adjustment. If the spin-off will not remain in the parent S&P 500 Index: the spin-off will be dropped from the Index on the trading date following the ex-date of the event and its weight will be redistributed to the parent company. If the spin-off is replacing the parent company in the parent S&P 500 Index: on the effective date of the replacement, the weight of the parent is redistributed to the spin-off. For more information on spin-offs, please refer to the Treatment of Spin-Offs in the S&P Dow Jones Indices Equity Indices Policies & Practices document. Companies delisted as a result of merger, acquisition or other corporate actions are removed at the time they are removed from the S&P 500 Index, normally at the close of the last day of trading or expiration of a tender offer. There is no replacement to the Index. The weights are redistributed among remaining companies across the entire Index. The price of the stock making the special dividend payment is reduced by the per-share special dividend amount after the close of trading on the day before the dividend ex-date. Index shares are multiplied by and price is divided by the split factor. Divisor Change? N N Y Y N As mentioned above in the Calculation Agent section, the Calculator manages corporate actions for this index using its standard corporate action framework and its divisor index methodology. For additional details, please refer to Invesco Indexing Corporate Event Methodology, at 5
6 Index Policy The Index follows the general index policies of the Calculator as described below. Announcements All Index constituents are evaluated daily for data needed to calculate Index levels and returns. All events affecting the daily index calculation are typically announced in advance via the Index Corporate Events report (.SDE) delivered daily via FTP to all clients. Any unusual treatment of corporate events or short notice of an event may be communicated via to Index clients. Best efforts are made to announce any changes to Index methodology well ahead of time via the Invesco Indexing website and via to all Index clients. Pro-Forma Files In addition to the corporate events file (.SDE), Invesco Indexing provides constituent pro-forma files (PRO.SDC) each time the Index rebalances. The pro-forma file is typically provided daily in advance of the rebalancing date and contains all constituents and their corresponding weights effective for the upcoming rebalancing. The actual weight of each stock at the Index rebalance typically differs from the pro-forma weights due to market movements. Holiday Schedule The Index is calculated daily, throughout the calendar year. The only days the Index is not calculated are on days when all exchanges where the Index s constituents are listed are officially closed. Governance The Index is managed by the Index Review Team (IRT). The IRT consists solely of members of Invesco Indexing. The IRT meets at least annually to review and revise index methodology described in this document as appropriate. The IRT meets at least quarterly to review additions and deletions to the Index. All changes to the Index on Rebalance Months are subject to the approval of the IRT, and the IRT may make adjustments to the Index at its discretion when such changes are reasonable. Return Types and Tickers The Calculator computes two return types for the Index on a daily basis: price return and total return. The total return index assumes dividends are reinvested in the Index after the close on the ex-date. Return Type Price Return Total Return Bloomberg Ticker IIMFI IIMFITR 6
7 Index Information and Data Dissemination Data Vendors Daily index levels for all return types are available from major quote vendors and at Intraday index levels are available for the price return index only. FTP Daily constituent data and index level data are available via the Invesco Indexing secure FTP site for index subscribers. Please contact Invesco Indexing customer service at for more information. File Types The Invesco Indexing secure FTP site for index subscribers will distribute the standard overnight index files from the Calculator. These include: File Description Index Levels Constituent Details Close Constituent Details Adjusted Close Constituent Details Pro-forma Corporate Events File Extension.SDL CLS.SDC ADJ.SDC PRO.SDC.SDE Website Index information is available on the Invesco Indexing website at 7
8 The information provided is for informational purposes only and should not be construed as an offer to buy or sell any financial instruments, or a recommendation for any security or fund interest. Invesco Indexing LLC is not an investment adviser or fiduciary and makes no representation regarding the advisability of investing in any security or strategy. There can be no assurance that an investment strategy based on the Invesco Indexes will be successful. Indexes are unmanaged and it is not possible to invest directly in an index. Exposure to an asset class or trading strategy represented by an index is only available through investable instruments (if any) based on that index. Invesco Indexing LLC does not issue, sponsor, endorse, market, offer, review or otherwise express any opinion regarding any fund, derivative or other security, financial product or trading strategy that is based on, linked to or seeks to track the performance of any Invesco Indexing LLC. index. Invesco Indexing LLC has contracted with S&P Dow Jones Indices LLC or its affiliate ( S&PDJI ) to maintain and calculate the Invesco Multi-Factor Large Cap Index. The S&P 500 is the property of S&PDJI and/or their third party licensors and has been licensed by S&PDJI for use by Invesco Indexing, LLC in connection with the index. S&PDJI shall have no liability for any errors or omissions in calculating the indexes. Invesco Indexing LLC 2018 All Rights Reserved invescoindexing.com USG35
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