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Invesco Annual Report to Shareholders

 

 

August 31, 2022

 

  RSPE   Invesco ESG S&P 500 Equal Weight ETF
  USEQ   Invesco Russell 1000 Enhanced Equal Weight ETF
  EQAL   Invesco Russell 1000 Equal Weight ETF
  USLB   Invesco Russell 1000 Low Beta Equal Weight ETF
  SPVU   Invesco S&P 500® Enhanced Value ETF
  XRLV   Invesco S&P 500® ex-Rate Sensitive Low Volatility ETF
  SPHB   Invesco S&P 500® High Beta ETF
  SPHD   Invesco S&P 500® High Dividend Low Volatility ETF
  SPLV   Invesco S&P 500® Low Volatility ETF
  SPMV   Invesco S&P 500 Minimum Variance ETF
  SPMO   Invesco S&P 500® Momentum ETF
  QVML   Invesco S&P 500 QVM Multi-factor ETF
  QVMM   Invesco S&P MidCap 400 QVM Multi-factor ETF
  XMLV   Invesco S&P MidCap Low Volatility ETF
  QVMS   Invesco S&P SmallCap 600 QVM Multi-factor ETF
  XSHD   Invesco S&P SmallCap High Dividend Low Volatility ETF
  XSLV   Invesco S&P SmallCap Low Volatility ETF
  XSHQ   Invesco S&P SmallCap Quality ETF


 

Table of Contents

 

The Market Environment      3  
Management’s Discussion of Fund Performance      4  
Liquidity Risk Management Program      44  
Schedules of Investments   

Invesco ESG S&P 500 Equal Weight ETF (RSPE)

     45  

Invesco Russell 1000 Enhanced Equal Weight ETF (USEQ)

     48  

Invesco Russell 1000 Equal Weight ETF (EQAL)

     55  

Invesco Russell 1000 Low Beta Equal Weight ETF (USLB)

     65  

Invesco S&P 500®  Enhanced Value ETF (SPVU)

     71  

Invesco S&P 500® ex-Rate Sensitive Low Volatility ETF (XRLV)

     73  

Invesco S&P 500® High Beta ETF (SPHB)

     75  

Invesco S&P 500® High Dividend Low Volatility ETF (SPHD)

     77  

Invesco S&P 500® Low Volatility ETF (SPLV)

     79  

Invesco S&P 500 Minimum Variance ETF (SPMV)

     81  

Invesco S&P 500®  Momentum ETF (SPMO)

     83  

Invesco S&P 500 QVM Multi-factor ETF (QVML)

     85  

Invesco S&P MidCap 400 QVM Multi-factor ETF (QVMM)

     90  

Invesco S&P MidCap Low Volatility ETF (XMLV)

     95  

Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS)

     97  

Invesco S&P SmallCap High Dividend Low Volatility ETF (XSHD)

     103  

Invesco S&P SmallCap Low Volatility ETF (XSLV)

     105  

Invesco S&P SmallCap Quality ETF (XSHQ)

     107  
Statements of Assets and Liabilities      110  
Statements of Operations      114  
Statements of Changes in Net Assets      118  
Financial Highlights      124  
Notes to Financial Statements      141  
Report of Independent Registered Public Accounting Firm      157  
Fund Expenses      159  
Tax Information      161  
Trustees and Officers      162  
Approval of Investment Advisory and Sub-Advisory Contracts      172  

 

 

  2  

 


 

The Market Environment

 

 

 

Domestic Equity

The fiscal year began with increasing volatility and the US stock market saw a selloff through most of September due to increasing concerns of inflation resulting from a spike in oil prices and supply chain shortages causing rising costs. Despite the Consumer Price Index (CPI) increasing monthly from June through September 2021,1 the US Federal Reserve (the Fed) declined to raise interest rates at its September 2021 Federal Open Market Committee meeting.

Equity markets saw continued volatility in the fourth quarter of 2021 amid record inflation and the emergence of a new COVID-19 variant. Pandemic-related supply chain disruption and labor shortages intensified during the quarter, resulting in broadly higher input costs for companies and consumers alike. Additionally, the price of oil rose to nearly $85 per barrel in October,2 causing higher gas prices for consumers, and pushing energy stocks higher. The CPI reported for November increased 0.8%, resulting in a 6.8% increase over the prior 12 months, the highest since 1982.1 To combat inflation, the Fed announced a faster pace of “tapering” at its December meeting, pledging to end its asset purchase program by March 2022. The Fed also announced the potential for three interest rate increases in 2022. With solid corporate earnings and optimism about the COVID-19 Omicron variant reporting milder symptoms, stocks rallied at the 2021 year-end.

Equity markets declined in the first quarter of 2022 amid volatility sparked by Russia’s invasion of Ukraine, rising commodity prices, rampant global inflation and the Fed’s shift toward tighter monetary policy. Russia’s invasion exacerbated inflationary pressures, disrupting already strained supply chains and increasing shortages of oil, gas and raw materials. The price of oil rose sharply, with crude prices reaching their highest price per barrel since 2008.2 The CPI rose by another 7.9% for the 12 months ended February 2022 reaching a 40 year high.1 To combat inflation, the Fed raised the federal funds rate by a one-quarter percentage point in March.

As the war in Ukraine continued and corporate earnings in high-profile names, like Netflix, reported slowing growth and profits, the equity markets sold off for much of April 2022. The downward direction of the equity markets continued for much of the second quarter of 2022 amid record inflation, rising interest rates and an increasing likelihood of a US recession. Driven by higher food and energy prices, the CPI rose by yet another 8.6% for the 12 months ended May 2022 reaching a 40 year high.1 Oil prices peaked near $122 per barrel in early June, resulting in skyrocketing gasoline prices; the national average price reached a record high above $5 per gallon in early June.2 To tame inflation, the Fed raised the benchmark federal funds rate three more times, by 0.50% in May, by 0.75% in June and another 0.75% in July, which were the largest increases in nearly 30 years.3 US

equity markets rose in July and much of August until Fed chairman Jerome Powell’s hawkish comments at Jackson Hole, Wyoming, an economic policy symposium, sparked a sharp selloff at month end. Due to declining energy prices, the CPI rose by 8.5% for the 12 months ending July,1 down slightly from June, but still at multi-decade highs and far above the Fed’s 2% annual inflation target. As a result, the Fed indicated that it would continue taking aggressive action to curb inflation, though such measures could “bring pain to households and businesses.” The remarks deflated investor optimism that the Fed would pause rate hikes in the second half of 2022 and increased the likelihood of a US recession. In this environment, US stocks had negative double-digit returns of (11.23)% for the fiscal year ended August 31, 2022, measured by the S&P 500 Index.4

 

1 

Source: US Bureau of Labor Statistics

2 

Source: Bloomberg LP

3 

Source: US Federal Reserve

4 

Source: Lipper Inc.

 

 

  3  

 


 

 

RSPE    Management’s Discussion of Fund Performance
   Invesco ESG S&P 500 Equal Weight ETF (RSPE)

 

As an index fund, the Invesco ESG S&P 500 Equal Weight ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P 500® Equal Weight ESG Leaders Select Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (“S&P DJI” or the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the equal weighted performance of securities included in the S&P 500® Equal Weight Index (the “Parent Index”) that also meet the Index Provider’s environmental, social and governance (“ESG”) criteria, while maintaining similar overall industry group weights as the Parent Index.

The Parent Index consists of all of the components of the S&P 500® Index. However, unlike that index, which employs a market capitalization weighted methodology, the Parent Index assigns each component security the same weight. Like the Parent Index, constituents of the Index are equally weighted. Companies that are included in the Parent Index are evaluated for inclusion in the Index based on multiple considerations.

Each constituent is assigned an “S&P DJI ESG score,” which is designed to measure a company’s financially material ESG factors. The analysis of whether a factor is financially material focuses on industry-specific business value drivers that contribute to company performance, utilizing quantitative and qualitative research and industry experience. The analysis incorporates historical correlation data and current industry conditions to identify which long-term economic, social or environmental factors are likely to have the most significant impact on a company’s business value drivers of growth, cost or risk, and ultimately, future financial performance. S&P DJI ESG scores are based on the S&P Global Corporate Sustainability Assessment (“CSA”), which is a questionnaire-based survey conducted annually that seeks to identify how well-equipped a company is to recognize and respond to emerging sustainability opportunities and challenges in the global market. S&P Global, an affiliate of the Index Provider, issues a CSA request each March to subject companies. The CSA uses custom industries, derived from Global Industry Classification Standard (“GICS®”), to analyze companies using industry-specific questionnaires. Companies provide up to 1,000 data points in response to the questionnaires which are used to score each company’s performance in relation to each specific ESG subject. If a company chooses not to actively participate in the assessment, it may be assessed based on publicly available information, including a company’s financial reports, press releases and other public statements, and other information available on the company’s website. Companies are ranked from highest to lowest according to their S&P DJI ESG scores, and the top 40% of constituents within each GICS® industry group generally are included in the Index.

In addition, the Index employs negative screens to exclude securities of companies with business activities that do not meet the eligibility criteria for the Index, regardless of a company’s S&P DJI ESG score. Companies classified as part of the GICS® Oil & Gas Storage & Transportation Sub-Industry Code are excluded from the eligible universe. Additional screens rely on information from Sustainalytics, a globally-recognized independent provider of ESG research, ratings, and data. The Index uses this information to screen for companies with certain business activities above the S&P DJI Level of Involvement Threshold or the S&P DJI Significant Ownership Threshold. These thresholds generally exclude from the Index companies that derive 0-25% or more of its revenues from, or that own 10% or more of another company that engages in, the following activities: Arctic oil & gas exploration; alcoholic beverages; assault weapons; cannabis production or distribution; controversial weapons; genetically modified plants and seeds; gambling; military contracting; nuclear power; oil and gas exploration, production, generation, refinement, transportation or storage; oil sands extraction; palm oil production and distribution; pesticides; riot control weapons; shale energy extraction; small arms; thermal coal; and tobacco.

The Index Provider also utilizes information from Arabesque S-RayTM to exclude poor performers in relation to the principles of the United Nations Global Compact (“UNGC”). The UNGC is an arrangement by which companies voluntarily and publicly commit to a set of principles drawn from key United Nations (“UN”) Conventions and Declarations. The principles of the UNGC represent a set of values that the UN believes responsible businesses should incorporate into their operations in order to meet fundamental responsibilities in the areas of human rights, labor, the environment, and anti-corruption. Arabesque S-RayTM is a global sustainability data provider that combines company-reported information and other data to analyze and score companies based on UNGC principles. Companies are ranked according to these Global Compact (“GC”) scores, and all companies with scores at or below the bottom 5% of the GC score universe are excluded from the Index.

During the fiscal period from the Fund’s inception (November 17, 2021, the first day of trading on the exchange) through August 31, 2022, on a market price basis, the Fund returned (13.57)%. On a net asset value (“NAV”) basis, the Fund returned (13.61)%. During the same time period, the Index returned (13.46)%. During the fiscal period, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to the fees and expenses that the Fund incurred during the period, partially offset by income received from the securities lending program in which the Fund participates.

During this same time period, the S&P 500® Index (the “Benchmark Index”) returned (14.62)%. The Benchmark Index is an unmanaged index weighted by market capitalization based on

 

 

  4  

 


 

Invesco ESG S&P 500 Equal Weight ETF (RSPE) (continued)

 

the average performance of approximately 500 equity securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a broad representation of the U.S. equity market.

The performance of the Fund differed from the Benchmark Index in part because the Fund seeks to track an Index that employs ESG stock selection criteria and an equal weighted methodology, whereas the Benchmark Index weights stocks based primarily on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the industrials sector and most underweight in the information technology sector during the fiscal period ended August 31, 2022. The majority of the Fund’s outperformance relative to the Benchmark Index during that period can be attributed to the Fund’s underweight allocation to and the security selection within the communication services sector and the Fund’s overweight allocation to and security selection within the materials sector.

For the fiscal period ended August 31, 2022, the consumer staples sector contributed most significantly to the Fund’s return, followed by the utilities sector. The consumer discretionary sector detracted most significantly from the Fund’s performance during this period, followed by the information technology and financials sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal period ended August 31, 2022, included CF Industries Holdings, Inc., a materials company (portfolio average weight of 0.63%), and Mosaic Co., a materials company (portfolio average weight of 0.59%). Positions that detracted most significantly from the Fund’s return during this period included PVH Corp., a consumer discretionary company (portfolio average weight of 0.51%) and Stanley, Black & Decker, Inc., an industrials company (portfolio average weight of 0.50%).

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Information Technology      16.50  
Industrials      15.81  
Financials      14.49  
Health Care      14.16  
Consumer Discretionary      12.25  
Consumer Staples      6.87  
Real Estate      6.26  
Materials      5.59  
Communication Services      5.16  
Utilities      2.83  
Money Market Funds Plus Other Assets Less Liabilities      0.08  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Etsy, Inc.      0.71  
Arista Networks, Inc.      0.66  
Nasdaq, Inc.      0.66  
CF Industries Holdings, Inc.      0.65  
Keysight Technologies, Inc.      0.64  
Motorola Solutions, Inc.      0.64  
Trane Technologies PLC      0.64  
General Mills, Inc.      0.63  
W.W. Grainger, Inc.      0.63  
Rockwell Automation, Inc.      0.63  
Total      6.49  

 

*

Excluding money market fund holdings.

 

 

  5  

 


 

Invesco ESG S&P 500 Equal Weight ETF (RSPE) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

         

Fund Inception

Cumulative

 
Index      
S&P 500® Equal Weight ESG Leaders Select Index       (13.46 )% 
S&P 500® Index       (14.62
Fund    
NAV Return       (13.61
Market Price Return       (13.57

 

Fund Inception: November 17, 2021

Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.20% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Cumulative Inception returns for the Fund and indexes are based on the inception date of the Fund.

 

 

  6  

 


 

 

USEQ    Management’s Discussion of Fund Performance
   Invesco Russell 1000 Enhanced Equal Weight ETF (USEQ)

 

As an index fund, the Invesco Russell 1000 Enhanced Equal Weight ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Russell 1000® Enhanced Value Equal Weight Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, FTSE Russell (“Russell” or the “Index Provider”) compiles, maintains and calculates the Index, which is comprised of securities in the Russell 1000® Index (the “Russell 1000” or “Benchmark Index”) that exhibit upward price momentum and good relative valuation. The Index is a subset of the Russell 1000, which is designed to measure the performance of the large-cap segment of the U.S. equity market and consists of the stocks of the largest 1,000 U.S. companies by market capitalization.

The Index Provider selects constituent securities for the Index by applying a three-step screening process (based on a security’s earnings, valuation and momentum) to all securities in the Russell 1000. First, the Index Provider excludes securities with zero or negative earnings over the past 12 months. Second, the Index Provider screens for value stocks. Those securities with value scores in the bottom 10% are excluded. Third, the Index Provider screens for securities with greater positive price “momentum.” Stocks are ranked from highest to lowest by momentum measure over the last twelve months, excluding the most recent month, within each of 11 industries (as defined using the Industry Classification Benchmark) and stocks with momentum measures ranking in the bottom 10% of each industry are excluded. The remaining securities are included in the Index. Constituent securities in the Index are equally weighted. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (9.44)%. On a net asset value (“NAV”) basis, the Fund returned (9.47)%. During the same time period, the Index returned (9.16)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period.

During this same time period, the Benchmark Index returned (12.96)%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 1,000 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a broad representation of the large-cap segment of the overall U.S. stock market.

The performance of the Fund differed from the Benchmark Index in part because the Fund seeks to track an Index that employs an equal weighted methodology, whereas the Benchmark Index weights stocks based on market capitalization. Further, the Index is a subset of the Benchmark Index, consisting of securities within the Benchmark Index that exhibit low beta characteristics.

Relative to the Benchmark Index, the Fund was most overweight in the industrials sector and most underweight in the information technology sector during the fiscal year ended August 31, 2022. The majority of the Fund’s outperformance relative to the Benchmark Index during the year can be primarily attributed to the underweight allocation to and security selection in the communication services and information technology sectors.

For the fiscal year ended August 31, 2022, the energy sector contributed most significantly to the Fund’s return, followed by the utilities and consumer staples sectors, respectively. The consumer discretionary sector detracted most significantly from the Fund’s return, followed by the industrials and health care sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022 included CF Industries Holdings, Inc., a materials company (portfolio average weight of 0.20%) and ConocoPhillips, an energy company (portfolio average weight of 0.18%). Positions that detracted most significantly from the Fund’s return included Wayfair, Inc., Class A, a consumer discretionary company (no longer held at fiscal year-end), and DISH Network Corp., Class A, a communication services company (portfolio average weight of 0.13%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Industrials      17.77  
Financials      15.89  
Consumer Discretionary      13.05  
Information Technology      11.83  
Health Care      9.88  
Real Estate      6.91  
Consumer Staples      6.65  
Materials      6.60  
Utilities      4.56  
Energy      3.50  
Communication Services      3.20  
Money Market Funds Plus Other Assets Less Liabilities      0.16  

 

 

  7  

 


 

Invesco Russell 1000 Enhanced Equal Weight ETF (USEQ) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
EPAM Systems, Inc.      0.20  
Dick’s Sporting Goods, Inc.      0.20  
Erie Indemnity Co., Class A      0.20  
BJ’s Wholesale Club Holdings, Inc.      0.20  
Chipotle Mexican Grill, Inc.      0.19  
H&R Block, Inc.      0.19  
Clean Harbors, Inc.      0.19  
Advanced Drainage Systems, Inc.      0.18  
Acadia Healthcare Co., Inc.      0.18  
Deckers Outdoor Corp.      0.18  
Total      1.91  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

   

1 Year

   

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Russell 1000® Enhanced Value Equal Weight Index     (9.16 )%      9.14     30.01     8.34     49.27       8.14     49.43
Russell 1000® Index     (12.96     12.14       41.01       11.61       73.16         11.56       75.33  
Fund                
NAV Return     (9.47     8.88       29.08       8.07       47.41         7.87       47.52  
Market Price Return     (9.44     8.92       29.22       8.07       47.40         7.87       47.52  

 

 

  8  

 


 

Invesco Russell 1000 Enhanced Equal Weight ETF (USEQ) (continued)

 

Fund Inception: July 13, 2017

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.29% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and indexes are based on the inception date of the Fund.

 

 

  9  

 


 

 

EQAL    Management’s Discussion of Fund Performance
   Invesco Russell 1000 Equal Weight ETF (EQAL)

 

As an index fund, the Invesco Russell 1000 Equal Weight ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Russell 1000® Equal Weight Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, FTSE Russell (“Russell” or the “Index Provider”) compiles, maintains and calculates the Index which is designed to measure the performance of approximately 1,000 equally-weighted securities. The Index is comprised of all of the securities in the Russell 1000® Index (the “Russell 1000” or “Benchmark Index”), which is designed to measure the performance of the large-cap segment of the U.S. equity market and consists of the stocks of the largest 1,000 U.S. companies by market capitalization. The Index is constructed by applying a three-step process. First, the Index Provider assigns each component security of the Russell 1000 to an industry based on the Industry Classification Benchmark (the “ICB”) classification system. The ICB classification system is composed of 11 economic industries: basic materials, consumer discretionary, consumer staples, energy, financials, health care, industrials, real estate, technology, telecommunications and utilities. Second, once the component securities are assigned to an industry, the Index Provider allocates an equal weight to each industry and then assigns an equal weight to each constituent security within each industry. Third, the Index Provider then applies a “capacity screen” to the Index to eliminate securities of companies with limited “free float” (i.e., companies with a limited amount of shares publicly available in the market). The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (8.86)%. On a net asset value (“NAV”) basis, the Fund returned (8.96)%. During the same time period, the Index returned (8.89)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period, which were partially offset by revenue generated from the securities lending program in which the Fund participates.

During this same time period, the Benchmark Index returned (12.96)%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 1,000 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a broad representation of the large-cap segment of the overall U.S. stock market.

The performance of the Fund differed from the Benchmark Index in part because the Fund seeks to track an Index that employs an

equal weighted methodology, whereas the Benchmark Index weights stocks based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the materials sector and most underweight in the information technology sector during the fiscal year ended August 31, 2022. The majority of the Fund’s outperformance relative to the Benchmark Index during the year can be attributed to the Fund’s overweight allocation to the energy and materials sectors.

For the fiscal year ended August 31, 2022, the energy sector contributed most significantly to the Fund’s return, followed by the utilities sector. The communication services sector detracted most significantly from the Fund’s return, followed by the information technology and consumer discretionary sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Occidental Petroleum Corp., an energy company (portfolio average weight of 0.28%) and CF Industries Holdings Inc., a materials company (portfolio average weight of 0.28%). Positions that detracted most significantly from the Fund’s return included Roku Inc., Class A, a communication services company (portfolio average weight of 0.39%), and Altice USA, Inc., Class A, a communication services company (portfolio average weight of 0.41%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Information Technology      14.34  
Industrials      10.35  
Health Care      9.92  
Financials      9.22  
Materials      8.91  
Consumer Staples      8.62  
Real Estate      8.61  
Utilities      8.56  
Energy      7.98  
Communication Services      6.68  
Consumer Discretionary      6.68  
Money Market Funds Plus Other Assets Less Liabilities      0.13  

 

 

  10  

 


 

Invesco Russell 1000 Equal Weight ETF (EQAL) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Arista Networks, Inc.      0.56  
Viasat, Inc.      0.52  
Motorola Solutions, Inc.      0.52  
Ubiquiti, Inc.      0.52  
Ciena Corp.      0.50  
T-Mobile US, Inc.      0.50  
Frontier Communications Parent, Inc.      0.48  
Altice USA, Inc., Class A      0.47  
Lumentum Holdings, Inc.      0.45  
Cisco Systems, Inc.      0.44  
Total      4.96  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year     3 Years
Average
Annualized
   

3 Years

Cumulative

    5 Years
Average
Annualized
    5 Years
Cumulative
          Fund Inception  
Index         Average
Annualized
    Cumulative  
Russell 1000® Equal Weight Index     (8.89 )%      11.78     39.66     9.59     58.06       8.59     88.48
Russell 1000® Index     (12.96     12.14       41.01       11.61       73.16         10.59       116.76  
Fund                
NAV Return     (8.96     11.67       39.27       9.46       57.12         8.43       86.32  
Market Price Return     (8.86     11.70       39.38       9.48       57.29         8.43       86.32  

 

 

  11  

 


 

Invesco Russell 1000 Equal Weight ETF (EQAL) (continued)

 

Fund Inception: December 23, 2014

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.20% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and indexes are based on the inception date of the Fund.

 

 

  12  

 


 

 

USLB    Management’s Discussion of Fund Performance
   Invesco Russell 1000 Low Beta Equal Weight ETF (USLB)

 

As an index fund, the Invesco Russell 1000 Low Beta Equal Weight ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Russell 1000® Low Beta Equal Weight Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, FTSE Russell (“Russell” or the “Index Provider”) compiles, maintains and calculates the Index which is comprised of securities in the Russell 1000® Index (the “Russell 1000” or “Benchmark Index”) that exhibit low beta characteristics. The Index is a subset of the Russell 1000, which is designed to measure the performance of the large-cap segment of the U.S. equity market and consists of the stocks of the largest 1,000 U.S. companies by market capitalization.

The Index Provider selects constituent securities for the Index by calculating the beta score for each security in the Russell 1000. Beta is a measure of a security’s price sensitivity (i.e., volatility); it reflects the rate of change in a security’s price that results from overall market movements. To calculate the beta score, the Index Provider analyzes the security’s monthly returns over the past eighteen months to see the extent to which they correlate to overall market movements. Stocks with less than 18 months of history are not eligible for inclusion. Securities with a beta score of less than that of the overall U.S. equity market average (that is, securities whose price changes exhibit less volatility than the average amount of volatility in the market) are eligible for inclusion in the Index. The Index Provider then applies an earnings screen, which eliminates securities that have failed to generate earnings over the trailing 12 months. Constituent securities in the Index are equally weighted. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (7.60)%. On a net asset value (“NAV”) basis, the Fund returned (7.73)%. During the same time period, the Index returned (7.49)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period, which were partially offset by revenue generated from the securities lending program in which the Fund participates.

During this same time period, the Benchmark Index returned (12.96)%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 1,000 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a broad representation of the large-cap segment of the overall U.S. stock market.

The performance of the Fund differed from the Benchmark Index in part because the Fund seeks to track an Index that employs an equal weighted methodology, whereas the Benchmark Index weights stocks based on market capitalization. Further, the Index is a subset of the Benchmark Index, consisting of securities within the Benchmark Index that exhibit low beta characteristics.

Relative to the Benchmark Index, the Fund was most overweight in the industrials and utilities sectors and most underweight in the information technology and communication services sectors during the fiscal year ended August 31, 2022. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s underweight allocation to and security selection in the communication services and information technology sectors as well as its security selection in the financials sector.

For the fiscal year ended August 31, 2022, the energy sector contributed most significantly to the Fund’s return, followed by the utilities and consumer staples sectors. The health care sector detracted most significantly from the Fund’s return, followed by the consumer discretionary and information technology sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Coterra Energy Inc., an energy company (portfolio average weight of 0.26%), and Arista Networks, Inc., an information technology company (no longer held at fiscal year-end). Positions that detracted most significantly from the Fund’s return included Zoom Video Communications, Inc., Class A, an information technology company (portfolio average weight of 0.16%), and Illumina, Inc., a health care company (no longer held at fiscal year-end).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Financials      16.72  
Industrials      14.75  
Consumer Discretionary      14.30  
Information Technology      9.92  
Health Care      9.85  
Consumer Staples      8.52  
Utilities      6.03  
Real Estate      5.91  
Materials      5.90  
Energy      4.28  
Communication Services      3.75  
Money Market Funds Plus Other Assets Less Liabilities      0.07  

 

 

  13  

 


 

Invesco Russell 1000 Low Beta Equal Weight ETF (USLB) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Dick’s Sporting Goods, Inc.      0.27  
Erie Indemnity Co., Class A      0.26  
H&R Block, Inc.      0.26  
Trade Desk, Inc. (The), Class A      0.25  
Insulet Corp.      0.25  
Clean Harbors, Inc.      0.25  
Ollie’s Bargain Outlet Holdings, Inc.      0.25  
Pinterest, Inc., Class A      0.24  
Acadia Healthcare Co., Inc.      0.24  
First Citizens BancShares, Inc., Class A      0.24  
Total      2.51  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year     3 Years
Average
Annualized
    3 Years
Cumulative
    5 Years
Average
Annualized
    5 Years
Cumulative
          Fund Inception  
Index         Average
Annualized
    Cumulative  
Russell 1000® Low Beta Equal Weight Index     (7.49 )%      6.32     20.17     7.27     42.05       8.11     70.18
Russell 1000® Index     (12.96     12.14       41.01       11.61       73.16         11.61       111.45  
Fund                
NAV Return     (7.73     6.07       19.32       6.97       40.03         7.77       66.63  
Market Price Return     (7.60     6.10       19.46       6.99       40.19         7.77       66.62  

 

 

  14  

 


 

Invesco Russell 1000 Low Beta Equal Weight ETF (USLB) (continued)

 

Fund Inception: November 5, 2015

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.35% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and indexes are based on the inception date of the Fund.

 

 

  15  

 


 

 

SPVU    Management’s Discussion of Fund Performance
   Invesco S&P 500® Enhanced Value ETF (SPVU)

 

As an index fund, the Invesco S&P 500® Enhanced Value ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P 500® Enhanced Value Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (“S&P DJI” or the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of the top 100 stocks in the S&P 500® Index (the “Parent Index”) that have the highest “value score,” which the Index Provider calculates based on fundamental ratios of a company’s stock.

In selecting constituent securities for the Index, the Index Provider first calculates the value score of each stock in the Parent Index by evaluating each stock’s: (i) book value-to-price ratio, calculated using the company’s latest book value per share divided by its price; (ii) earnings-to-price ratio, calculated using the company’s trailing 12-month earnings per share divided by its price; and (iii) sales-to-price ratio, calculated using the company’s trailing 12-month sales per share divided by its price. The Index Provider then calculates the value score of each security based on a composite of those three factors and selects the top 100 stocks with the highest value score for inclusion in the Index. The Index uses a modified market capitalization-weighted strategy, weighting securities by multiplying their market capitalization and their value score. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (1.72)%. On a net asset value (“NAV”) basis, the Fund returned (1.85)%. During the same time period, the Index returned (1.75)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period. During the same time period, the Parent Index returned (11.23)%.

For the fiscal year ended August 31, 2022, the health care sector contributed most significantly to the Fund’s return, followed by the energy and utilities sectors, respectively. The financials sector detracted most significantly from the Fund’s return, followed by the communication services and information technology sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Marathon Petroleum Corp., an energy company (portfolio average weight of 2.17%), and Ford Motor Co., a consumer discretionary company (portfolio average weight of 2.28%). Positions that detracted most significantly from the Fund’s return included Citigroup, Inc., a financials company (portfolio average weight of 2.95%), and Bank

of America Corp., a financials company (portfolio average weight of 4.40%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Financials      40.57  
Health Care      13.84  
Consumer Discretionary      11.55  
Information Technology      7.56  
Communication Services      7.50  
Consumer Staples      5.74  
Materials      5.31  
Energy      4.89  
Sector Types Each Less Than 3%      2.86  
Other Assets Less Liabilities      0.18  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Berkshire Hathaway, Inc., Class B      4.92  
JPMorgan Chase & Co.      4.81  
CVS Health Corp.      4.74  
AT&T, Inc.      4.51  
Bank of America Corp.      4.05  
Intel Corp.      3.75  
Wells Fargo & Co.      3.40  
Ford Motor Co.      3.18  
General Motors Co.      3.09  
Cigna Corp.      2.99  
Total      39.44  

 

*

Excluding money market fund holdings.

 

 

  16  

 


 

Invesco S&P 500® Enhanced Value ETF (SPVU) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year     3 Years
Average
Annualized
    3 Years
Cumulative
    5 Years
Average
Annualized
    5 Years
Cumulative
          Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P 500® Enhanced Value Index     (1.75 )%      9.85     32.56     8.24     48.56       9.73     89.60
S&P 500® Index     (11.23     12.39       41.98       11.82       74.86         12.37       123.38  
Fund                
NAV Return     (1.85     9.77       32.28       8.13       47.79         9.56       87.65  
Market Price Return     (1.72     9.76       32.23       8.14       47.91         9.55       87.52  

 

Fund Inception: October 9, 2015

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.13% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and indexes are based on the inception date of the Fund.

 

 

  17  

 


 

 

XRLV    Management’s Discussion of Fund Performance
   Invesco S&P 500® ex-Rate Sensitive Low Volatility ETF (XRLV)

 

As an index fund, the Invesco S&P 500® ex-Rate Sensitive Low Volatility ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P 500® Low Volatility Rate Response Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (“S&P DJI” or the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the volatility-driven weighted performance of the 100 constituents of the S&P 500® Index (the “Parent Index”) that exhibit the lowest volatility and low sensitivity to changes in the 10-year U.S. Treasury rates (interest rate risk). The Index selects stocks from the Parent Index that exhibit low volatility characteristics, after removing stocks that historically have performed poorly in rising interest rate environments. Volatility is a statistical measurement of the magnitude of up and down asset price fluctuations (increases or decreases in a stock’s price) over time. The Index Provider determines a stock’s interest rate sensitivity by performing a regression of the stock’s returns over a five-year period (60 monthly stock returns) to changes in the 10-year U.S. Treasury rate over that same period. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (1.90)%. On a net asset value (“NAV”) basis, the Fund returned (2.04)%. During the same time period, the Index returned (1.79)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period. During the same time period, the Parent Index returned (11.23)%.

For the fiscal year ended August 31, 2022, the utilities sector contributed most significantly to the Fund’s return, followed by the consumer staples sector. The industrials sector detracted most significantly from the Fund’s return, followed by the health care and financials sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Archer Daniels Midland Co., a consumer staples company (no longer held at fiscal year-end), and McKesson Corp., a health care company (portfolio average weight of 0.50%). Positions that detracted most significantly from the Fund’s return included 3M Co., an industrials company (portfolio average weight of 0.98%), and Xylem Inc., an industrials company (no longer held at fiscal year-end).

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Utilities      21.16  
Consumer Staples      19.71  
Health Care      15.65  
Financials      14.48  
Industrials      12.19  
Real Estate      7.19  
Consumer Discretionary      3.10  
Sector Types Each Less Than 3%      6.47  
Money Market Funds Plus Other Assets Less Liabilities      0.05  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Johnson & Johnson      1.27  
PepsiCo, Inc.      1.24  
DTE Energy Co.      1.23  
Duke Energy Corp.      1.22  
Ameren Corp.      1.20  
Gilead Sciences, Inc.      1.19  
American Electric Power Co., Inc.      1.19  
Dominion Energy, Inc.      1.19  
McDonald’s Corp.      1.18  
Southern Co. (The)      1.17  
Total      12.08  

 

*

Excluding money market fund holdings.

 

 

  18  

 


 

Invesco S&P 500® ex-Rate Sensitive Low Volatility ETF (XRLV) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year     3 Years
Average
Annualized
    3 Years
Cumulative
    5 Years
Average
Annualized
    5 Years
Cumulative
          Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P 500® Low Volatility Rate Response Index     (1.79 )%      9.12     29.93     10.94     68.04       11.11     117.93
S&P 500® Index     (11.23     12.39       41.98       11.82       74.86         11.08       117.50  
Fund                
NAV Return     (2.04     8.84       28.94       10.65       65.88         10.82       113.70  
Market Price Return     (1.90     8.86       29.00       10.67       66.02         10.82       113.72  

 

Fund Inception: April 9, 2015

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.25% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and indexes are based on the inception date of the Fund.

 

 

  19  

 


 

 

SPHB    Management’s Discussion of Fund Performance
   Invesco S&P 500® High Beta ETF (SPHB)

 

As an index fund, the Invesco S&P 500® High Beta ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P 500® High Beta Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of approximately 100 constituents of the S&P 500® Index (the “Parent Index”) that have the highest sensitivity to market returns, or “beta,” over the past 12 months as determined by the Index Provider. Beta is a measure of relative risk and is the rate of change of a security’s price. The Index weights each constituent security in proportion to its beta, with the highest beta securities receiving the greatest weights in the Index. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (12.84)%. On a net asset value (“NAV”) basis, the Fund returned (12.92)%. During the same time period, the Index returned (12.69)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period. During the same time period, the Parent Index returned (11.23)%.

For the fiscal year ended August 31, 2022, the energy sector contributed most significantly to the Fund’s return, followed by the materials and real estate sectors, respectively. The information technology sector detracted most significantly from the Fund’s return, followed by the consumer discretionary and financials sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Enphase Energy, Inc., an information technology company (portfolio average weight of 1.39%), and Devon Energy Corp., an energy company (no longer held at fiscal year-end). Positions that detracted most significantly from the Fund’s return included PENN Entertainment, Inc., a consumer discretionary company (portfolio average weight of 1.19%), and Align Technology Inc., a health care company (portfolio average weight of 0.97%).

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Information Technology      40.96  
Consumer Discretionary      26.27  
Financials      9.12  
Communication Services      6.65  
Industrials      6.58  
Health Care      6.27  
Sector Types Each Less Than 3%      4.16  
Money Market Funds Plus Other Assets Less Liabilities      (0.01)  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Norwegian Cruise Line Holdings Ltd.      1.44  
ON Semiconductor Corp.      1.42  
Etsy, Inc.      1.42  
NVIDIA Corp.      1.37  
Enphase Energy, Inc.      1.35  
Tesla, Inc.      1.30  
Carnival Corp.      1.29  
Caesars Entertainment, Inc.      1.29  
Advanced Micro Devices, Inc.      1.29  
Royal Caribbean Cruises Ltd.      1.24  
Total      13.41  

 

*

Excluding money market fund holdings.

 

 

  20  

 


 

Invesco S&P 500® High Beta ETF (SPHB) (continued)

 

Growth of a $10,000 Investment

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year     3 Years
Average
Annualized
    3 Years
Cumulative
    5 Years
Average
Annualized
    5 Years
Cumulative
    10 Years
Average
Annualized
    10 Years
Cumulative
          Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P 500® High Beta Index     (12.69 )%      19.20     69.36     13.87     91.41     14.33     281.55       10.81     219.53
S&P 500® Index     (11.23     12.39       41.98       11.82       74.86       13.08       241.73         12.28       270.87  
Fund                    
NAV Return     (12.92     18.91       68.14       13.59       89.08       14.03       271.55         10.51       210.01  
Market Price Return     (12.84     18.94       68.24       13.64       89.49       14.01       271.05         10.53       210.49  

 

Fund Inception: May 5, 2011

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.25% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and indexes are based on the inception date of the Fund.

 

 

  21  

 



 

 

SPHD    Management’s Discussion of Fund Performance
   Invesco S&P 500® High Dividend Low Volatility ETF (SPHD)

 

As an index fund, the Invesco S&P 500® High Dividend Low Volatility ETF (the “Fund”) seeks to track the investment results (before fees and expenses) of the S&P 500® Low Volatility High Dividend Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of the 50 least volatile high yielding constituents of the S&P 500® Index (the “Parent Index”) in the past year. The Index Provider identifies the 75 securities in the Parent Index with the highest dividend yields over the past 12 months, with no one sector within the Parent Index allowed to contribute more than 10 securities. From those 75 securities, the Index Provider selects for inclusion in the Index the 50 securities with the lowest realized volatility over the past 12 months. Volatility is a statistical measurement of the magnitude of up and down asset price fluctuations (increases or decreases in a stock’s price) over time. The Index weights each constituent security by its dividend yield, with higher dividend-yielding securities receiving proportionally greater weights. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned 3.15%. On a net asset value (“NAV”) basis, the Fund returned 3.02%. During the same time period, the Index returned 3.33%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period. During the same time period, the Parent Index returned (11.23)%.

For the fiscal year ended August 31, 2022, the energy sector contributed most significantly to the Fund’s return, followed by the utilities and health care sectors, respectively. The materials sector detracted most significantly from the Fund’s return, followed by the real estate and communications services sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Chevron Co., an energy company (portfolio average weight of 2.78%), and Williams Companies, Inc., an energy company (portfolio average weight of 3.29%). Positions that detracted most significantly from the Fund’s return included 3M Co., an industrials company (portfolio average weight of 1.46%), and Walgreens Boots Alliance, Inc., a consumer staples company (portfolio average weight of 1.77%).

Sector Breakdown
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Utilities      19.12  
Real Estate      18.79  
Consumer Staples      14.14  
Financials      9.75  
Materials      9.04  
Energy      7.60  
Communication Services      7.00  
Health Care      5.85  
Information Technology      5.18  
Sector Types Each Less Than 3%      3.44  
Money Market Funds Plus Other Assets Less Liabilities      0.09  

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Security   
Altria Group, Inc.      3.15  
Kinder Morgan, Inc.      3.09  
AT&T, Inc.      2.87  
Vornado Realty Trust      2.66  
Iron Mountain, Inc.      2.59  
Williams Cos., Inc. (The)      2.59  
Dow, Inc.      2.50  
Philip Morris International, Inc.      2.31  
Pinnacle West Capital Corp.      2.28  
Prudential Financial, Inc.      2.26  
Total      26.30  

 

*

Excluding money market fund holdings.

 

 

  22  

 


 

Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year     3 Years
Average
Annualized
    3 Years
Cumulative
    5 Years
Average
Annualized
    5 Years
Cumulative
          Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P 500® Low Volatility High Dividend Index     3.33     7.57     24.49     6.50     37.00       10.22     161.33
S&P 500® Index     (11.23     12.39       41.98       11.82       74.86         12.82       228.93  
Fund                
NAV Return     3.02       7.25       23.37       6.17       34.91         9.88       153.29  
Market Price Return     3.15       7.26       23.41       6.21       35.15         9.88       153.49  

 

Fund Inception: October 18, 2012

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.30% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  23  

 


 

 

SPLV    Management’s Discussion of Fund Performance
   Invesco S&P 500® Low Volatility ETF (SPLV)

 

As an index fund, the Invesco S&P 500® Low Volatility ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P 500® Low Volatility Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of the 100 least volatile constituents of the S&P 500® Index (the “Parent Index”) over the past 12 months as determined by the Index Provider. Volatility is a statistical measurement of the magnitude of up and down asset price fluctuations (increases or decreases in a stock’s price) over time. The Index weights the 100 constituent securities based upon the inverse of each security’s volatility, with the least volatile securities receiving the greatest weights in the Index. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned 0.73%. On a net asset value (“NAV”) basis, the Fund returned 0.60%. During the same time period, the Index returned 0.84%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period. During the same time period, the Parent Index returned (11.23)%.

For the fiscal year ended August 31, 2022, the utilities sector contributed most significantly to the Fund’s return, followed by the consumer staples sector. The industrials sector detracted most significantly from the Fund’s return, followed by the real estate and health care sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Consolidated Edison Inc., a utilities company (portfolio average weight of 1.08%), and General Mills Inc., a consumer staples company (portfolio average weight of 1.01%). Positions that detracted most significantly from the Fund’s return included 3M Co., an industrials company (portfolio average weight of 0.92%), and Verizon Communications, Inc., a communication services company (portfolio average weight of 1.27%).

Sector Breakdown
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Utilities      27.30  
Consumer Staples      19.43  
Health Care      13.72  
Financials      12.55  
Industrials      9.48  
Real Estate      7.96  
Consumer Discretionary      3.06  
Sector Types Each Less Than 3%      6.38  
Money Market Funds Plus Other Assets Less Liabilities      0.12  

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Security   
Johnson & Johnson      1.25  
PepsiCo, Inc.      1.22  
DTE Energy Co.      1.21  
Duke Energy Corp.      1.20  
Ameren Corp.      1.19  
Evergy, Inc.      1.18  
Gilead Sciences, Inc.      1.18  
American Electric Power Co., Inc.      1.17  
Dominion Energy, Inc.      1.17  
McDonald’s Corp.      1.16  
Total      11.93  

 

*

Excluding money market fund holdings.

 

 

 

  24  

 


 

Invesco S&P 500® Low Volatility ETF (SPLV) (continued)

 

Growth of a $10,000 Investment

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

   

10 Years

Average
Annualized

   

10 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P 500® Low Volatility Index     0.84     6.06     19.32     9.32     56.14     11.35     193.02       11.51     243.37
S&P 500® Index     (11.23     12.39       41.98       11.82       74.86       13.08       241.73         12.28       270.87  
Fund                    
NAV Return     0.60       5.79       18.38       9.03       54.09       11.06       185.42         11.22       233.30  
Market Price Return     0.73       5.81       18.45       9.06       54.30       11.05       185.31         11.23       233.61  

 

Fund Inception: May 5, 2011

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.25% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  25  

 


 

 

SPMV    Management’s Discussion of Fund Performance
   Invesco S&P 500 Minimum Variance ETF (SPMV)

 

As an index fund, the Invesco S&P 500 Minimum Variance ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P 500® Minimum Volatility Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (“S&P DJI” or the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of a subset of constituent securities of the S&P 500® Index (the “Parent Index”) using a managed volatility equity strategy that seeks to achieve lower total volatility than the Parent Index, while maintaining other similar characteristics of the Parent Index. Volatility is a statistical measurement of the magnitude of up and down asset price fluctuations (increases or decreases in a stock’s price) over time. Unlike the Parent Index, which is a traditional market capitalization-weighted index (meaning that companies with larger market capitalizations receive proportionally greater weight in the index, without regard to the volatility of those stocks), the Index weights its constituents using an optimization-driven weighting scheme that is designed to minimize overall forecasted volatility (i.e., reduce the magnitude of price fluctuations), subject to stock level, sector level and factor exposure constraints. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (5.14)%. On a net asset value (“NAV”) basis, the Fund returned (5.08)%. During the same time period, the Index returned (4.97)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period. During the same time period, the Parent Index returned (11.23)%.

For the fiscal year ended August 31, 2022, the consumer staples sector contributed most significantly to the Fund’s return, followed by the utilities and financials sectors, respectively. The information technology sector detracted most significantly from the Fund’s return, followed by the consumer discretionary and communications services sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Vertex Pharmaceuticals Inc., a health care company (portfolio average weight of 1.89%), and Progressive Corp., a financials company (portfolio average weight of 2.16%). Positions that detracted most significantly from the Fund’s return included Adobe Inc., an information technology company (portfolio average weight of 1.66%), and Medtronic PLC, a health care company (portfolio average weight of 1.72%).

Sector Breakdown
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Information Technology      25.27  
Health Care      17.83  
Consumer Staples      12.17  
Financials      11.59  
Utilities      8.15  
Consumer Discretionary      7.09  
Real Estate      4.95  
Industrials      4.52  
Communication Services      4.46  
Materials      3.40  
Energy      0.36  
Money Market Funds Plus Other Assets Less Liabilities      0.21  

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Security   
Progressive Corp. (The)      2.51  
Corteva, Inc.      2.41  
UnitedHealth Group, Inc.      2.32  
Vertex Pharmaceuticals, Inc.      2.30  
NextEra Energy, Inc.      2.24  
Marsh & McLennan Cos., Inc.      2.22  
Apple, Inc.      2.19  
Mondelez International, Inc., Class A      2.17  
Procter & Gamble Co. (The)      2.08  
Merck & Co., Inc.      2.07  
Total      22.51  

 

*

Excluding money market fund holdings.

 

 

 

  26  

 


 

Invesco S&P 500 Minimum Variance ETF (SPMV) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P 500® Minimum Volatility Index     (4.97 )%      9.09     29.82     10.61     65.54       10.61     67.77
S&P 500® Index     (11.23     12.39       41.98       11.82       74.86         11.78       77.08  
Fund                
NAV Return     (5.08     8.98       29.44       10.42       64.18         10.43       66.35  
Market Price Return     (5.14     8.99       29.46       10.43       64.21         10.43       66.35  

 

Fund Inception: July 13, 2017

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.10% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  27  

 


 

 

SPMO    Management’s Discussion of Fund Performance
   Invesco S&P 500® Momentum ETF (SPMO)

 

As an index fund, the Invesco S&P 500® Momentum ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P 500® Momentum Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (“S&P DJI” or the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of approximately 100 stocks in the S&P 500® Index (the “Parent Index”) that have the highest “momentum score.” In general, momentum is the tendency of an investment to exhibit persistence in its relative performance; a “momentum style” of investing emphasizes investing in securities that have had better recent performance compared to other securities. The momentum score for each security included in the Index is based on price movements and volatility of the security as compared to other eligible securities within the Parent Index.

In selecting constituent securities for the Index, the Index Provider first calculates the momentum score of each stock in the Parent Index by evaluating the percentage change in the stock’s price over the last 12 months, excluding the most recent month, and applying an adjustment based on the security’s volatility over that period. (Volatility is a statistical measurement of the magnitude of up and down asset price fluctuations (increases or decreases in a stock’s price) over time.) The Index Provider then selects approximately 100 stocks with the highest momentum score for inclusion in the Index using a modified market capitalization-weighted strategy, as the Index Provider weights securities by multiplying their market capitalization and their momentum score, subject to security and sector restraints. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (13.43)%. On a net asset value (“NAV”) basis, the Fund returned (13.60)%. During the same time period, the Index returned (13.49)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period. During the same time period, the Parent Index returned (11.23)%.

For the fiscal year ended August 31, 2022, the energy sector contributed most significantly to the Fund’s return, followed by the materials sector. The information technology sector detracted most significantly from the Fund’s return, followed by the health care and communication services sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Exxon Mobil

Corp., an energy company (portfolio average weight of 2.30%), and Freeport-McMoRan, Inc., a materials company (no longer held at fiscal year-end). Positions that detracted most significantly from the Fund’s return included NVIDIA Corp., an information technology company (portfolio average weight of 2.29%) and Moderna, Inc., a health care company (no longer held at fiscal year-end).

 

Sector Breakdown
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Financials      19.46  
Energy      17.49  
Health Care      14.56  
Consumer Staples      13.80  
Communication Services      12.60  
Information Technology      8.68  
Real Estate      5.16  
Industrials      3.50  
Sector Types Each Less Than 3%      4.52  
Money Market Funds Plus Other Assets Less Liabilities      0.23  

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Security   
Alphabet, Inc., Class A      6.43  
Alphabet, Inc., Class C      6.08  
Berkshire Hathaway, Inc., Class B      6.01  
Exxon Mobil Corp.      5.60  
UnitedHealth Group, Inc.      5.55  
Chevron Corp.      3.95  
NVIDIA Corp.      3.55  
Procter & Gamble Co. (The)      3.23  
Bank of America Corp.      2.76  
Coca-Cola Co. (The)      2.64  
Total      45.80  

 

*

Excluding money market fund holdings.

 

 

 

  28  

 


 

Invesco S&P 500® Momentum ETF (SPMO) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P 500® Momentum Index     (13.49 )%      11.66     39.23     13.58     89.03       13.39     137.71
S&P 500® Index     (11.23     12.39       41.98       11.82       74.86         12.37       123.38  
Fund                
NAV Return     (13.60     11.53       38.72       13.42       87.68         13.18       134.77  
Market Price Return     (13.43     11.57       38.90       13.49       88.30         13.20       134.99  

 

Fund Inception: October 9, 2015

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.13% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  29  

 


 

 

QVML    Management’s Discussion of Fund Performance
   Invesco S&P 500 QVM Multi-factor ETF (QVML)

 

As an index fund, the Invesco S&P 500 QVM Multi-factor ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P 500® Quality, Value & Momentum Top 90% Multi-factor Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (“S&P DJI” or the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of 90% of the stocks within the S&P 500® Index (the “Parent Index”), after excluding those with the lowest quality, value and momentum multi-factor score. The Index is composed of securities with multi-factor scores representing the top 90% of the Parent Index, as determined by the Index Provider.

To construct the Index, each security in the Parent Index is assigned three separate “style scores” for each of the three factors (i.e., quality, value and momentum), based on the characteristics of the issuer. The Quality score of each stock is based on the following three fundamental measures: (i) return on equity, (ii) accruals ratio, and (iii) financial leverage ratio (the Quality score of companies in the Financials or Real Estate sectors according to the Global Industry Classification Standard (“GICS”) is based only on the return on equity and financial leverage ratio measures). The Value score of each stock is based on the following three fundamental measures: (i) book value-to-price ratio, (ii) earnings- to-price ratio, and (iii) sales-to-price ratio. The Momentum score of each stock is based on the risk-adjusted price performance during the specified prior measurement period. Next, a combined “multi-factor” score is generated for each stock in the Parent Index by calculating the average of the underlying quality, value and momentum scores. Securities whose multi-factor score ranks within the top 90% of securities in the Parent Index (i.e., the 450 securities with the highest multi-factor scores) are generally selected for inclusion in the Index. Securities in the Index are weighted based on their float-adjusted market capitalization. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (9.36)%. On a net asset value (“NAV”) basis, the Fund returned (9.47)%. During the same time period, the Index returned (9.35)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period. During the same time period, the Parent Index returned (11.23)%.

For the fiscal year ended August 31, 2022, the energy sector contributed most significantly to the Fund’s return, followed by the utilities and consumer staples sectors, respectively. The communications services sector detracted most significantly from

the Fund’s return, followed by the information technology and financials sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Tesla Inc., a consumer discretionary company (portfolio average weight of 1.67%), and Exxon Mobil Corp., an energy company (portfolio average weight of 0.96%). Positions that detracted most significantly from the Fund’s return included Meta Platforms Inc., Class A, a communication services company (portfolio average weight of 1.81%) and Alphabet Inc., Class C, a communication services company (portfolio average weight of 4.53%).

 

Sector Breakdown
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Information Technology      28.96  
Health Care      15.42  
Financials      12.20  
Industrials      8.12  
Communication Services      7.78  
Consumer Staples      7.39  
Consumer Discretionary      6.50  
Energy      4.84  
Utilities      3.41  
Sector Types Each Less Than 3%      5.28  
Money Market Funds Plus Other Assets Less Liabilities      0.10  

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Security   
Apple, Inc.      8.08  
Microsoft Corp.      6.49  
Alphabet, Inc., Class C      4.04  
Tesla, Inc.      2.38  
Berkshire Hathaway, Inc., Class B      1.73  
UnitedHealth Group, Inc.      1.62  
Johnson & Johnson      1.42  
NVIDIA Corp.      1.25  
Exxon Mobil Corp.      1.23  
Meta Platforms, Inc., Class A      1.22  
Total      29.46  

 

*

Excluding money market fund holdings.

 

 

  30  

 


 

Invesco S&P 500 QVM Multi-factor ETF (QVML) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year           Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P 500® Quality, Value & Momentum Top 90% Multi-factor Index     (9.35 )%        (3.70 )%      (4.30 )% 
S&P 500® Index     (11.23       (5.47     (6.36
Fund        
NAV Return     (9.47       (3.83     (4.45
Market Price Return     (9.36       (3.72     (4.32

 

Fund Inception: June 30, 2021

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.11% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of

taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  31  

 


 

 

QVMM    Management’s Discussion of Fund Performance
   Invesco S&P MidCap 400 QVM Multi-factor ETF (QVMM)

 

As an index fund, the Invesco S&P MidCap 400 QVM Multi-factor ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P MidCap 400® Quality, Value & Momentum Top 90% Multi-factor Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (“S&P DJI” or the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of 90% of the stocks within the S&P MidCap 400® Index (the “Parent Index”), after excluding those with the lowest quality, value and momentum multi-factor score. The Index is composed of securities with multi-factor scores representing the top 90% of the Parent Index, as determined by the Index Provider.

To construct the Index, each security in the Parent Index is assigned three separate “style scores” for each of the three factors (i.e., quality, value and momentum), based on the characteristics of the issuer. The Quality score of each stock is based on the following three fundamental measures: (i) return on equity, (ii) accruals ratio, and (iii) financial leverage ratio (the Quality score of companies in the Financials or Real Estate sectors according to the Global Industry Classification Standard (“GICS”) is based only on the return on equity and financial leverage ratio measures). The Value score of each stock is based on the following three fundamental measures: (i) book value-to-price ratio, (ii) earnings- to-price ratio, and (iii) sales-to-price ratio. The Momentum score of each stock is based on the risk-adjusted price performance during the specified prior measurement period. Next, a combined “multi-factor” score is generated for each stock in the Parent Index by calculating the average of the underlying quality, value and momentum scores. Securities whose multi-factor score ranks within the top 90% of securities in the Parent Index (i.e., the 360 securities with the highest multi-factor scores) are generally selected for inclusion in the Index. Securities in the Index are weighted based on their float-adjusted market capitalization. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (10.62)%. On a net asset value (“NAV”) basis, the Fund returned (10.69)%. During the same time period, the Index returned (10.63)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period, which were partially offset by revenue generated from the securities lending program in which the Fund participates. During the same time period, the Parent Index returned (10.37)%.

For the fiscal year ended August 31, 2022, the energy sector contributed most significantly to the Fund’s return, followed by the

utilities and consumer staples sectors, respectively. The consumer discretionary sector detracted most significantly from the Fund’s return, followed by the information technology and industrials sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included EQT Corp., an energy company (portfolio average weight of 0.42%), and Avis Budget Group, Inc., an industrials company (portfolio average weight of 0.44%). Positions that detracted most significantly from the Fund’s return included Cognex Corp., an information technology company (portfolio average weight of 0.58%) and Trex Co., Inc. an industrials company (portfolio average weight of 0.49%).

 

Sector Breakdown
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Industrials      19.66  
Financials      16.59  
Consumer Discretionary      14.09  
Information Technology      11.30  
Real Estate      8.90  
Materials      7.81  
Health Care      7.55  
Energy      4.65  
Utilities      4.10  
Consumer Staples      3.90  
Communication Services      1.32  
Money Market Funds Plus Other Assets Less Liabilities      0.13  

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Security   
Steel Dynamics, Inc.      0.86  
Carlisle Cos., Inc.      0.79  
Targa Resources Corp.      0.78  
EQT Corp.      0.75  
First Solar, Inc.      0.67  
RPM International, Inc.      0.66  
First Horizon Corp.      0.65  
Reliance Steel & Aluminum Co.      0.63  
Darling Ingredients, Inc.      0.62  
Alleghany Corp.      0.62  
Total      7.03  

 

*

Excluding money market fund holdings.

 

 

  32  

 


 

Invesco S&P MidCap 400 QVM Multi-factor ETF (QVMM) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year           Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P MidCap 400® Quality, Value & Momentum Top 90% Multi-factor Index     (10.63 )%        (7.42 )%      (8.60 )% 
S&P MidCap 400® Index     (10.37       (7.17     (8.31
Fund        
NAV Return     (10.69       (7.50     (8.69
Market Price Return     (10.62       (7.52     (8.72

 

Fund Inception: June 30, 2021

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.15% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of

taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  33  

 


 

 

XMLV    Management’s Discussion of Fund Performance
   Invesco S&P MidCap Low Volatility ETF (XMLV)

 

As an index fund, the Invesco S&P MidCap Low Volatility ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P MidCap 400® Low Volatility Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of a subset of approximately 80 securities in the S&P MidCap 400® Index (the “Parent Index”) that have the lowest realized volatility over the past 12 months. The Parent Index reflects the mid-capitalization segment of the U.S. equity market. Volatility is a statistical measurement of the magnitude of up and down asset price fluctuations (increases or decreases in a stock’s price) over time. The Index weights its component securities based upon the inverse of each security’s volatility, with the least volatile securities receiving the greatest weights. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (3.27)%. On a net asset value (“NAV”) basis, the Fund returned (3.38)%. During the same time period, the Index returned (3.12)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred. During the same time period, the Parent Index returned (10.37)%.

For the fiscal year ended August 31, 2022, the utilities sector contributed most significantly to the Fund’s return, followed by the consumer staples and materials sectors, respectively. The financials sector detracted most significantly from the Fund’s return, followed by the industrials and real estate sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Carlisle Cos. Inc., an industrials company (portfolio average weight of 1.30%), and National Fuel Gas Co., a utilities company (portfolio average weight of 1.35%). Positions that detracted most significantly from the Fund’s return included Mercury General Corp., a financials company (portfolio average weight of 1.26%), and Masimo Corp., a health care company (no longer held at fiscal year-end).

Sector Breakdown
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Financials      20.99  
Industrials      19.38  
Utilities      19.26  
Real Estate      17.99  
Materials      7.51  
Consumer Staples      6.67  
Information Technology      3.51  
Sector Types Each Less Than 3%      4.63  
Money Market Funds Plus Other Assets Less Liabilities      0.06  

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Security   
OGE Energy Corp.      1.68  
IDACORP, Inc.      1.55  
Lancaster Colony Corp.      1.52  
Mercury General Corp.      1.49  
Portland General Electric Co.      1.47  
Physicians Realty Trust      1.42  
Silgan Holdings, Inc.      1.41  
Flowers Foods, Inc.      1.40  
ALLETE, Inc.      1.38  
MSC Industrial Direct Co., Inc., Class A      1.38  
Total      14.70  

 

*

Excluding money market fund holdings.

 

 

  34  

 


 

Invesco S&P MidCap Low Volatility ETF (XMLV) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P MidCap 400® Low Volatility Index     (3.12 )%      2.65     8.17     6.24     35.33       10.35     155.90
S&P MidCap 400® Index     (10.37     10.58       35.22       8.71       51.83         10.21       152.70  
Fund                
NAV Return     (3.38     2.42       7.45       5.98       33.72         10.06       149.56  
Market Price Return     (3.27     2.44       7.50       6.00       33.84         10.07       149.72  

 

Fund Inception: February 15, 2013

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.25% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  35  

 


 

 

QVMS    Management’s Discussion of Fund Performance
   Invesco S&P SmallCap 600 QVM Multi-Factor ETF (QVMS)

 

As an index fund, the Invesco S&P SmallCap 600 QVM Multi-factor ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P SmallCap 600® Quality, Value & Momentum Top 90% Multi- Factor Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (“S&P DJI” or the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of 90% of the stocks within the S&P SmallCap 600® Index (the “Parent Index”), after excluding those with the lowest quality, value and momentum. The Index is composed of securities with multi-factor scores representing the top 90% of the Parent Index, as determined by the Index Provider.

In selecting constituent securities for the Index, each security in the Parent Index is assigned three separate “style scores” for each of the three factors (i.e., quality, value and momentum), based on the characteristics of the issuer. The Quality score of each stock is based on the following three fundamental measures: (i) return on equity, (ii) accruals ratio, and (iii) financial leverage ratio (the Quality score of companies in the Financials or Real Estate sectors according to the Global Industry Classification Standard (“GICS”) is based only on the return on equity and financial leverage ratio measures). The Value score of each stock is based on the following three fundamental measures: (i) book value-to-price ratio, (ii) earnings- to-price ratio, and (iii) sales-to-price ratio. The Momentum score of each stock is based on the risk-adjusted price performance during the specified prior measurement period. Next, a combined “multi-factor” score is generated for each stock in the Parent Index by calculating the average of the underlying quality, value and momentum scores. Securities whose multi-factor score ranks within the top 90% of securities in the Parent Index (i.e., the 540 securities with the highest multi-factor scores) are generally selected for inclusion in the Index. Securities in the Index are weighted based on their float-adjusted market capitalization. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (10.17)%. On a net asset value (“NAV”) basis, the Fund returned (10.33)%. During the same time period, the Index returned (10.20)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred. During the same time period, the Parent Index returned (12.12)%.

For the fiscal year ended August 31, 2022, the energy sector contributed most significantly to the Fund’s return, followed by the utilities sector. The consumer discretionary sector detracted most

significantly from the Fund’s return during the period, followed by the health care and real estate sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Lantheus Holdings Inc., a health care company (portfolio average weight of 0.34%), and Matador Resources Co., an energy company (no longer held at fiscal year-end). Positions that detracted most significantly from the Fund’s return included Innovative Industrial Properties Inc., a real estate company (portfolio average weight 0.24%) and 3D Systems Corp., an information technology company (portfolio average weight 0.25%).

 

Sector Breakdown
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Financials      20.14  
Industrials      16.37  
Information Technology      13.50  
Consumer Discretionary      11.62  
Health Care      10.63  
Real Estate      7.88  
Materials      5.93  
Consumer Staples      5.19  
Energy      4.80  
Sector Types Each Less Than 3%      3.67  
Money Market Funds Plus Other Assets Less Liabilities      0.27  

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Security   
Livent Corp.      0.71  
ExlService Holdings, Inc.      0.66  
Agree Realty Corp.      0.66  
Lantheus Holdings, Inc.      0.63  
Exponent, Inc.      0.61  
SM Energy Co.      0.61  
UFP Industries, Inc.      0.60  
Rogers Corp.      0.60  
Ensign Group, Inc. (The)      0.59  
AMN Healthcare Services, Inc.      0.58  
Total      6.25  

 

*

Excluding money market fund holdings.

 

 

  36  

 


 

Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

   

1 Year

          Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P SmallCap 600® Quality, Value & Momentum Top 90% Multi-factor Index     (10.20 )%        (8.65 )%      (10.02 )% 
S&P SmallCap 600® Index     (12.12       (10.81     (12.49
Fund        
NAV Return     (10.33       (8.80     (10.18
Market Price Return     (10.17       (8.81     (10.20

 

Fund Inception: June 30, 2021

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.15% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of

taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  37  

 


 

 

XSHD    Management’s Discussion of Fund Performance
   Invesco S&P SmallCap High Dividend Low Volatility ETF (XSHD)

 

As an index fund, the Invesco S&P SmallCap High Dividend Low Volatility ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P SmallCap 600® Low Volatility High Dividend Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (“S&P DJI” or the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of approximately 60 securities in the S&P SmallCap 600® Index (the “Parent Index”) that historically have provided high dividend yields while exhibiting lower volatility. The Index selects constituents from the Parent Index, which reflects the small-capitalization segment of the U.S. equity market.

The Index Provider selects from the Parent Index the 90 securities with the highest dividend yields over the past 12 months, with no one sector within the Parent Index allowed to contribute more than 10 securities. From those securities, the Index Provider selects for inclusion in the Index the 60 securities with the lowest realized volatility over the past 12 months. Volatility is a statistical measurement of the magnitude of up and down asset price fluctuations (increases or decreases in a stock’s price) over time. The Index weights each constituent security by its dividend yield, with the highest dividend-yielding securities receiving the largest weights. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (13.19)%. On a net asset value (“NAV”) basis, the Fund returned (13.36)%. During the same time period, the Index returned (13.10)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period. During the same time period, the Parent Index returned (12.12)%.

For the fiscal year ended August 31, 2022, the utilities sector contributed most significantly to the Fund’s return, followed by the consumer staples sector. The financials sector detracted most significantly from the Fund’s return during the period, followed by the real estate and materials sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included LTC Properties, Inc., a real estate company (portfolio average weight 2.77%), and South Jersey Industries, Inc., a utilities company (no longer held at fiscal year-end). Positions that detracted most significantly from the Fund’s return included Industrial Logistics Properties Trust, a real estate company (portfolio average weight 2.11%) and Brandywine Realty Trust, a real estate company (portfolio average weight 2.44%).

Sector Breakdown
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Financials      25.58  
Real Estate      24.20  
Industrials      11.09  
Consumer Staples      8.17  
Utilities      6.47  
Communication Services      5.25  
Materials      5.03  
Information Technology      4.42  
Consumer Discretionary      4.11  
Sector Types Each Less Than 3%      5.51  
Money Market Funds Plus Other Assets Less Liabilities      0.17  

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Security   
Ready Capital Corp.      3.13  
ARMOUR Residential REIT, Inc.      3.13  
PennyMac Mortgage Investment Trust      3.11  
Mativ Holdings, Inc., Class A      3.10  
Apollo Commercial Real Estate Finance, Inc.      3.05  
New York Mortgage Trust, Inc.      3.03  
Two Harbors Investment Corp.      2.91  
Global Net Lease, Inc.      2.89  
B&G Foods, Inc.      2.85  
Office Properties Income Trust      2.80  
Total      30.00  

 

*

Excluding money market fund holdings.

 

 

  38  

 


 

Invesco S&P SmallCap High Dividend Low Volatility ETF (XSHD) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year     3 Years
Average
Annualized
   

3 Years

Cumulative

    5 Years
Average
Annualized
    5 Years
Cumulative
          Fund Inception  
Index   Average
Annualized
    Cumulative  
S&P SmallCap 600® Low Volatility High Dividend Index     (13.10 )%      0.03     0.09     1.10     5.61       0.83     4.89
S&P SmallCap 600® Index     (12.12     10.40       34.56       8.65       51.40         8.39       58.93  
Fund                
NAV Return     (13.36     (0.23     (0.69     0.81       4.09         0.53       3.06  
Market Price Return     (13.19     (0.09     (0.26     0.84       4.26         0.55       3.23  

 

Fund Inception: December 1, 2016

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.30% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  39  

 


 

 

XSLV    Management’s Discussion of Fund Performance
   Invesco S&P SmallCap Low Volatility ETF (XSLV)

 

As an index fund, the Invesco S&P SmallCap Low Volatility ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P SmallCap 600® Low Volatility Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of approximately 120 securities in the S&P SmallCap 600® Index (the “Parent Index”) that have exhibited the lowest volatility over the past 12 months. Volatility is a statistical measurement of the magnitude of up and down asset price fluctuations (increases or decreases in a stock’s price) over time.

The Index selects constituents from the Parent Index, which reflects the small-capitalization segment of the U.S. equity market. The Index weights its component securities based upon the inverse of each security’s volatility, with the least volatile securities receiving the largest weights. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (5.72)%. On a net asset value (“NAV”) basis, the Fund returned (5.81)%. During the same time period, the Index returned (5.53)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period. During the same time period, the Parent Index returned (12.12)%.

For the fiscal year ended August 31, 2022, the consumer staples sector contributed most significantly to the Fund’s return, followed by the consumer discretionary sector. The financials sector detracted most significantly from the Fund’s return during the period, followed by the real estate and health care sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Encore Wire Corp., an industrials company (no longer held at fiscal year-end) and Cal-Maine Foods, Inc., a consumer staples company (portfolio average weight of 0.99%). Positions that detracted most significantly from the Fund’s return included Industrial Logistics Properties Trust, a real estate company (no longer held at fiscal year-end), and SiriusPoint, Ltd., a financials company (no longer held at fiscal year-end).

Sector Breakdown
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Financials      43.38  
Real Estate      17.75  
Industrials      10.59  
Consumer Staples      7.02  
Information Technology      6.72  
Utilities      5.35  
Materials      4.09  
Sector Types Each Less Than 3%      5.09  
Money Market Funds Plus Other Assets Less Liabilities      0.01  

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Security   
John B. Sanfilippo & Son, Inc.      1.20  
Easterly Government Properties, Inc.      1.13  
Safety Insurance Group, Inc.      1.07  
TrustCo Bank Corp.      1.05  
Northwest Bancshares, Inc.      1.04  
Agree Realty Corp.      1.04  
Getty Realty Corp.      1.04  
CSG Systems International, Inc.      1.03  
CVB Financial Corp.      1.00  
Capitol Federal Financial, Inc.      0.99  
Total      10.59  

 

*

Excluding money market fund holdings.

 

 

  40  

 


 

Invesco S&P SmallCap Low Volatility ETF (XSLV) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year     3 Years
Average
Annualized
    3 Years
Cumulative
    5 Years
Average
Annualized
    5 Years
Cumulative
          Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P SmallCap 600® Low Volatility Index     (5.53 )%      0.82     2.49     3.50     18.76       8.95     126.48
S&P SmallCap 600® Index     (12.12     10.40       34.56       8.65       51.40         10.61       161.69  
Fund                
NAV Return     (5.81     0.57       1.72       3.23       17.25         8.66       120.80  
Market Price Return     (5.72     0.58       1.75       3.26       17.41         8.65       120.65  

 

Fund Inception: February 15, 2013

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.25% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  41  

 


 

 

XSHQ    Management’s Discussion of Fund Performance
   Invesco S&P SmallCap Quality ETF (XSHQ)

 

As an index fund, the Invesco S&P SmallCap Quality ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the S&P SmallCap 600® Quality Index (the “Index”). The Fund generally will invest at least 90% of its total assets in the securities that comprise the Index.

Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of approximately 120 securities in the S&P SmallCap 600® Index (the “Parent Index”) that are of the highest quality, as determined by the Index Provider. The Index Provider selects constituents from the Parent Index, which reflects the small-capitalization segment of the U.S. equity market.

Each security in the Parent Index receives a “quality score,” which is based on an average of the following three fundamental measures of a company: (1) return-on-equity (calculated as the company’s trailing 12-month earnings per share divided by the company’s latest book value per share); (2) accruals ratio (computed using the change of the company’s net operating assets over the last year divided by the company’s average net operating assets over the last two years); and (3) financial leverage ratio (calculated as the company’s latest total debt divided by the company’s book value). The Index Provider selects the 120 stocks with the highest quality scores for inclusion in the Index. The Index weights each component security by the total of its quality score multiplied by its market capitalization, subject to security and sector constraints and optimization procedure. Stocks with higher scores receive relatively greater weights. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.

For the fiscal year ended August 31, 2022, on a market price basis, the Fund returned (10.12)%. On a net asset value (“NAV”) basis, the Fund returned (10.13)%. During the same time period, the Index returned (9.88)%. During the fiscal year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period. During the same time period, the Parent Index returned (12.12)%.

For the fiscal year ended August 31, 2022, the health care sector contributed most significantly to the Fund’s return, followed by the materials and energy sectors, respectively. The consumer discretionary sector detracted most significantly from the Fund’s return during the period, followed by the industrials and consumer staples sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Rogers Corp., an information technology company (no longer held at fiscal year-end) and Corcept Therapeutics Inc., a health care company

(portfolio average weight of 0.53%). Positions that detracted most significantly from the Fund’s return included 3D Systems Corp., an information technology company (portfolio average weight of 0.72%), and Meritage Homes Corp., a consumer discretionary company (no longer held at fiscal year-end).

 

Sector Breakdown
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Financials      39.75  
Industrials      16.72  
Consumer Discretionary      15.78  
Information Technology      10.01  
Health Care      8.46  
Sector Types Each Less Than 3%      9.10  
Money Market Funds Plus Other Assets Less Liabilities      0.18  

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)

as of August 31, 2022

 
Security   
Exponent, Inc.      3.04  
United Community Banks, Inc.      2.42  
AMN Healthcare Services, Inc.      2.33  
Ameris Bancorp      2.14  
Mueller Industries, Inc.      1.91  
Community Bank System, Inc.      1.90  
Matson, Inc.      1.89  
Applied Industrial Technologies, Inc.      1.80  
Signet Jewelers Ltd.      1.78  
First Bancorp      1.77  
Total      20.98  

 

*

Excluding money market fund holdings.

 

 

  42  

 


 

Invesco S&P SmallCap Quality ETF (XSHQ) (continued)

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year     3 Years
Average
Annualized
    3 Years
Cumulative
    5 Years
Average
Annualized
    5 Years
Cumulative
          Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P SmallCap 600® Quality Index     (9.88 )%      9.67     31.89     8.07     47.40       7.47     47.59
S&P SmallCap 600® Index     (12.12     10.40       34.56       8.65       51.40         8.38       54.46  
Fund                
NAV Return     (10.13     9.34       30.71       7.69       44.87         7.10       44.85  
Market Price Return     (10.12     9.37       30.84       7.72       45.02         7.13       45.07  

 

Fund Inception: April 6, 2017

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.29% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund

distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  43  

 


 

Liquidity Risk Management Program

 

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), the Funds have adopted and implemented a liquidity risk management program (the “Program”). The Program is reasonably designed to assess and manage the Funds’ liquidity risk, which is the risk that the Funds could not meet redemption requests without significant dilution of remaining investors’ interests in the Funds. The Board of Trustees of the Funds (the “Board”) has appointed Invesco Capital Management LLC (“Invesco”), the Funds’ investment adviser, as the Program’s administrator, and Invesco has delegated oversight of the Program to the Liquidity Risk Management Committee (the “Committee”), which is composed of senior representatives from relevant business groups at Invesco and its affiliates.

As required by the Liquidity Rule, the Program includes policies and procedures providing for an assessment, no less frequently than annually, of the Funds’ liquidity risk that takes into account, as relevant to the Funds’ liquidity risk: (1) each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Funds during both normal and reasonably foreseeable stressed conditions; (3) each Fund’s holdings of cash and cash equivalents and any borrowing arrangements; (4) the relationship between the Funds’ portfolio liquidity and the way in which, and the prices and spreads at which, Fund shares trade, including the efficiency of the arbitrage function and the level of active participation by market participants, including authorized participants; and (5) the effect of the composition of baskets on the overall liquidity of each Fund’s portfolio. The Liquidity Rule also requires the classification of each Fund’s investments into categories that reflect the assessment of their relative liquidity under current market conditions. Each Fund classifies its investments into one of four categories defined in the Liquidity Rule: “Highly Liquid,” “Moderately Liquid,” “Less Liquid,” and “Illiquid.” Funds that are not invested primarily in “Highly Liquid Investments” that are assets (cash or investments that are reasonably expected to be convertible into cash within three business days without significantly changing the market value of the investment) are required to establish a “Highly Liquid Investment Minimum” (“HLIM”), which is the minimum percentage of net assets that must be invested in Highly Liquid Investments. Funds with HLIMs have procedures for addressing HLIM shortfalls, including reporting to the Board and the SEC (on a non-public basis) as required by the Program and the Liquidity Rule. In addition, a Fund may not acquire an investment if, immediately after the acquisition, over 15% of such Fund’s net assets would consist of “Illiquid Investments” that are assets (an investment that cannot reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment). The Liquidity Rule and the Program also require reporting to the Board and the SEC (on a non-public basis) if a Fund’s holdings of Illiquid Investments exceed 15% of such Fund’s assets.

At a meeting held on March 15, 2022, the Committee presented a report to the Board that addressed the operation of the Program and assessed the Program’s adequacy and effectiveness of implementation (the “Report”). The Report covered the period from January 1, 2021 through December 31, 2021 (the “Program Reporting Period”). The Report discussed notable events affecting liquidity over the Program Reporting Period, including the impact of the coronavirus pandemic on the Funds and the overall market. The Report noted that there were no material changes to the Program during the Program Reporting Period.

The Report stated, in relevant part, that during the Program Reporting Period:

 

   

The Program, as adopted and implemented, remained reasonably designed to assess and manage the Funds’ liquidity risk and was operated effectively to achieve that goal;

 

   

Each Fund’s investment strategy remained appropriate for an open-end fund;

 

   

Each Fund was able to meet requests for redemption without significant dilution of remaining investors’ interests in the Fund;

 

   

The Funds did not breach the 15% limit on Illiquid Investments; and

 

   

The Funds primarily held Highly Liquid Investments and therefore have not adopted an HLIM.

 

 

    44    

 

 

 

 


 

Invesco ESG S&P 500 Equal Weight ETF (RSPE)

August 31, 2022

Schedule of Investments(a)

 

         Shares                Value        

Common Stocks & Other Equity Interests-99.92%

 

Communication Services-5.16%

     

Alphabet, Inc., Class A(b)

     243      $ 26,298  

Alphabet, Inc., Class C(b)

     224        24,450  

AT&T, Inc.

     2,574        45,147  

Comcast Corp., Class A

     1,267        45,853  

Electronic Arts, Inc.

     389        49,352  

Interpublic Group of Cos., Inc. (The)

     1,763        48,729  

Omnicom Group, Inc.

     760        50,844  

Take-Two Interactive Software, Inc.(b)

     414        50,740  

Twitter, Inc.(b)

     1,341        51,964  

Verizon Communications, Inc.

     1,052        43,984  

Walt Disney Co. (The)(b)

     505        56,600  
     

 

 

 
        493,961  
     

 

 

 

Consumer Discretionary-12.25%

 

Aptiv PLC(b)

     495        46,248  

Best Buy Co., Inc.

     706        49,907  

Darden Restaurants, Inc.

     439        54,309  

Dollar Tree, Inc.(b)

     337        45,724  

eBay, Inc.

     1,136        50,132  

Etsy, Inc.(b)

     639        67,485  

General Motors Co.

     1,439        54,984  

Hasbro, Inc.

     613        48,317  

Hilton Worldwide Holdings, Inc.

     386        49,161  

Home Depot, Inc. (The)

     183        52,781  

Lowe’s Cos., Inc.

     283        54,942  

Marriott International, Inc., Class A

     314        48,274  

McDonald’s Corp.

     223        56,258  

Newell Brands, Inc.

     2,635        47,035  

NIKE, Inc., Class B

     445        47,370  

PVH Corp.

     767        43,144  

Royal Caribbean Cruises Ltd.(b)

     1,007        41,136  

Starbucks Corp.

     692        58,176  

Target Corp.

     349        55,959  

TJX Cos., Inc. (The)

     883        55,055  

VF Corp.

     1,089        45,139  

Whirlpool Corp.(c)

     319        49,955  

Yum! Brands, Inc.

     450        50,058  
     

 

 

 
        1,171,549  
     

 

 

 

Consumer Staples-6.87%

 

Archer-Daniels-Midland Co.

     612        53,789  

Campbell Soup Co.

     1,150        57,937  

Colgate-Palmolive Co.

     698        54,591  

Estee Lauder Cos., Inc. (The), Class A

     205        52,148  

General Mills, Inc.

     790        60,672  

Hershey Co. (The)

     259        58,189  

Kellogg Co.

     788        57,319  

Kraft Heinz Co. (The)

     1,449        54,193  

McCormick & Co., Inc.

     608        51,114  

Mondelez International, Inc., Class A

     868        53,694  

Walgreens Boots Alliance, Inc.

     1,271        44,561  

Walmart, Inc.

     445        58,985  
     

 

 

 
        657,192  
     

 

 

 

Financials-14.49%

 

Aflac, Inc.

     925        54,963  

Allstate Corp. (The)

     414        49,887  

American Express Co.

     328        49,856  
         Shares                Value        

Financials-(continued)

 

American International Group, Inc.

     938      $ 48,541  

Bank of America Corp.

     1,511        50,785  

Bank of New York Mellon Corp. (The)

     1,196        49,670  

Capital One Financial Corp.

     433        45,820  

Citigroup, Inc.

     1,054        51,446  

Comerica, Inc.

     667        53,560  

Fifth Third Bancorp

     1,395        47,639  

Hartford Financial Services Group, Inc. (The)

     756        48,618  

Invesco Ltd.(d)

     2,926        48,191  

JPMorgan Chase & Co.

     424        48,222  

KeyCorp

     2,806        49,638  

Lincoln National Corp.

     961        44,264  

MetLife, Inc.

     808        51,979  

Moody’s Corp.

     192        54,628  

Morgan Stanley

     653        55,649  

Nasdaq, Inc.

     1,060        63,102  

Northern Trust Corp.

     496        47,165  

Principal Financial Group, Inc.

     757        56,593  

Prudential Financial, Inc.

     517        49,503  

Regions Financial Corp.

     2,485        53,850  

S&P Global, Inc.

     161        56,701  

State Street Corp.

     785        53,655  

U.S. Bancorp

     1,045        47,662  

Willis Towers Watson PLC

     263        54,396  
     

 

 

 
        1,385,983  
     

 

 

 

Health Care-14.16%

 

Abbott Laboratories

     475        48,759  

AbbVie, Inc.

     364        48,943  

Agilent Technologies, Inc.

     430        55,147  

Amgen, Inc.

     223        53,587  

Baxter International, Inc.

     745        42,808  

Becton, Dickinson and Co.

     215        54,270  

Biogen, Inc.(b)

     262        51,190  

Boston Scientific Corp.(b)

     1,386        55,870  

Cigna Corp.

     208        58,958  

CVS Health Corp.

     579        56,829  

DaVita, Inc.(b)

     583        49,724  

Edwards Lifesciences Corp.(b)

     565        50,907  

Elevance Health, Inc.

     109        52,877  

Gilead Sciences, Inc.

     871        55,282  

Hologic, Inc.(b)

     718        48,508  

Humana, Inc.

     121        58,295  

Illumina, Inc.(b)

     233        46,982  

Medtronic PLC

     566        49,763  

Merck & Co., Inc.

     608        51,899  

Mettler-Toledo International, Inc.(b)

     43        52,136  

Moderna, Inc.(b)

     367        48,543  

Quest Diagnostics, Inc.

     403        50,500  

Regeneron Pharmaceuticals, Inc.(b)

     90        52,295  

UnitedHealth Group, Inc.

     110        57,126  

Vertex Pharmaceuticals, Inc.(b)

     198        55,788  

Waters Corp.(b)

     161        48,075  
     

 

 

 
        1,355,061  
     

 

 

 

Industrials-15.81%

 

American Airlines Group, Inc.(b)

     3,356        43,594  

Caterpillar, Inc.

     237        43,776  

CSX Corp.

     1,703        53,900  

 

See accompanying Notes to Financial Statements which are an integral part of the financial statements.

 

    45    

 

 

 

 


 

Invesco ESG S&P 500 Equal Weight ETF (RSPE)–(continued)

August 31, 2022

 

 

         Shares          Value  

Industrials-(continued)

 

Cummins, Inc.

     254      $ 54,704  

Deere & Co.

     153        55,883  

Dover Corp.

     404        50,484  

Emerson Electric Co.

     595        48,635  

Fortive Corp.

     863        54,654  

IDEX Corp.

     279        56,138  

Illinois Tool Works, Inc.

     264        51,435  

Ingersoll Rand, Inc.

     1,079        51,112  

J.B. Hunt Transport Services, Inc.

     323        56,209  

Johnson Controls International PLC

     989        53,544  

Nielsen Holdings PLC

     2,132        59,355  

Norfolk Southern Corp.

     224        54,461  

PACCAR, Inc.

     608        53,206  

Pentair PLC

     1,088        48,416  

Republic Services, Inc.

     412        58,801  

Rockwell Automation, Inc.

     253        59,946  

Stanley Black & Decker, Inc.

     456        40,174  

Trane Technologies PLC

     395        60,858  

Union Pacific Corp.

     246        55,229  

United Parcel Service, Inc., Class B

     304        59,131  

United Rentals, Inc.(b)

     179        52,275  

Verisk Analytics, Inc.

     319        59,704  

W.W. Grainger, Inc.

     109        60,489  

Waste Management, Inc.

     346        58,484  

Xylem, Inc.

     642        58,486  
     

 

 

 
        1,513,083  
     

 

 

 

Information Technology-16.50%

 

Accenture PLC, Class A

     180        51,923  

Adobe, Inc.(b)

     127        47,427  

Advanced Micro Devices, Inc.(b)

     532        45,151  

Akamai Technologies, Inc.(b)

     539        48,661  

ANSYS, Inc.(b)

     210        52,143  

Applied Materials, Inc.

     484        45,530  

Arista Networks, Inc.(b)

     529        63,417  

Autodesk, Inc.(b)

     268        54,066  

Cisco Systems, Inc.

     1,207        53,977  

Hewlett Packard Enterprise Co.

     3,619        49,219  

HP, Inc.

     1,429        41,027  

Intel Corp.

     1,314        41,943  

Intuit, Inc.

     133        57,427  

Juniper Networks, Inc.

     1,791        50,900  

Keysight Technologies, Inc.(b)

     376        61,623  

Lam Research Corp.

     107        46,856  

Mastercard, Inc., Class A

     151        48,980  

Micron Technology, Inc.

     791        44,715  

Microsoft Corp.

     201        52,555  

Motorola Solutions, Inc.

     251        61,096  

NortonLifeLock, Inc.

     2,212        49,969  

NVIDIA Corp.

     292        44,074  

Oracle Corp.

     762        56,502  

QUALCOMM, Inc.

     391        51,718  

Roper Technologies, Inc.

     130        52,335  

salesforce.com, inc.(b)

     288        44,963  

ServiceNow, Inc.(b)

     108        46,939  

TE Connectivity Ltd. (Switzerland)

     415        52,377  

Texas Instruments, Inc.

     331        54,684  

Tyler Technologies, Inc.(b)

     151        56,098  

Visa, Inc., Class A(c)

     255        50,671  
     

 

 

 
        1,578,966  
     

 

 

 
         Shares          Value  

Materials-5.59%

 

Air Products and Chemicals, Inc.

     216      $ 54,529  

Albemarle Corp.

     215        57,611  

CF Industries Holdings, Inc.

     604        62,490  

Dow, Inc.

     808        41,208  

Ecolab, Inc.

     331        54,228  

Freeport-McMoRan, Inc.

     1,286        38,066  

Linde PLC (United Kingdom)

     165        46,672  

LyondellBasell Industries N.V., Class A

     494        41,002  

Mosaic Co. (The)

     954        51,392  

Newmont Corp.

     808        33,419  

PPG Industries, Inc.

     430        54,601  
     

 

 

 
            535,218  
     

 

 

 

Real Estate-6.26%

 

Boston Properties, Inc.

     528        41,939  

CBRE Group, Inc., Class A(b)

     693        54,719  

Digital Realty Trust, Inc.

     409        50,565  

Healthpeak Properties, Inc.

     1,973        51,791  

Host Hotels & Resorts, Inc.

     2,590        46,025  

Iron Mountain, Inc.

     1,018        53,557  

Kimco Realty Corp.

     2,440        51,435  

Prologis, Inc.

     436        54,287  

Regency Centers Corp.

     836        50,862  

Ventas, Inc.

     991        47,429  

Welltower, Inc.

     631        48,366  

Weyerhaeuser Co.

     1,413        48,268  
     

 

 

 
            599,243  
     

 

 

 

Utilities-2.83%

 

American Water Works Co., Inc.

     354        52,551  

Consolidated Edison, Inc.

     559        54,636  

Edison International

     784        53,132  

Eversource Energy

     601        53,904  

Sempra Energy

     341        56,255  
     

 

 

 
            270,478  
     

 

 

 

Total Common Stocks & Other Equity Interests
(Cost $10,472,413)

          9,560,734  
     

 

 

 

Money Market Funds-0.06%

     

Invesco Government & Agency Portfolio, Institutional Class, 2.22%(d)(e)
(Cost $5,917)

     5,917        5,917  
     

 

 

 

TOTAL INVESTMENTS IN SECURITIES
(excluding investments purchased with cash collateral from securities on loan)-99.98%
(Cost $10,478,330)

          9,566,651  
     

 

 

 
Investments Purchased with Cash Collateral from Securities on Loan

 

Money Market Funds-0.66%

     

Invesco Private Government Fund, 2.29%(d)(e)(f)

     17,739        17,739  

 

See accompanying Notes to Financial Statements which are an integral part of the financial statements.

 

    46    

 

 

 

 


 

Invesco ESG S&P 500 Equal Weight ETF (RSPE)–(continued)

August 31, 2022

    

 

         Shares          Value  

Money Market Funds-(continued)

 

Invesco Private Prime Fund, 2.37%(d)(e)(f)

     45,609      $ 45,613  
  

 

 

 

Total Investments Purchased with Cash Collateral from Securities on Loan
(Cost $63,352)

        63,352  
  

 

 

 

TOTAL INVESTMENTS IN SECURITIES-100.64%
(Cost $10,541,682)

 

     9,630,003  

OTHER ASSETS LESS LIABILITIES-(0.64)%

 

     (61,462
  

 

 

 

NET ASSETS-100.00%

      $ 9,568,541  
     

 

 

 

 

Notes to Schedule of Investments:

(a) 

Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s.

(b) 

Non-income producing security.

(c) 

All or a portion of this security was out on loan at August 31, 2022.

(d) 

Affiliated issuer. The issuer and/or the Fund is a wholly-owned subsidiary of Invesco Ltd., or is affiliated by having an investment adviser that is under common control of Invesco Ltd. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the period ended August 31, 2022.

 

     Value
August 31,  2021
   Purchases
at Cost
   Proceeds
from  Sales
  Change in
Unrealized
Appreciation

(Depreciation)
  Realized
Gain
(Loss)
  Value
August 31, 2022
   Dividend
Income
Invesco Ltd.        $-        $ 73,698      $ (10,902 )     $ (10,751 )     $ (3,854 )     $ 48,191      $ 966
Investments in Affiliated Money Market Funds:                                
Invesco Government & Agency Portfolio, Institutional Class        -          81,454        (75,537 )       -       -       5,917        14
Investments Purchased with Cash Collateral from Securities on Loan:                                
Invesco Private Government Fund        -          430,527        (412,788 )       -       -       17,739        126 *
Invesco Private Prime Fund        -          827,532        (781,925 )       -       6       45,613        331 *
    

 

 

      

 

 

      

 

 

     

 

 

     

 

 

     

 

 

      

 

 

 
Total        $-        $ 1,413,211      $ (1,281,152 )     $ (10,751 )     $ (3,848 )     $ 117,460      $ 1,437
    

 

 

      

 

 

      

 

 

     

 

 

     

 

 

     

 

 

      

 

 

 

 

*

Represents the income earned on the investment of cash collateral, which is included in securities lending income on the Statements of Operations. Does not include rebates and fees paid to lending agent or premiums received from borrowers, if any.

 

(e) 

The rate shown is the 7-day SEC standardized yield as of August 31, 2022.

(f) 

The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 2I.

 

See accompanying Notes to Financial Statements which are an integral part of the financial statements.

 

    47    

 

 

 

 


 

Invesco Russell 1000 Enhanced Equal Weight ETF (USEQ)

August 31, 2022

Schedule of Investments(a)

 

         Shares                Value        

Common Stocks & Other Equity Interests-99.84%

 

Communication Services-3.20%

     

Activision Blizzard, Inc.

     49      $ 3,846  

Alphabet, Inc., Class A(b)

     20        2,164  

Alphabet, Inc., Class C(b)

     20        2,183  

Altice USA, Inc., Class A(b)

     336        3,360  

AT&T, Inc.

     177        3,105  

Cable One, Inc.(c)

     3        3,405  

Charter Communications, Inc., Class A(b)

     8        3,301  

Comcast Corp., Class A(c)

     86        3,112  

DISH Network Corp., Class A(b)(c)

     170        2,950  

Electronic Arts, Inc.

     27        3,425  

Fox Corp., Class A

     75        2,564  

Fox Corp., Class B

     35        1,107  

Frontier Communications Parent, Inc.(b)

     141        3,632  

Interpublic Group of Cos., Inc. (The)

     119        3,289  

Liberty Media Corp.-Liberty SiriusXM,
Class A(b)(c)

     30        1,246  

Liberty Media Corp.-Liberty SiriusXM,
Class C(b)

     62        2,564  

Lumen Technologies, Inc.

     314        3,127  

New York Times Co. (The), Class A

     110        3,354  

News Corp., Class A

     166        2,809  

News Corp., Class B

     52        896  

Nexstar Media Group, Inc., Class A

     21        4,018  

Omnicom Group, Inc.

     52        3,479  

Paramount Global, Class A

     2        53  

Paramount Global, Class B(c)

     114        2,666  

Sirius XM Holdings, Inc.(c)

     596        3,630  

T-Mobile US, Inc.(b)

     28        4,031  

Verizon Communications, Inc.

     73        3,052  

World Wrestling Entertainment, Inc., Class A

     56        3,809  
     

 

 

 
            80,177  
     

 

 

 

Consumer Discretionary-13.05%

 

Advance Auto Parts, Inc.(c)

     20        3,373  

Amazon.com, Inc.(b)

     31        3,930  

Aptiv PLC(b)

     35        3,270  

Aramark

     110        3,928  

AutoNation, Inc.(b)

     31        3,863  

AutoZone, Inc.(b)

     2        4,238  

Bath & Body Works, Inc.

     95        3,546  

Best Buy Co., Inc.(c)

     47        3,322  

BorgWarner, Inc.

     94        3,544  

Boyd Gaming Corp.

     65        3,538  

Brunswick Corp.

     51        3,810  

Capri Holdings Ltd.(b)

     76        3,586  

CarMax, Inc.(b)(c)

     38        3,361  

Carter’s, Inc.

     49        3,619  

Chipotle Mexican Grill, Inc.(b)

     3        4,790  

Choice Hotels International, Inc.

     30        3,441  

Churchill Downs, Inc.

     18        3,548  

Columbia Sportswear Co.(c)

     49        3,491  

D.R. Horton, Inc.

     50        3,558  

Darden Restaurants, Inc.

     30        3,711  

Deckers Outdoor Corp.(b)(c)

     14        4,502  

Dick’s Sporting Goods, Inc.

     47        4,999  

Dollar General Corp.

     17        4,036  

Dollar Tree, Inc.(b)

     23        3,121  

Domino’s Pizza, Inc.

     10        3,719  

eBay, Inc.

     80        3,530  
         Shares              Value      

Consumer Discretionary-(continued)

    &nbs