Active, passive or a third way?

Transcription

1 Active, passive or a third way?

2 Georg Elsaesser, Senior Portfolio Manager

3 Learning objectives Weathering the factor investing jungle sorting terminology Why factor strategies are active in nature What to look at when selecting factor strategies Advantages of explicit active management How factor investing can help every investor

4 Invesco Quantitative Strategies Over 30 years of experience in factor-based investing Managing more than GBP 27bn Invesco Enhanced Index investing for over 20 years Total AuM GBP 2bn in Enhanced Index Funds and mandates U.S. Market Neutral Equity European Core UK Enhanced Index Global Market Neutral* U.S. Quantitative Core U.S. Enhanced Index Global Quantitative Core European Enhanced Index Global Enhanced Index Emerging Markets Source: Invesco as at 30 September This is a representative list of products managed by Invesco Quantitative Strategies and is not inclusive of all products offered. Balanced Solutions mandates are managed in conjunction with Invesco s Global Asset Allocation investment team. *Global Market Neutral is a component of Global Absolute Return Strategy.

5 Factor Investing

6 What makes a stock attractive? Valuation: Attractive stock price relative to earnings and cash generating ability Earnings: Improving expectations suggest further upside surprises Management & Quality: Support shareholder value and are evidence of relative strength Market Sentiment: Positive momentum consistent with further upside

7 What is a factor? A factor is a quantifiable characteristic of an asset Value Momentum Quality Size Factors explain (to a large part) the return and risk characteristics of a portfolio

8 Performance of common factor strategies MSCI World factor indices and MSCI World Many factor strategies have delivered strong performance over the years And many of them have beaten the MSCI World benchmark 0 Dec-97 Dec-99 Dec-01 Dec-03 Dec-05 Dec-07 Dec-09 Dec-11 Dec-13 Dec-15 World Value Momentum Quality Min Vol High DY Equal Wgt Source: Invesco, MSCI as of 30 September Chart is rebased to 100 at 31 December All of the factor indices shown have been created comparatively recently, and therefore, contain elements of hindsight as well as selection bias. Please see slide 36 for further information on MSCI factor indices.

9 Why we expect to earn a factor premium Risk Premiums Behavioural Rationales

10 The case for multi-factor investing Single factors have outperformed but only in the long run MSCI World factor indices and MSCI World 80% 60% 40% 20% 0% -20% -40% Dec-97 Dec-99 Dec-01 Dec-03 Dec-05 Dec-07 Dec-09 Dec-11 Dec-13 Dec-15 Value Momentum Quality Min Vol High DY Equal Wgt While many factor strategies have outperformed strongly in the long run, They may underperform strongly in the short to medium term, But not all of them at the same time! Hence potential for diversification Source: Invesco, MSCI as of 30 September Chart is rebased to 31 December All of the factor indices shown have been created comparatively recently, and therefore, contain elements of hindsight as well as selection bias. Please see slide 36 for further information on MSCI factor indices.

11 The case for multi-factor investing Diversified active multi-factor approaches may generate much more stable relative returns MSCI World factor indices and Invesco Global Enhanced Institutional composite relative to MSCI World 35% 30% 25% 20% 15% 10% 5% 0% -5% -10% -15% Jul-05 Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 Jul-17 Value Momentum Quality Min Vol High DY Equal Wgt Factor Mix Invesco Global Enhanced Past performance is not a guide to future returns. Source: Invesco, MSCI as of 30 September Performance is gross of fees and in USD and is supplemental to the Invesco Global Enhanced Institutional composite performance, which includes net of fee performance with historically higher fees, in the full GIPS disclosures in appendix. Dotted lines indicate simulated/back tested parts of track records. All of the factor indices shown have been created comparatively recently, and therefore, contain elements of hindsight as well as selection bias. Please see slide 36 for further information on MSCI factor indices. While many factor strategies have outperformed strongly in the long run, They may underperform strongly in the short to medium term, But not all of them at the same time! Hence potential for diversification

12 Conclusion Aiming at stable relative returns at attractive cost, avoiding drawdowns, that can compound substantially over time Multi-factor strategies can balance the volatility of single factor strategies and avoid timing issues Actively managed diversified multi-factor strategies may be considered attractive replacements for passive investments Invesco Perpetual Enhanced Index Funds follow an active, strictly riskmanaged integrated multi-factor approach Source: Invesco.

13 Enhanced Index Funds

14 Common characteristics of Enhanced Index funds Seeking small but reliable extra returns over a benchmark that can compound substantially over time Index-like experience: Broadly the same top-down profile as the benchmark (low tracking error, beta=1) Seeks reliable extra returns for reasonable fees A potentially attractive active alternative to passive Systematic and factor-based investment approach Source: Invesco. 30 September 2017.

15 Active stock selection using a multi-factor model Stock Selection Universe Concepts Earnings Expectations Market Sentiment Management & Quality Value How are expectations changing? What is market sentiment telling us? What is management doing? How attractive are valuations? Factors 1 Quantifiable Predictive Complementary Earnings Momentum Earnings Revisions Cash Flow Surprise Revisions Against Trend Price Momentum Long-Term Reversal Short Term Reversal Short Interest Net External Financing Net Asset Growth Capital Efficiency Fundamental Health Score Liability Payback Horizon Cash Flow Yield Gross Profit Yield Earnings Yield Dividend Yield Stock Return Forecast Source: Invesco as at 30 September For illustrative purposes only. 1 Not all factors are used in all regions and sub-models. Additional factors are used in specific sub-models and definitions may vary across regions.

16 Multi-Factor The Third Way Index tracker Multi factor enhanced strategies Traditional active Beta=1 Market vola Very low TE Beta=1 Market vola Low TE Beta<>1 Vola<> market High TE Very low turnover and trading costs Low turnover and trading costs Higher turnover/ trading costs Passive, no risk management Active money in factors Conviction driven Underperformance after costs Target stable outperformance over time Target high outperformance Underperformance after costs High information ratio Volatility in active returns Source: Invesco, for illustrative purposes only.

17 Invesco Perpetual Enhanced Index Funds One fund for each major region UK IP UK Enhanced Index Fund Global ex UK IP Global ex UK Enhanced Index Fund US Launch new fund Europe ex UK Launch new fund Name IP UK Enhanced Index Fund IP Global ex UK Enhanced Index Fund IP US Enhanced Index Fund IP European ex UK Enhanced Index Fund Objective The Fund aims to achieve long term capital growth and outperform the FTSE All Share ex Investment Trusts Index (net total return) by investing primarily in a portfolio of investments in UK companies. The Fund aims to achieve long term capital growth and outperform the MSCI World ex UK Index (net total return) by investing primarily in a portfolio of investments in global companies, excluding the UK. The Fund aims to achieve long term capital growth and outperform the S&P500 Index (net total return) by investing primarily in a portfolio of investments in US companies. The Fund aims to achieve long term capital growth and outperform the MSCI Europe ex UK Index (net total return) by investing primarily in a portfolio of investments in European companies, excluding the UK. Launch Date 10/05/2003* 25/05/ /07/ /07/2016 Share classes Acc & Inc Acc & Inc Acc & Inc Acc & Inc IA sector UK All Companies Global North America Europe ex UK Asset allocation UK equities Global equities ex UK US equities Europe equities ex UK Benchmark FTSE All Share ex IT MSCI World ex UK (net) S&P500 MSCI Europe ex UK OCF Acc no trail: 25bps Z-shares acc: 24bps Y-shares acc: 23bps Acc no trail: 25bps Z-shares acc: 24bps Y-shares acc: 23bps Acc no trail: 25bps Z-shares acc: 24bps Y-shares acc: 23bps Acc no trail: 25bps Z-shares acc: 24bps Y-shares acc: 23bps Source: Invesco as at 30 September For further information please refer to the funds prospectus. *The original fund launch took place on the 16 February From 10 May 2003, the fund became an Enhanced Index product with its benchmark being the FTSE All-Share (ex. Investment Trusts) Index, consistent with the fund's investment objective. OCF = Ongoing Charge of Fund.

18 Summary learning outcomes Weathering the factor investing jungle sorting terminology Why factor strategies are active in nature What to look at when selecting factor strategies Advantages of explicit active management How factor investing can help every investor Source: Invesco. 30 September 2017.

19 Appendix

20 Invesco Perpetual UK Enhanced Index Fund Gross performance since inception / / / / / / / / / /2016 Invesco Perpetual UK Enhanced Index Fund (gross) FTSE All Share ex Investment Trusts Annualised periods through September 2017 (%) 1 year 3 year 5 year 10 years Past performance is not a guide to future returns. Source: Invesco as at 30 September Performance is gross of fees. Fund performance figures are shown in sterling, inclusive of reinvested income, gross of the Ongoing Charge and net of portfolio transaction costs. The figures do not reflect the entry charge paid by individual investors. Benchmark figures are total return, in GBP. Please see Net Performance slides (31-34) for the impact of all fund charges. * From 10th May 2003, the fund became an Enhanced Index product with its benchmark being the FTSE All- Share (ex. Investment Trusts) Index, consistent with the fund's investment objective. Chart rebased to 100 at 30 April Since 10/05/2003* IP UK Enhanced Index Fund FTSE All Share ex Investment Trusts Excess Return

21 Invesco Perpetual UK Enhanced Index Fund Gross outperformance in 8 out of 13 years Calendar years (in %) YTD * Invesco Perpetual UK Enhanced Index Fund (gross) FTSE All Share ex Investment Trusts Past performance is not a guide to future returns. Source: Invesco as at 30 September Performance is gross. Fund performance figures are shown in sterling, inclusive of reinvested income, gross of the Ongoing Charge and net of portfolio transaction costs. figures do not reflect the entry charge paid by individual investors. Benchmark figures are total return, in GBP. Please see Net Performance slides (31-34) for the impact of all fund charges. * Shows performance since 10 May From 10 May 2003, the fund became an Enhanced Index product with its benchmark being the FTSE All-Share (ex. Investment Trusts) Index, consistent with the fund's investment objective.

22 Invesco Perpetual Global ex UK Enhanced Index Fund Gross performance since inception / / / / / / / /2016 Invesco Perpetual Global ex UK Enhanced Index Fund MSCI World ex UK net return index Annualised periods through September 2017 (%) 1 year 3 years 5 years 10 years Inception 25/05/2006 IP Global ex UK Enhanced Index Fund MSCI WORLD ex UK net return index Excess Return Past performance is not a guide to future returns. Source: Invesco as at 30 September Performance is gross of fees. Fund performance figures are shown in sterling, inclusive of reinvested income, gross of the Ongoing Charge and net of portfolio transaction costs. The figures do not reflect the entry charge paid by individual investors. Benchmark figures are total return, in GBP. Please see Net Performance slides (31-34) for the impact of all fund charges. Chart rebased to 100 at 30 April 2006.

23 Invesco Perpetual Global ex UK Enhanced Index Gross outperformance in 9 out of 10 years Calendar years (in %) YTD * Invesco Perpetual Global ex UK Enhanced Index Fund MSCI World ex UK net return index Past performance is not a guide to future returns. Source: Invesco as at 30 September Performance is gross. Fund performance figures are shown in sterling, inclusive of reinvested income, gross of the Ongoing Charge and net of portfolio transaction costs. The figures do not reflect the entry charge paid by individual investors. Benchmark figures are total return, in GBP. Please see Net Performance slides (31-34) for the impact of all fund charges. * since inception of fund on 25 May 2006.

24 Investment process overview How we build the optimal portfolio Stock Return Forecast Stock Risk Forecast Transaction Cost Forecast Optimisation through GPMS 1 Portfolio Guidelines & Constraints Final Portfolio Manager Review Portfolio 1 Global Portfolio Management System. For illustrative purposes only.

25 Portfolio guidelines Tracking error budget is targeted on stock selection IP UK Enhanced Index Fund IP European ex UK Enhanced Index Fund IP Global ex UK Enhanced Index Fund IP US Enhanced Index Fund Target Tracking Error 1 1.5% 1.0% 1.0% 1.0% Max Individual Position 2 ±1.5% ±1.0% ±1.0% ±1.0% Max Weight on 0% 10.0% 10.0% 10.0% Non-Benchmark Names 2 Max Sector Exposure 2 ±1.0% ±1.0% ±1.0% ±0.5% Max Industry Exposure² ±1.5% ±1.0% ±1.0% ±0.5% Max Country Exposure 2 ±1.5% ±1.0% ±1.0% n.a. Max Beta Exposure Source: Invesco as at 30 September This is an internal guideline only and is not part of the official objective of the fund. May be subject change. 2 At rebalancing. These are internal guidelines only and may be subject to change.

26 Investment concepts tailored by context To better reflect unique drivers of return Concept Weights by Region Weight on Concept 100% 80% 60% 40% 20% 0% EU ex UK UK USA Japan Australia Earnings Expectations Market Sentiment Management & Quality Value Within region, stock rankings are made on an industry-neutral basis to provide fair comparisons. Source: Invesco as of 30 September Weights and factors subject to change at the discretion of the investment team.

27 Our model differentiates stocks within industry within region Example of the global Capital Goods industry Company Region Earnings Expectations Market Sentiment Management & Quality Value Stock Return Forecast Overall attractiveness (on scale 1-10) GAMESA TECNOLOGICA Europe ex UK GEORG FISCHER Europe ex UK VOLVO Europe ex UK OUTOTEC Europe ex UK INTERSERVE UK KELLER UK BALFOUR BEATTY UK MELROSE UK NORTHROP GRUMMAN US ALLIANT TECHSYSTEMS US FASTENAL US TRIUMPH US TAKUMA Japan TAKASAGO THERMAL ENGINEERING Japan OKUMA Japan MONOTARO Japan HILLS Australia RCR TOMLINSON Australia AJ LUCAS Australia BOART LONGYEAR Australia YANGZIJIANG SHIPBUILDING Rest of World ELBIT SYSTEMS Rest of World JARDINE Rest of World WESTPORT INNOVATIONS Rest of World LS EM SHANGHAI MECHANICAL AND ELECTRICAL INDUSTRY EM BERLI JUCKER EM MALAYSIA MARINE AND HEAVY ENGINEERING EM Source: Invesco as of 31 December For illustrative purposes only. Stock attractiveness on a scale from 1 (best) to 10 (worst).

28 Our model differentiates stocks within industry within region Example of Consumer Durables and Apparel in Europe Example: Consumer Durables and Apparel in Continental Europe Stock attractiveness (Alpha) PRADA SALVATORE FERRAGAMO KERING HUGO BOSS TODS FIN RICHEMONT NAMEN A HUSQVARNA B HERMES INTERNATIONAL SWATCH GROUP INH MONCLER SPA LVMH MOET HENNESSY JM LUXOTTICA GROUP SWATCH GROUP NAM ELECTROLUX B TOMTOM DIOR (CHRISTIAN) FISKARS AMER SPORTS A DE'LONGHI ADIDAS FORBO HOLDING SEB NOBIA PANDORA Earnings Expectations Market Sentiment Management & Quality Value Source: Invesco as at 31 December This is for illustrative purposes only.

29 Multi-factor enhanced is more than just allocating to the most attractive stocks 1 Factors 2 * ** Two optimisation objectives: 1. Tightly constrain deviation risks from benchmark 2. Focus on stock factors when moving away from the benchmark Source: Invesco. For illustrative purposes only. * Shows Top 20% of the IQS Global Research Investment Universe which consists of over 3000 stocks globally. ** Shows typical tracking error composition for portfolios managed in accordance with the Invesco Global Enhanced Strategy and may vary due to specific investment restrictions and guidelines.

30 Two approaches to active management: stylised active weights relative to a benchmark 1 High Conviction 15% 10% 5% 0% # of Holdings: Very High Active Money High Tracking Error 2 Diversified Multi-Factor # of Holdings: 1.0% 0.5% 0.0% Momentum Earnings Quality Value High Active Money Low Tracking Error Source: Invesco, stylised representation, for indicative purposes only.

31 Invesco Perpetual UK Enhanced Index Fund Net performance Calendar years (in %) YTD * Invesco Perpetual UK Enhanced Index Fund FTSE All Shares ex Investment Trust Past performance is not a guide to future returns. Source: Lipper as at 30 September Fund performance figures are based on the Z (accumulation) share class. As this was launched on 12 November 2012, for the periods prior to this launch date, performance figures are based on the Income share class, without any adjustment for fees. Performance figures for all share classes can be found in the relevant Key Investor Information Document. Fund performance figures are shown in sterling, inclusive of reinvested income and net of the Ongoing Charge and portfolio transaction costs. The figures do not reflect the entry charge paid by individual investors. Benchmark: net return, in sterling. * From 10th May 2003, the fund became an Enhanced Index product with its benchmark being the FTSE All-Share (ex. Investment Trusts) Index, consistent with the fund's investment objective.

32 Invesco Perpetual Global ex UK Enhanced Index Fund Net performance Calendar years (in %) YTD * Invesco Perpetual Global ex UK Enhanced Index Fund MSCI World ex UK - net return Index Past performance is not a guide to future returns. Source: Lipper as at 30 September * Since inception of fund on 25 May Fund performance figures are based on the Z (accumulation) share class. As this was launched on 12 November 2012, for the periods prior to this launch date, performance figures are based on the Income share class, without any adjustment for fees. Performance figures for all share classes can be found in the relevant Key Investor Information Document. Fund performance figures are shown in sterling, inclusive of reinvested income and net of the Ongoing Charge and portfolio transaction costs. The figures do not reflect the entry charge paid by individual investors. Benchmark: net return, in sterling.

33 Invesco Perpetual European ex UK Enhanced Index Fund Net performance / / / / / / /2017 Invesco Perpetual European ex UK Enhanced Index MSCI Europe exuk Index-NR Annualised periods through September 2017 (%) YTD 1 year Since 28/07/2016* IP European ex UK Enhanced Index Fund MSCI Europe ex UK Index Excess Return Past performance is not a guide to future returns. Source: Lipper as at 30 September Fund performance figures are based on the Z (accumulation) share class. Performance figures for all share classes can be found in the relevant Key Investor Information Document. Fund performance figures are shown in sterling, inclusive of reinvested income and net of the Ongoing Charge and portfolio transaction costs. The figures do not reflect the entry charge paid by individual investors. Benchmark: net return, in sterling. * inception date 28 July 2016.

34 Invesco Perpetual US Enhanced Index Fund Net performance / / / / / / /2017 Invesco Perpetual US Enhanced Index Fund S&P 500 Annualised periods through September 2017 (%) YTD 1 year Since 28/07/2016* IP US Enhanced Index Fund S&P 500 Net Excess Return Past performance is not a guide to future returns. Source: Lipper as at 30 September Fund performance figures are based on the Z (accumulation) share class. Performance figures for all share classes can be found in the relevant Key Investor Information Document. Fund performance figures are shown in sterling, inclusive of reinvested income and net of the Ongoing Charge and portfolio transaction costs. The figures do not reflect the entry charge paid by individual investors. Benchmark: net return, in sterling. * inception date 28 July 2016.

35 Invesco Global Enhanced Institutional Composite Schedule of investment performance (1) Net rate of return (%) Net rate of return (%) Benchmark return (%) Composite 3-Yr Ann St Dev (%) Benchmark 3-Yr Ann St Dev (%) No. of portfolios Composite assets (GBP mn) Total firm assets 1 (GBP bn) Composite dispersion (%) (0.01) (0.87) n/a n/a n/a n/a 2011 (4.08) (4.46) (5.54) n/a n/a n/a 2008 (38.15) (38.40) (40.71) n/a n/a n/a n/a Annualised compound rates of return ending 31 December year years years Since inception (31/08/2005) Past performance is not a guide to future returns. Invesco Worldwide has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS ). The composite creation date is 7 July Refers to Note 1 on next slide.

36 Invesco Global Enhanced Institutional Composite Performance Notes: GIPS Compliant Invesco Worldwide claims compliance with the Global Investment Performance Standards (GIPS ) and has prepared and presented this report in compliance with the GIPS standards. Invesco Worldwide has been independently verified for the periods 1 st January 2003 thru 31st December The legacy firms that constitute Invesco Worldwide have been verified since 2001 or earlier. The verification reports are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firmwide basis and (2) the firm s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. Notes: 1. Invesco Worldwide ( The Firm ) manages a broad array of investment strategies around the world. The Firm comprises U.S.-based Invesco Advisers, Inc. (excluding Unit Investment Trusts) and all wholly owned Invesco firms outside of North America. All entities within the Firm are directly or indirectly owned by Invesco Ltd. Invesco Canada Ltd. is also a GIPS-compliant firm whose assets are managed by a subsidiary of Invesco Ltd. Invesco Senior Secured Management, Inc. Invesco Private Capital, Inc. Invesco and PowerShares Capital Management LLC are also affiliates of the Firm. Each is an SECregistered investment adviser and is marketed as a separate entity. Invesco Great Wall Fund Management Co. Ltd is a fund management company established under China Securities Regulatory Commissions approval. Their assets are excluded from total Firm assets. During 2012 new guidance was issued requiring firm assets be calculated net of leverage. This guidance will be applied for years ending 2012 and forward. 2. The Global Enhanced - Institutional product contains institutional accounts that target to achieve a positive long-term return, relative to an appropriate benchmark, that is competitive, consistent, and predictable, with low volatility (ex post tracking error target 2.5% or less). Appropriate benchmarks in this context are those that reflect a global investment universe and include markets from all of the following regions: North America, Europe including the UK and Asia/Pacific; the US market must also be part of such a benchmark. The benchmark can be either All Country or Developed Markets. The process is focused on maximizing return by integrating a sharp focus on the three critical components of investment performance: return, risk, and transaction costs. 3. The Composite returns are benchmarked to the MSCI The World Index (net return). The benchmark is used for comparative purposes only and generally reflects the risk or investment style of the product. Investments made by the Firm for the portfolios it manages according to respective strategies may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark. Accordingly, investment results and volatility will differ from those of the benchmark. 4. Valuations and portfolio total returns are computed and stated in U.S. Dollars. The Firm consistently values all portfolios each day on a trade date basis. Portfolio level returns are calculated as timeweighted total returns on daily basis. Accrual accounting is used for all interest and dividend income. Past performance is not an indication of future results. 5. Carve-outs from multi-asset class portfolios are included within this composite. Cash is allocated to the constituent equity segment carve-out returns to arrive at a total return for each portfolio. Prior to December 31, 2006, the cash allocation was based on 12 month moving average of representative equity-only portfolios managed according to the same strategy. Effective January 1, 2007, carve-out returns are calculated by allocating cash according to the target cash position for the strategy. Carve-outs comprised 100% in 2006, and 50% in 2007, 2008, and 2009, all as of 31 December. 6. Composite dispersion is measured by the standard deviation across asset-weighted portfolio returns represented within the composite for the full year. It is considered not meaningful for composites with fewer than three portfolios during the year. The three-year annualized standard deviation measures the variability of the composite and the benchmark returns over the preceding 36 months. The standard deviation is not presented when there is less than 36 months.

37 Invesco Global Enhanced Institutional Composite Performance Notes: GIPS Compliant (CONTINUED) 7. The significant cash flow policy for this composite requires the temporary removal of portfolios for the period impacted when external cash flows equal or exceed 200% for inflows or 67% for outflows. This policy applies to all composites managed in Frankfurt by the Invesco Global Quantitative Equity team except single-account composites where the performance track record would otherwise be interrupted. Prior to January 1, 2007 portfolios were removed from composites when external cash flows were 10% or more. 8. Gross-of-fee performance results are presented before management and custodial fees but after all trading commissions and withholding taxes on dividends, interest and capital gains, when applicable. Netof-fee performance results are calculated by subtracting the highest tier of our published fee schedule for the product from the monthly returns. The management fee schedule is as follows: 40 basis points on the first $50 million 35 basis points on the next $50 million 30 basis points on the next $100 million 25 basis points on the next $200 million Negotiable thereafter 9. The minimum portfolio size for the Composite is $5,000, The composite creation date is July 7, Foreign currency exchange rates for calculation of the composite and benchmark are based on the WM/Reuters Closing Spot Rates TM that are fixed at approximately 4:00 p.m. London time. 12. The benchmark is net of withholding tax based the maximum tax rate applicable to institutional investors. The composite returns are net of withholding taxes based on actual withholding taxes deducted from the individual portfolios in the composite. Withholding taxes deducted from portfolios in the composite may vary depending on domicile of the individual clients. 13. A complete list of composite descriptions is available upon request. Policies for valuing portfolios, calculating performance, and preparing compliant presentations is available upon request.

38 MSCI factor indices The MSCI World Index was launched on 31 March The MSCI World Value Weighted Index was launched on 07 December The MSCI World Momentum Index was launched on 11 December The MSCI World Sector Neutral Quality Index was launched on 11 August The MSCI World Minimum Volatility (USD) Index was launched on 14 April The MSCI World High Dividend Yield Index was launched on 31 October The MSCI World Equal Weighted Index was launched on 22 January The MSCI World Factor Mix A-Series Index was launched on 11 July Data prior to the launch dates are back-tested data (i.e. calculations of how the index might have performed over that time period had the index existed). There are frequently material differences between back-tested performance and actual results. Past performance whether actual or back-tested is no indication or guarantee of future performance.

39 Important information This document is for Professional Clients in the UK only and is not for consumer use. Please do not redistribute. The value of investments and any income will fluctuate (this may partly be the result of exchange rate fluctuations) and investors may not get back the full amount invested. Past performance is not a guide to future returns. Where individuals or the business have expressed opinions, they are based on current market conditions, they may differ from those of other investment professionals and are subject to change without notice. This document is marketing material and is not intended as a recommendation to invest in any particular asset class, security or strategy. Regulatory requirements that require impartiality of investment/investment strategy recommendations are therefore not applicable nor are any prohibitions to trade before publication. The information provided is for illustrative purposes only, it should not be relied upon as recommendations to buy or sell securities. The Invesco Perpetual UK Enhanced Index, Global ex UK Enhanced Index, US Enhanced Index and European ex UK Enhanced Index funds may use derivatives (complex instruments) in an attempt to reduce the overall risk of its investments, reduce the costs of investing and/or generate additional capital or income, although this may not be achieved. The use of such complex instruments may result in greater fluctuations of the value of the fund. The Manager, however, will ensure that the use of derivatives within the fund does not materially alter the overall risk profile of the funds. Further information For the most up to date information on our funds, please refer to the relevant fund and share-class specific Key Investor Information Documents, the Supplementary Information Document, the Annual or Interim Reports and the Prospectus, which are available using the contact details shown.