Domestic Equity

At the start of the fiscal year, volatility in the equity markets increased. US equity markets rose in August 2022 until the US Federal Reserve (the Fed) chairman Jerome Powell gave hawkish comments at an economic policy symposium held in Jackson Hole, sparking a sharp selloff at month-end. The Fed reiterated that it would continue taking aggressive action to curb inflation, even though such measures could “bring pain to households and businesses,” and the Fed raised the benchmark federal funds rate by another 0.75% in September.¹ After a continued decline in September 2022, US equity markets rebounded in October and November, despite mixed data on the economy and corporate earnings. However, the Fed’s message of continued rate hikes until data shows inflation meaningfully declining sent markets lower in December. As energy prices declined, the rate of inflation slowed modestly in the fourth quarter of 2022. Corporate earnings generally met expectations, though companies provided cautious future guidance. With inflation still at multi-decade highs and little evidence of a slowing economy, the Fed raised its target rate by 0.75% in November and by 0.50% in December.¹

US equities managed to deliver gains in the first quarter of 2023 despite significant volatility and a banking crisis. A January rally gave way to a February selloff as higher-than-expected inflation, a tight labor market and solid economic growth indicated that the Fed’s monetary policy would remain tight for the foreseeable future, raising the risk of a deeper than expected recession. In March, the failure of two US regional banks, Silicon Valley Bank and Signature Bank, prompted steep losses in the banking sector. The subsequent takeover of Credit Suisse and ongoing fear that bank troubles would spread sent investors to safe-haven assets, sparking a bond rally, particularly among securities at the short end of the yield curve. With instability in the banking sector, the Fed raised the federal funds rate by only 0.25% in February of 2023 and again in March.¹ The Fed’s actions to stabilize the banking system in March sent markets higher, so equities were surprisingly resilient despite the turmoil.

The US economy and equity markets remained resilient in the second quarter of 2023, as milder inflation data and better-than-expected corporate earnings supported equities, with most major indexes posting gains for the quarter and with some big tech names providing optimistic future guidance. The Consumer Price Index (CPI) rose 4% as of May 31, 2023, the smallest 12-month increase in nearly two years.² The labor market maintained momentum in the second quarter with unemployment still at historic lows despite a slight uptick at the end of May. Facing persistently strong employment data, the Fed raised the federal funds rate by 0.25% at its May meeting, but investors got a long-awaited “pause” in rate hikes as the Fed left rates unchanged at its June meeting, sending equity

markets higher. However, the Fed raised rates another 0.25% in July, bringing the rate to its highest level since June 2006.¹ After two months of gains, equity markets declined in August as a resilient economy complicated the Fed’s efforts to tame inflation. While inflation has slowed from its peak in June 2022, the highest level since 1981, the CPI rose by 0.2% in July and the 12-month headline inflation rate rose to 3.2% from 3% in June.² At its annual Jackson Hole symposium in August 2023, Fed chair Jerome Powell remarked that while progress has been made, inflation is still too high, and the Fed intends “to hold policy at a restrictive level until we are confident that inflation is moving sustainably down toward our objective.”

Despite higher rates and increased market volatility, US stocks for the fiscal year had strong returns of 15.94%, as measured by the S&P 500 Index.³

 

1	Source: US Federal Reserve

2	Source: US Bureau of Labor Statistics

3	Source: Lipper Inc.

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 the S&P 500 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 overall performance related to 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 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 their revenues from, or that own 10% or more of another company that engages in, the following activities: Arctic oil & gas exploration; alcoholic beverages; cannabis production, distribution or retail sales; 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 the Sustainalytics’ Global Standards Screening (“GSS”) assessment to exclude certain companies that cause, contribute or are linked to violations of international norms and standards, 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 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. Companies are classified into three statuses based on whether the company is assessed as acting in accordance with the UNGC principles, and their associated standards, conventions and treaties, including “non-compliant,” “watchlist” and “compliant.” Companies classified as “non-compliant” are ineligible for inclusion in the Index.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 10.15%. On a net asset value (“NAV”) basis, the Fund returned 10.21%. During the same time period, the Index returned 10.40%. 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 the fees and expenses that the Fund incurred during the period.

During this same time period, the S&P 500^® Index (the “Benchmark Index”) returned 15.94%. The Benchmark Index is an unmanaged index weighted by market capitalization based on 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 year ended August 31, 2023. The majority of the Fund’s underperformance relative to the Benchmark Index during that period can be attributed to the Fund’s underweight allocation to and the security selection within the information technology sector and the Fund’s overweight allocation to and security selection within the financials sector.

For the fiscal year ended August 31, 2023, the information technology sector contributed most significantly to the Fund’s return, followed by the industrials and health care sectors, respectively. The consumer staples sector detracted most significantly from the Fund’s performance during the period, followed by the utilities and financials sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included NVIDIA Corp., an information technology company (portfolio average weight of 0.62%), and Royal Caribbean Cruises Ltd., a consumer discretionary company (portfolio average weight of 0.61%). Positions that detracted most significantly from the Fund’s return during this period included Comerica, Inc., a financials company (no longer held at fiscal year-end) and Estee Lauder Cos., Inc. (The), Class A, a consumer staples company (portfolio average weight of 0.52%).

Sector Breakdown (% of the Fund’s Net Assets) as of August 31, 2023
Industrials			16.23
Financials			15.48
Information Technology			14.98
Health Care			13.80
Consumer Discretionary			11.47
Real Estate			7.17
Consumer Staples			6.91
Materials			6.56
Communication Services			4.23
Utilities			3.04
Money Market Funds Plus Other Assets Less Liabilities			0.13
Top Ten Fund Holdings* (% of the Fund’s Net Assets) as of August 31, 2023
Security
Adobe, Inc.			0.71
NVIDIA Corp.			0.70
Intuit, Inc.			0.68
Digital Realty Trust, Inc.			0.67
Arista Networks, Inc.			0.66
United Rentals, Inc.			0.65
Boston Properties, Inc.			0.65
Caterpillar, Inc.			0.63
Newell Brands, Inc.			0.63
TJX Cos., Inc. (The)			0.63
Total			6.61

 

*	Excluding money market fund holdings.

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 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.

Effective after the close of markets on August 25, 2023, the Fund’s name changed from Invesco PureBeta^SM MSCI USA ETF to Invesco MSCI USA ETF (the “Fund”).

As an index fund, the Fund is passively managed and seeks to track the investment results (before fees and expenses) of the MSCI USA 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, MSCI Inc. (the “Index Provider”) compiles, maintains and calculates the Index, which is designed to measure the performance of the large- and mid-capitalization segments of the

U.S. equity market. The Index Provider weights securities in the Index by their free 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, 2023, on a market price basis, the Fund returned 15.63%. On a net asset value (“NAV”) basis, the Fund returned 15.72%. During the same time period, the Index returned 15.77%. 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 the fees and expenses that the Fund incurred during the period.

For the fiscal year ended August 31, 2023, the information technology sector contributed most significantly to the Fund’s return, followed by the communication services and industrials sectors, respectively. The utilities sector detracted most significantly from the Fund’s return during the period, followed by the real estate sector.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included NVIDIA Corp., an information technology company (portfolio average weight of 1.74%), and Microsoft Corp., an information technology company (portfolio average weight of 5.43%). Positions that detracted most significantly from the Fund’s return included Tesla, Inc., a consumer discretionary company (portfolio average weight of 1.56%), and Walt Disney Co. (The), a consumer discretionary company (portfolio average weight of 0.49%).

Sector Breakdown (% of the Fund’s Net Assets) as of August 31, 2023
Information Technology			28.36
Health Care			12.97
Financials			12.23
Consumer Discretionary			10.85
Industrials			8.81
Communication Services			8.68
Consumer Staples			6.32
Energy			4.38
Sector Types Each Less Than 3%			7.29
Money Market Funds Plus Other Assets Less Liabilities			0.11
Top Ten Fund Holdings* (% of the Fund’s Net Assets) as of August 31, 2023
Security
Apple, Inc.			7.40
Microsoft Corp.			5.80
Amazon.com, Inc.			3.19
NVIDIA Corp.			3.05
Alphabet, Inc., Class A			2.03
Tesla, Inc.			1.84
Alphabet, Inc., Class C			1.82
Meta Platforms, Inc., Class A			1.64
Berkshire Hathaway, Inc., Class B			1.17
Exxon Mobil Corp.			1.13
Total			29.07

 

*	Excluding money market fund holdings.

Fund Inception: September 22, 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 0.04% 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. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index performance results are based upon a hypothetical investment in the Index’s constituent securities. Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index does 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 Index and Fund Performance History:

 

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

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, 2023, on a market price basis, the Fund returned 3.75%. On a net asset value (“NAV”) basis, the Fund returned 3.80%. During the same time period, the Index returned 3.88%. 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 the fees and expenses that the Fund incurred during the period.

During this same time period, the Benchmark Index returned 15.40%. 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, 2023. The majority of the Fund’s underperformance relative to the Benchmark Index during the year can be attributed to the Fund’s underweight allocation to and stock selection within the information technology sector as well as stock selection within the communication services sector.

For the fiscal year ended August 31, 2023, the information technology sector contributed most significantly to the Fund’s return, followed by the industrials and consumer discretionary sectors, respectively. The communication services sector detracted most significantly from the Fund’s return during the period, followed by the utilities and real estate sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Arista Networks, Inc., an information technology company (portfolio average weight of 0.48%) and Southern Copper Corp., a materials company (portfolio average weight of 0.25%). Positions that detracted most significantly from the Fund’s return included Lumen Technologies, Inc., a communication services company (no longer held at fiscal year-end), and Altice USA, Inc., Class A, a communication services company (no longer held at fiscal year-end).

 

Sector Breakdown (% of the Fund’s Net Assets) as of August 31, 2023
Information Technology			12.46
Industrials			10.41
Financials			10.26
Energy			9.45
Health Care			9.23
Materials			9.17
Real Estate			8.94
Consumer Staples			8.60
Utilities			7.45
Communication Services			7.01
Consumer Discretionary			6.90
Money Market Funds Plus Other Assets Less Liabilities			0.12

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.

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. A value stock tends to trade at a lower price relative to such fundamentals and thus may be considered undervalued by investors. 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 float-adjusted market capitalization and their value score, subject to certain security and sector 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, 2023, on a market price basis, the Fund returned 4.31%. On a net asset value (“NAV”) basis, the Fund returned 4.33%. During the same time period, the Index returned 4.45%. 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 the fees and expenses that the Fund incurred during the period. During the same time period, the Parent Index returned 15.94%.

For the fiscal year ended August 31, 2023, the energy sector contributed most significantly to the Fund’s return, followed by the information technology and materials sectors, respectively. The communication services sector detracted most significantly from the Fund’s return during the period, followed by the health care and consumer staples sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included JPMorgan Chase & Co., a financials company (portfolio average weight of 5.24%), and Marathon Petroleum Corp., an energy company (portfolio average weight of 2.62%). Positions that detracted

most significantly from the Fund’s return included CVS Health Corp., a health care company (portfolio average weight of 3.39%), and SVB Financial Group, a financials company (no longer held at fiscal year-end).

 

Sector Breakdown (% of the Fund’s Net Assets) as of August 31, 2023
Financials			37.52
Energy			22.40
Health Care			9.71
Consumer Discretionary			7.90
Materials			6.53
Communication Services			5.27
Consumer Staples			5.00
Industrials			3.75
Sector Types Each Less Than 3%			1.75
Money Market Funds Plus Other Assets Less Liabilities			0.17
Top Ten Fund Holdings* (% of the Fund’s Net Assets) as of August 31, 2023
Security
JPMorgan Chase & Co.			5.12
Exxon Mobil Corp.			5.04
Chevron Corp.			4.96
Bank of America Corp.			4.79
Verizon Communications, Inc.			4.18
Wells Fargo & Co.			4.05
CVS Health Corp.			3.05
Marathon Petroleum Corp.			2.91
Citigroup, Inc.			2.78
Goldman Sachs Group, Inc. (The)			2.62
Total			39.50

 

*	Excluding money market fund holdings.

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.

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, 2023, on a market price basis, the Fund returned 0.29%. On a net asset value (“NAV”) basis, the Fund returned 0.39%. During the same time period, the Index returned 0.66%. 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 the fees and expenses that the Fund incurred during the period. During the same time period, the Parent Index returned 15.94%.

For the fiscal year ended August 31, 2023, the financials sector contributed most significantly to the Fund’s return, followed by the health care and industrials sectors, respectively. The utilities sector detracted most significantly from the Fund’s return during the period, followed by the real estate and communication services sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Gilead Sciences, Inc., a health care company (no longer held at fiscal year-end), and AMETEK, Inc., an industrials company (portfolio average weight of 0.99%). Positions that detracted most significantly from the Fund’s return included Dominion Energy, Inc., a utilities company (no longer held at fiscal year-end), and MetLife, Inc., a financials company (no longer held at fiscal year-end).

Sector Breakdown (% of the Fund’s Net Assets) as of August 31, 2023
Consumer Staples			26.08
Utilities			18.41
Health Care			15.62
Financials			12.86
Industrials			9.95
Consumer Discretionary			7.27
Information Technology			4.06
Sector Types Each Less Than 3%			5.70
Money Market Funds Plus Other Assets Less Liabilities			0.05
Top Ten Fund Holdings* (% of the Fund’s Net Assets) as of August 31, 2023
Security
Coca-Cola Co. (The)			1.38
McDonald’s Corp.			1.32
PepsiCo, Inc.			1.28
Kimberly-Clark Corp.			1.22
JM Smucker Co. (The)			1.20
Johnson & Johnson			1.19
Procter & Gamble Co. (The)			1.16
Colgate-Palmolive Co.			1.16
Walmart, Inc.			1.15
Waste Management, Inc.			1.14
Total			12.20

 

*	Excluding money market fund holdings.

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.

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, 2023, on a market price basis, the Fund returned 18.54%. On a net asset value (“NAV”) basis, the Fund returned 18.68%. During the same time period, the Index returned 18.97%. 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 the fees and expenses that the Fund incurred during the period. During the same time period, the Parent Index returned 15.94%.

For the fiscal year ended August 31, 2023, the information technology sector contributed most significantly to the Fund’s return, followed by the consumer discretionary and health care sectors, respectively. The financials sector detracted most significantly from the Fund’s return during the period, followed by the consumer staples sector.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included NVIDIA Corp., an information technology company (portfolio average weight of 1.69%), and Royal Caribbean Cruises Ltd., a consumer discretionary company (portfolio average weight of 1.34%). Positions that detracted most significantly from the Fund’s return included Signature Bank, a financials company (no longer held at fiscal year-end), and SVB Financial Group, a financials company (no longer held at fiscal year-end).

Sector Breakdown (% of the Fund’s Net Assets) as of August 31, 2023
Information Technology			35.97
Consumer Discretionary			19.02
Financials			17.72
Industrials			9.12
Communication Services			7.86
Health Care			4.84
Materials			4.60
Sector Types Each Less Than 3%			0.90
Money Market Funds Plus Other Assets Less Liabilities			(0.03)
Top Ten Fund Holdings* (% of the Fund’s Net Assets) as of August 31, 2023
Security
NVIDIA Corp.			1.65
Caesars Entertainment, Inc.			1.47
Generac Holdings, Inc.			1.46
ON Semiconductor Corp.			1.31
Carnival Corp.			1.26
Monolithic Power Systems, Inc.			1.24
Align Technology, Inc.			1.24
Advanced Micro Devices, Inc.			1.21
Zebra Technologies Corp., Class A			1.20
Tesla, Inc.			1.19
Total			13.23

 

*	Excluding money market fund holdings.

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.

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 trailing 12-month 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, 2023, on a market price basis, the Fund returned (2.34)%. On a net asset value (“NAV”) basis, the Fund returned (2.20)%. During the same time period, the Index returned (1.91)%. 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 the fees and expenses that the Fund incurred during the period. During the same time period, the Parent Index returned 15.94%.

For the fiscal year ended August 31, 2023, the health care sector contributed most significantly to the Fund’s return, followed by the information technology and energy sectors, respectively. The utilities sector detracted most significantly from the Fund’s return during the period, followed by the real estate and financials sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Gilead Sciences, Inc., a health care company (portfolio average weight of 2.07%), and Omnicom Group, Inc., a communication services company (no longer held at fiscal year-end). Positions that detracted most significantly from the Fund’s return included Crown Castle, Inc., a real estate company (portfolio average weight of 1.08%), and Walgreens Boots Alliance, Inc., a consumer staples company (portfolio average weight of 2.29%).

Sector Breakdown (% of the Fund’s Net Assets) as of August 31, 2023
Utilities			16.63
Real Estate			16.31
Consumer Staples			13.78
Health Care			12.87
Materials			12.80
Energy			11.04
Communication Services			6.03
Industrials			3.97
Sector Types Each Less Than 3%			6.43
Money Market Funds Plus Other Assets Less Liabilities			0.14
Top Ten Fund Holdings* (% of the Fund’s Net Assets) as of August 31, 2023
Security
Verizon Communications, Inc.			3.08
Altria Group, Inc.			3.00
AT&T, Inc.			2.95
International Paper Co.			2.69
Kinder Morgan, Inc.			2.64
3M Co.			2.62
ONEOK, Inc.			2.54
LyondellBasell Industries N.V., Class A			2.44
Simon Property Group, Inc.			2.44
Walgreens Boots Alliance, Inc.			2.38
Total			26.78

 

*	Excluding money market fund holdings.

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.

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, 2023, on a market price basis, the Fund returned (0.91)%. On a net asset value (“NAV”) basis, the Fund returned (0.80)%. During the same time period, the Index returned (0.57)%. 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 the fees and expenses that the Fund incurred during the period. During the same time period, the Parent Index returned 15.94%.

For the fiscal year ended August 31, 2023, the health care sector contributed most significantly to the Fund’s return, followed by the financials and industrials sectors, respectively. The utilities sector detracted most significantly from the Fund’s return during the period, followed by the real estate and communication services sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Gilead Sciences, Inc., a health care company (no longer held at fiscal year-end), and AMETEK, Inc., an industrials company (portfolio average weight of 0.99%). Positions that detracted most significantly from the Fund’s return included Dominion Energy Inc., a utilities company (no longer held at fiscal year-end), and Eversource Energy, a utilities company (portfolio average weight of 0.97%).

Sector Breakdown (% of the Fund’s Net Assets) as of August 31, 2023
Consumer Staples			26.97
Utilities			18.45
Health Care			14.62
Financials			13.83
Industrials			9.96
Consumer Discretionary			7.27
Information Technology			4.06
Sector Types Each Less Than 3%			4.74
Money Market Funds Plus Other Assets Less Liabilities			0.10
Top Ten Fund Holdings* (% of the Fund’s Net Assets) as of August 31, 2023
Security
Coca-Cola Co. (The)			1.38
McDonald’s Corp.			1.32
PepsiCo, Inc.			1.28
Kimberly-Clark Corp.			1.22
JM Smucker Co. (The)			1.20
Procter & Gamble Co. (The)			1.16
Colgate-Palmolive Co.			1.16
Walmart, Inc.			1.15
Waste Management, Inc.			1.14
Keurig Dr Pepper, Inc.			1.14
Total			12.15

 

*	Excluding money market fund holdings.

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.

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, 2023, on a market price basis, the Fund returned 5.63%. On a net asset value (“NAV”) basis, the Fund returned 5.78%. During the same time period, the Index returned 5.86%. 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 the fees and expenses that the Fund incurred during the period. During the same time period, the Parent Index returned 15.94%.

For the fiscal year ended August 31, 2023, the information technology sector contributed most significantly to the Fund’s return, followed by the health care and consumer discretionary sectors, respectively. The utilities sector detracted most significantly from the Fund’s return during the period, followed by the real estate and communication services sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Eli Lilly and Co., a health care company (portfolio average weight of 2.02%), and Oracle Corp., an information technology company (portfolio average weight of 2.22%). Positions that detracted most significantly from the Fund’s return included Crown Castle, Inc., a real estate company (portfolio average weight of 1.68%), and Fidelity National Information Services, Inc., a financials company (portfolio average weight of 1.48%).

Sector Breakdown (% of the Fund’s Net Assets) as of August 31, 2023
Information Technology			21.83
Health Care			19.87
Financials			17.26
Consumer Staples			10.64
Consumer Discretionary			7.28
Utilities			6.83
Industrials			5.28
Communication Services			4.22
Real Estate			3.83
Sector Types Each Less Than 3%			2.88
Other Assets Less Liabilities			0.08
Top Ten Fund Holdings (% of the Fund’s Net Assets) as of August 31, 2023
Security
Eli Lilly and Co.			2.80
Oracle Corp.			2.64
Microsoft Corp.			2.43
Marsh & McLennan Cos., Inc.			2.28
Apple, Inc.			2.26
Intuitive Surgical, Inc.			2.22
Berkshire Hathaway, Inc., Class B			2.18
Aon PLC, Class A			2.08
Procter & Gamble Co. (The)			2.07
Accenture PLC, Class A			2.05
Total			23.01

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.

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 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, 2023, on a market price basis, the Fund returned 9.71%. On a net asset value (“NAV”) basis, the Fund returned 9.79%. During the same time period, the Index returned 9.93%. 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 the fees and operating expenses that the Fund incurred during the period. During the same time period, the Parent Index returned 15.94%.

For the fiscal year ended August 31, 2023, the health care sector contributed most significantly to the Fund’s return, followed by the energy and industrials sectors, respectively. The communication services sector detracted most significantly from the Fund’s return during the period, followed by the utilities and information technology sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Eli Lilly and Co., a health care company (portfolio average weight of 5.92%), and Exxon Mobil Corp., an energy company (portfolio average weight of 9.06%). Positions that detracted most significantly from the Fund’s return included UnitedHealth Group, Inc., a health care company (no longer held at fiscal year-end) and NVIDIA Corp., an information technology company (no longer held at fiscal year-end).

 

Sector Breakdown (% of the Fund’s Net Assets) as of August 31, 2023
Health Care			36.89
Energy			27.78
Industrials			10.82
Financials			8.25
Materials			3.50
Utilities			3.01
Sector Types Each Less Than 3%			9.72
Other Assets Less Liabilities			0.03
Top Ten Fund Holdings* (% of the Fund’s Net Assets) as of August 31, 2023
Security
Eli Lilly and Co.			10.23
Exxon Mobil Corp.			8.49
Merck & Co., Inc.			7.15
Chevron Corp.			5.32
AbbVie, Inc.			3.15
ConocoPhillips			2.60
Caterpillar, Inc.			2.29
Bristol-Myers Squibb Co.			1.96
Cigna Group (The)			1.89
Amgen, Inc.			1.87
Total			44.95

 

*	Excluding money market fund holdings.