sales to price ratio,
calculated based on the company’s total market capitalization and information reported in the company’s most recent annual financial statement as of the last business day of the prior month.
◾
Momentum. A company’s momentum factor score is based on historical total return over the 11 months ending on the last
business day of the prior month.
◾
Quality. A company’s quality factor score is based on a composite of three measures of profitability (return on assets,
change in asset turnover and accruals) and a single measure of leverage, calculated as the ratio of
operating cash flow to total debt based on information reported in the company’s most recent annual financial statement.
◾
Low Volatility. A company’s volatility factor score is based on the standard deviation of weekly total returns to a company’s stock price over the trailing five years ending on the
last business day of the prior month.
◾
Size.
A company’s size factor score is based on total market capitalization as of the last business day of the prior month.
An initial weight for each security is
determined from the product of the security’s multi-factor score and its weight in the Parent Index. The Underlying Index’s methodology will exclude securities from the Underlying Index if their relevant factor
characteristics fall below certain relative thresholds, as set forth in the methodology rules of the Underlying Index, or if their adjusted weights fall below a certain de minimis amount. Finally, a maximum security weight limit is applied to
ensure no security weight exceeds a fixed level.
The Underlying Index is sponsored by the Index Provider, which is unaffiliated with the Fund, Invesco
Indexing or Invesco Capital Management LLC, the Fund’s investment adviser (the “Adviser”). However, since Invesco Indexing provides the Index Provider with monthly data relating to the stage of the economic cycle, Invesco Indexing may
also be deemed a creator and sponsor of the Underlying Index. Invesco Indexing is affiliated with the
Adviser and Invesco Distributors, Inc., the Fund’s distributor (the
“Distributor”).
As of October 31, 2023, the Underlying Index was comprised of 627 constituents with market
capitalizations ranging from $220.6 million to $18.3 billion.
The Fund employs a “full replication” methodology in seeking to track the Underlying Index,
meaning that the Fund generally invests in all of the securities comprising the Underlying Index in proportion to their weightings in the Underlying Index.
The Fund is “non-diversified” and therefore is not required to meet certain diversification requirements under the Investment Company Act of 1940, as amended (the “1940
Act”).
Concentration Policy. The Fund will concentrate its investments (i.e., invest more than 25% of the value of its net assets) in securities of
issuers in any one industry or group of industries only to the extent that the Underlying Index reflects a
concentration in that industry or group of industries. The Fund will not otherwise concentrate its investments in securities of issuers in any one industry or group of industries.
Principal Risks of Investing in the Fund
The following summarizes the principal risks of investing in the Fund.
The Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective.
Market Risk.
Securities in the Underlying Index are subject to market fluctuations. You should anticipate that the value of the Shares will decline, more or less, in correlation with any decline in value of the securities in the Underlying Index. Additionally, natural
or environmental disasters, widespread disease or other public health issues, war, military conflicts, acts
of terrorism, economic crises or other events could result in increased premiums or discounts to the
Fund’s net asset value (“NAV”).
Index Risk. Unlike many investment companies, the Fund does not utilize an investing strategy that seeks returns in excess of the
Underlying
Index.
Therefore, the Fund would not necessarily buy or sell a security unless that security is added or removed, respectively, from the Underlying Index, even if that security generally is underperforming. Additionally, the Fund rebalances its portfolio in accordance
with the Underlying Index, and, therefore, any changes to the Underlying Index’s rebalance schedule will result in corresponding changes to the Fund’s rebalance schedule.
Foreign Investment Risk. Investments in the securities of non-U.S. issuers involve risks beyond those associated with investments in U.S. securities. Foreign securities may have
relatively low market liquidity, greater market volatility, decreased publicly available information and less reliable financial information about issuers, and inconsistent and potentially less stringent accounting, auditing and financial
reporting requirements and standards of practice, including recordkeeping standards, comparable to those
applicable to domestic issuers. Foreign securities also are subject to the risks of expropriation, nationalization, political instability or other adverse political or economic developments and the difficulty of enforcing obligations in other countries. Investments in
foreign securities also may be subject to dividend withholding or confiscatory taxes, currency blockage and/or transfer restrictions and higher transactional costs. As the Fund will invest in securities denominated in foreign
currencies, fluctuations in the value of the U.S. dollar relative to the values of other currencies may adversely affect investments in foreign securities and may negatively impact the Fund’s returns.
From time to time, certain companies in which the Fund invests may operate in, or have dealings with, countries subject to sanctions or embargoes imposed by the U.S. government and the
United Nations and/or in countries the U.S. government identified as state sponsors of terrorism. One or
more of these companies may be subject to constraints under U.S. law or regulations that could negatively affect the company’s performance. Additionally, one or more of these companies could suffer damage to its reputation if the market identifies it as a
company that invests or deals with countries that the U.S. government identifies as state sponsors of terrorism or subjects to sanctions.
Geographic Concentration Risk. The Fund may from time to time have a substantial amount of its assets invested in securities of issuers located in a single country or a limited number of
countries. Adverse economic, political or social conditions in those countries may therefore have a significant negative impact on the Fund’s investment performance. For example, a natural or other disaster could occur in a
country or geographic region in which the Fund invests, which could affect the economy or particular
business operations of companies in that specific country or geographic region and adversely impact the
Fund’s investments in the affected region.
Japan Investment Risk. The Fund may invest a significant portion of its total assets in securities of issuers from Japan. The growth of
Japan’s economy has recently lagged that of its Asian neighbors and other major developed economies.
The Japanese economy is heavily dependent on international trade and has been adversely affected by trade
tariffs, other protectionist measures, competition from emerging economies and the economic conditions of its trading partners. The Japanese economy has experienced the effects of the global economic slowdown similar to the United States and Europe,
and downturns in the economies of Japan’s key trading partners, such as the United States, China
and/or countries in Southeast Asia, could also have a negative impact on the Japanese economy as a whole. The Japanese economy also faces several other concerns, including a financial system with large levels of nonperforming loans, over-leveraged
corporate balance sheets, extensive cross-ownership by major corporations, a changing corporate governance
structure, and large government deficits. These issues may cause a continued slowdown of the Japanese economy.
European Investment Risk. The Economic and Monetary Union (the “EMU”) of the European Union (the “EU”) requires
compliance with restrictions on inflation rates, deficits, interest rates, debt levels and fiscal and
monetary controls, each of which may significantly affect every country in Europe. Decreasing imports or exports, changes in