Invesco Strategic US Small Company Index Methodology July 2018

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Invesco Strategic US Small Company Index Methodology July 2018

Invesco Strategic US Small Company 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

Description Overview The Invesco Strategic US Small Company Index (the Index ) measures the performance of equities for US companies that tend to have smaller, yet higher quality businesses. Security Selection The opportunity set for the Index includes constituents of the Invesco Indexing Investable universe designated as US securities. For full details on the Invesco Indexing Investable universe, see Invesco Indexing Investable universe methodology at www.invescoindexing.com. These stocks are ranked in descending order on business-size score (see description below). Those securities that rank greater than 90% in cumulative size are eligible for inclusion in the Index. Of these eligible securities, the 20% of stocks with the lowest quality score (see below) are excluded. Finally, the universe is limited to those securities for which pricing data is available from the Index calculator, see Calculation Agent. Business-Size Score Business-size score is the equally weighted average of four measures of company size: sales, operating cash flow, total return of capital (dividends and share repurchases), and book value. Each measure is computed over the prior five years and is standardized as the percentage value relative to the Invesco Indexing Investable universe. For real estate companies, book value is replaced by total assets and operating cash flow is replaced by funds from operations. For any metric, if five years of data is not available, all available data is used. Any stock with less than one year of trading history is not eligible for inclusion in the Index. Quality Score Quality score is the equally weighted average of two quality factors: efficiency and growth. Efficiency measures the ability of a company to generate size off of its asset base and is calculated as the ratio of sales-to-assets in the prior year. Growth measures the increase in the size of a company s business and is calculated as the percentage change in the ratio of sales-toassets over the prior five years. Each factor is standardized to be normally distributed with mean zero and standard deviation one. Security Weighting Each security in the Index is weighted proportionally to its float-adjusted business-size score. History The Index was launched on June 15, 2018. History is available for the Index since its base date of December 31, 2002. The base value of the Index is 1000. Related Indexes Several other related Invesco Indexes are available. Similar to the Invesco Strategic US Small Company Index, these Indexes consist of securities from higher quality, larger businesses within their segment; however, they differ in their regional and size coverage. These Indexes include: Invesco Strategic US Index Invesco Strategic Developed ex-us Index Invesco Strategic Developed ex-us Small Company Index Invesco Strategic Emerging Markets Index 3

Updates The Index is updated annually in June in coordination with the Invesco Indexing Investable universe reconstitution. For full details on liquidity requirements and universe construction, see Invesco Indexing Investable universe methodology at www.invescoindexing.com. Index Key Dates The key dates are as follows. 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 Third Friday of month prior to Rebalance Month Data is captured for Index construction Announcement Date Pro-Forma Date Second Wednesday of Rebalance Month Second Friday of Rebalance Month Summary of Index rebalance changes are announced to public Preliminary Index weights begin to be distributed to Index subscribers Effective Date Third Friday of Rebalance Month Rebalanced Index weights are finalized 4

Calculation Agent The calculation agent for the Index (the Calculator ) is S&P Dow Jones Indices. The Calculator updates the Index at Rebalance Months based on weights provided by Invesco Indexing LLC (Invesco Indexing). In addition, the Calculator updates daily Index weights between Rebalance Months based on price changes and corporate actions (see Corporate Events section below), and 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 Index Adjustments Divisor Change? Rights Offer No impact on the Index. N Spin-off Spin-Off stock is added to the Index after market close of exdate at zero weight. Parent and spin-off will split the original weight. N Share Acquisition Acquired companies are deleted from the Index. If the acquirer is an Index constituent, its shares do not change. Y Share Changes No impact on the Index. N Addition Except for spin-offs, there are no intra-rebalancing additions. N Deletion Deleting, acquisition or any other corporate event resulting in the deletion of the stock from the Index causes the weight of the rest of the stocks in the Index to change. Relative weights stay the same. Y As mentioned above in the Calculation Agent section, the Calculator manages corporate events for this Index using its standard corporate event framework and its divisor index methodology. For additional details, please refer to Invesco Indexing Corporate Event Methodology, at www.invescoindexing.com. 5

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 email 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 email 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 annually 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 IISUS IISUST 6

Index Information and Data Dissemination Data Vendors Daily Index levels for all return types are available from major quote vendors and at www.invescoindexing.com. 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 indexsupport@invesco.com 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 The data on these files is provided directly by the Calculator, and no descriptive information contained in these files is used by Invesco Indexing at any stage of the Index creation process. In addition, the Invesco Indexing secure FTP site contains the characteristics file, II.CHR. The characteristics file is created by Invesco Indexing annually at the time of Index rebalance and is updated throughout the year as necessary. It contains characteristics data used by Invesco Indexing in the creation of the Index or that otherwise helps to describe the Index constituents. These data include sector, country, region, size classification and developed/emerging classification. Please contact Invesco Indexing customer service at indexsupport@invesco.com for more information. Website Index information is available on the Invesco Indexing website at www.invescoindexing.com. 7

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. The Invesco Strategic US Small Company Index (the Index ) is the property of Invesco Indexing LLC, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) to calculate and maintain the Index. The Index is not sponsored by S&P Dow Jones Indices or its affiliates or its third party licensors (collectively, S&P Dow Jones Indices ). S&P Dow Jones Indices will not be liable for any errors or omissions in calculating the Index. Calculated by S&P Dow Jones Indices and the related stylized mark(s) are service marks of S&P Dow Jones Indices and have been licensed for use by Invesco Indexing LLC. S&P is a registered trademark of Standard & Poor s Financial Services LLC ( SPFS ), and Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC ( Dow Jones ). Invesco Indexing LLC 2018 All Rights Reserved invescoindexing.com US4000

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