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Invesco Annual Report to Shareholders

 

 

August 31, 2023

 

  RSPE   Invesco ESG S&P 500 Equal Weight ETF
  PBUS   Invesco MSCI USA ETF (formerly, Invesco PureBetaSM MSCI USA ETF)
  EQAL   Invesco Russell 1000 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      40  
Schedules of Investments   

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

     41  

Invesco MSCI USA ETF (PBUS)

     44  

Invesco Russell 1000 Equal Weight ETF (EQAL)

     51  

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

     61  

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

     63  

Invesco S&P 500® High Beta ETF (SPHB)

     65  

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

     67  

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

     69  

Invesco S&P 500 Minimum Variance ETF (SPMV)

     71  

Invesco S&P 500® Momentum ETF (SPMO)

     73  

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

     75  

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

     80  

Invesco S&P MidCap Low Volatility ETF (XMLV)

     85  

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

     87  

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

     93  

Invesco S&P SmallCap Low Volatility ETF (XSLV)

     95  

Invesco S&P SmallCap Quality ETF (XSHQ)

     98  
Statements of Assets and Liabilities      101  
Statements of Operations      105  
Statements of Changes in Net Assets      109  
Financial Highlights      115  
Notes to Financial Statements      127  
Report of Independent Registered Public Accounting Firm      142  
Fund Expenses      144  
Tax Information      146  
Trustees and Officers      147  
Approval of Investment Advisory and Sub-Advisory Contracts      157  

 

   2   

 

 

 

 


 

The Market Environment

 

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.

 

   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 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.

 

 

  4  

 


 

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

 

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.

 

 

  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, 2023

 

                Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
S&P 500 Equal Weight ESG Leaders Select Index     10.40       (2.52 )%      (4.46 )% 
S&P 500® Index     15.94         (0.56     (1.01
Fund        
NAV Return     10.21         (2.71     (4.80
Market Price Return     10.15         (2.71     (4.79

 

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.

 

 

  6  

 


 

 

PBUS    Management’s Discussion of Fund Performance
   Invesco MSCI USA ETF (PBUS)

 

Effective after the close of markets on August 25, 2023, the Fund’s name changed from Invesco PureBetaSM 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.

 

 

  7  

 


 

Invesco MSCI USA ETF (PBUS) (continued)

 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

   

1 Year

   

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index   Average
Annualized
    Cumulative  
MSCI USA Index     15.77     9.89     32.69     11.04     68.78       12.32     99.39
Fund                
NAV Return     15.72       9.84       32.53       10.93       68.01         12.23       98.38  
Market Price Return     15.63       9.64       31.80       10.93       67.99         12.25       98.58  

 

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.

 

 

  8  

 


 

 

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, 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  

 

 

  9  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
       
Security   
Charter Communications, Inc., Class A      0.61  
Liberty Broadband Corp., Class C      0.58  
Arista Networks, Inc.      0.54  
Comcast Corp., Class A      0.54  
Ciena Corp.      0.53  
Cisco Systems, Inc.      0.53  
Roku, Inc., Class A      0.52  
T-Mobile US, Inc.      0.50  
Motorola Solutions, Inc.      0.48  
Verizon Communications, Inc.      0.46  
Total      5.29  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    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     3.88     10.08     33.38     6.90     39.59       8.04     95.80
Russell 1000® Index     15.40       9.93       32.84       10.77       66.78         11.13       150.15  
Fund                
NAV Return     3.80       9.97       32.99       6.80       38.96         7.89       93.40  
Market Price Return     3.75       9.93       32.83       6.80       38.96         7.88       93.30  

 

 

  10  

 


 

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.

 

 

  11  

 


 

 

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. 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.

 

 

  12  

 


 

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, 2023

 

    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     4.45     15.92     55.76     5.70     31.95       9.04     98.04
S&P 500® Index     15.94       10.52       35.00       11.12       69.43         12.81       159.00  
Fund                
NAV Return     4.33       15.77       55.15       5.62       31.41         8.89       95.79  
Market Price Return     4.31       15.71       54.93       5.61       31.37         8.87       95.61  

 

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.

 

 

  13  

 


 

 

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, 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.

 

 

  14  

 


 

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, 2023

 

    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     0.66     7.89     25.59     7.47     43.39       9.81     119.36
S&P 500® Index     15.94       10.52       35.00       11.12       69.43         11.65       152.18  
Fund                
NAV Return     0.39       7.62       24.64       7.20       41.55         9.52       114.55  
Market Price Return     0.29       7.56       24.43       7.19       41.49         9.51       114.34  

 

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.

 

 

  15  

 


 

 

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, 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.

 

 

  16  

 


 

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

 

Growth of a $10,000 Investment

 

LOGO

Fund Performance History as of August 31, 2023

 

    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     18.97     21.79     80.65     12.87     83.15     13.33     249.58       11.45     280.16
S&P 500® Index     15.94       10.52       35.00       11.12       69.43       12.81       233.79         12.57       330.00  
Fund                    
NAV Return     18.68       21.46       79.17       12.60       80.98       13.04       240.65         11.15       267.92  
Market Price Return     18.54       21.36       78.73       12.58       80.81       13.04       240.62         11.16       268.04  

 

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.

 

 

  17  

 


 

 

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 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.

 

 

  18  

 


 

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

 

Growth of a $10,000 Investment

 

LOGO

Fund Performance History as of August 31, 2023

 

    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 High Dividend Index     (1.91 )%      11.22     37.56     4.43     24.21     8.91     134.89       9.05     156.34
S&P 500® Index     15.94       10.52       35.00       11.12       69.43       12.81       233.79         13.11       281.38  
Fund                    
NAV Return     (2.20     10.86       36.26       4.12       22.34       8.57       127.57         8.70       147.69  
Market Price Return     (2.34     10.79       35.98       4.11       22.32       8.58       127.79         8.70       147.55  

 

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.

 

 

  19  

 


 

 

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, 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.

 

 

  20  

 


 

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

 

Growth of a $10,000 Investment

 

LOGO

Fund Performance History as of August 31, 2023

 

    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     (0.57 )%      6.19     19.75     6.75     38.65     9.82     155.17       10.48     241.42
S&P 500® Index     15.94       10.52       35.00       11.12       69.43       12.81       233.79         12.57       330.00  
Fund                    
NAV Return     (0.80     5.93       18.86       6.48       36.91       9.54       148.67         10.19       230.64  
Market Price Return     (0.91     5.87       18.66       6.48       36.85       9.54       148.72         10.19       230.58  

 

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.

 

 

  21  

 


 

 

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, 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  

 

 

  22  

 


 

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, 2023

 

    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     5.86     7.33     23.65     8.32     49.15       9.82     77.60
S&P 500® Index     15.94       10.52       35.00       11.12       69.43         12.45       105.31  
Fund                
NAV Return     5.78       7.24       23.33       8.11       47.68         9.65       75.96  
Market Price Return     5.63       7.13       22.96       8.10       47.61         9.63       75.72  

 

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.

 

 

  23  

 


 

 

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 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.

 

 

  24  

 


 

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

 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    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     9.93     6.16     19.65     9.46     57.15       12.94     161.32
S&P 500® Index     15.94       10.52       35.00       11.12       69.43         12.81       159.00  
Fund                
NAV Return     9.79       6.03       19.21       9.32       56.15         12.75       157.77  
Market Price Return     9.71       5.96       18.96       9.34       56.25         12.75       157.80  

 

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.

 

 

  25  

 


 

 

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, 2023, on a market price basis, the Fund returned 13.61%. On a net asset value (“NAV”) basis, the Fund returned 13.76%. During the same time period, the Index returned 13.85%. 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 communication services and health care sectors, respectively. The utilities sector detracted most significantly from the Fund’s return during the period, followed by the consumer discretionary and real estate sectors, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Microsoft Corp., an information technology company (portfolio average weight of 6.84%), and Apple Inc., an information technology company (portfolio average weight of 7.91%). Positions that detracted most significantly from the Fund’s return included Tesla, Inc., a consumer discretionary company (no longer held at fiscal year-end) and Pfizer, Inc., a health care company (portfolio average weight of 0.77%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Information Technology      30.71  
Health Care      14.20  
Financials      13.12  
Communication Services      9.91  
Industrials      8.46  
Consumer Staples      6.33  
Consumer Discretionary      5.52  
Energy      4.72  
Sector Types Each Less Than 3%      6.90  
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   
Apple, Inc.      8.38  
Microsoft Corp.      7.44  
Alphabet, Inc., Class C      4.58  
NVIDIA Corp.      3.82  
Meta Platforms, Inc., Class A      2.02  
Berkshire Hathaway, Inc., Class B      1.86  
UnitedHealth Group, Inc.      1.35  
Eli Lilly and Co.      1.30  
Exxon Mobil Corp.      1.29  
JPMorgan Chase & Co.      1.24  
Total      33.28  

 

*

Excluding money market fund holdings.

 

 

  26  

 


 

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, 2023

 

    1 Year           Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P 500 Quality, Value & Momentum Top 90% Multi-factor Index     13.85       4.04     8.95
S&P 500® Index     15.94         3.87       8.58  
Fund        
NAV Return     13.76         3.92       8.69  
Market Price Return     13.61         3.92       8.70  

 

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, 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.

 

 

  27  

 


 

 

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, 2023, on a market price basis, the Fund returned 10.27%. On a net asset value (“NAV”) basis, the Fund returned 10.37%. During the same time period, the Index returned 10.52%. 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 10.71%.

For the fiscal year ended August 31, 2023, the industrials sector contributed most significantly to the Fund’s return, followed by the information technology and consumer discretionary 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 Builders FirstSource, Inc., an industrials company (portfolio average weight of 0.71%), and Super Micro Computer, Inc., an information technology company (portfolio average weight of 0.21%). Positions that detracted most significantly from the Fund’s return included Wolfspeed, Inc., an information technology company (no longer held at fiscal year-end) and Sunrun, Inc., an industrials company (portfolio average weight of 0.25%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Industrials      23.82  
Consumer Discretionary      15.66  
Financials      14.48  
Information Technology      10.52  
Health Care      8.54  
Real Estate      6.64  
Materials      6.52  
Consumer Staples      4.92  
Energy      4.15  
Sector Types Each Less Than 3%      4.64  
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   
Builders FirstSource, Inc.      1.03  
Hubbell, Inc.      0.83  
Reliance Steel & Aluminum Co.      0.79  
Jabil, Inc.      0.74  
Lattice Semiconductor Corp.      0.69  
Deckers Outdoor Corp.      0.66  
Carlisle Cos., Inc.      0.64  
Manhattan Associates, Inc.      0.64  
Graco, Inc.      0.63  
Owens Corning      0.63  
Total      7.28  

 

*

Excluding money market fund holdings.

 

 

  28  

 


 

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, 2023

 

    1 Year           Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P MidCap 400 Quality, Value & Momentum Top 90% Multi-factor Index     10.52       0.46     1.01
S&P MidCap 400® Index     10.71         0.69       1.51  
Fund        
NAV Return     10.37         0.36       0.78  
Market Price Return     10.27         0.30       0.65  

 

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, 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.

 

 

  29  

 


 

 

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, 2023, on a market price basis, the Fund returned 0.38%. On a net asset value (“NAV”) basis, the Fund returned 0.46%. During the same time period, the Index returned 0.72%. 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 10.71%.

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

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included NewMarket Corp., a materials company (portfolio average weight of 1.07%), and Lincoln Electric Holdings, Inc., an industrials company (portfolio average weight of 1.42%). Positions that detracted most significantly from the Fund’s return included Hawaiian Electric Industries, Inc., a utilities company (portfolio average weight of 1.35%), and Bank of Hawaii Corp., a financials company (no longer held at fiscal year-end).

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Industrials      21.83  
Real Estate      17.18  
Financials      14.42  
Utilities      13.37  
Consumer Discretionary      9.58  
Consumer Staples      8.27  
Materials      7.59  
Health Care      4.10  
Sector Types Each Less Than 3%      3.59  
Money Market Funds Plus Other Assets Less Liabilities      0.07  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Chemed Corp.      1.64  
NNN REIT, Inc.      1.62  
Ingredion, Inc.      1.62  
AptarGroup, Inc.      1.56  
Agree Realty Corp.      1.53  
Post Holdings, Inc.      1.52  
Science Applications International Corp.      1.46  
MSC Industrial Direct Co., Inc., Class A      1.45  
OGE Energy Corp.      1.41  
SEI Investments Co.      1.40  
Total      15.21  

 

*

Excluding money market fund holdings.

 

 

  30  

 


 

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

 

Growth of a $10,000 Investment

 

 

LOGO

Fund Performance History as of August 31, 2023

 

   

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 MidCap 400® Low Volatility Index     0.72     7.85     25.44     3.35     17.94     9.47     147.25       9.40     157.73
S&P MidCap 400® Index     10.71       12.83       43.65       6.97       40.09       10.09       161.52         10.25       179.77  
Fund                    
NAV Return     0.46       7.56       24.44       3.11       16.56       9.19       140.91         9.11       150.70  
Market Price Return     0.38       7.51       24.27       3.10       16.50       9.19       140.88         9.11       150.67  

 

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.

 

 

  31  

 


 

 

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 track 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 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.

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 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 of the security as compared to other eligible securities within the Parent Index. Next, a combined “multi-factor” score is generated for each stock in the Parent Index by calculating the average of the stock’s separate 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, 2023, on a market price basis, the Fund returned 6.86%. On a net asset value (“NAV”) basis, the Fund returned 6.92%. During the same time period, the Index returned 7.05%. 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 5.53%.

For the fiscal year ended August 31, 2023, the industrials sector contributed most significantly to the Fund’s return, followed by the information technology and consumer discretionary sectors, respectively. The financials 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, 2023, included elf Beauty, Inc., a consumer staples company (portfolio average weight of 0.46%), and Axcelis Technologies, Inc., an information technology company (portfolio average weight of 0.46%). Positions that detracted most significantly from the Fund’s return included Rogers Corp., an information technology company (portfolio average weight 0.35%) and ServisFirst Bancshares, Inc., a financials company (portfolio average weight 0.38%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Industrials      18.59  
Financials      15.81  
Information Technology      15.17  
Consumer Discretionary      13.54  
Health Care      9.65  
Real Estate      6.35  
Consumer Staples      5.90  
Materials      5.54  
Energy      5.16  
Sector Types Each Less Than 3%      4.24  
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   
elf Beauty, Inc.      0.86  
Onto Innovation, Inc.      0.81  
SPS Commerce, Inc.      0.75  
Comfort Systems USA, Inc.      0.75  
Rambus, Inc.      0.74  
Fabrinet      0.72  
Axcelis Technologies, Inc.      0.71  
Applied Industrial Technologies, Inc.      0.66  
Ensign Group, Inc. (The)      0.64  
ATI, Inc.      0.63  
Total      7.27  

 

*

Excluding money market fund holdings.

 

 

  32  

 


 

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, 2023

 

    1 Year           Fund Inception  
Index         Average
Annualized
    Cumulative  
S&P SmallCap 600 Quality, Value & Momentum Top 90% Multi-factor Index     7.05       (1.71 )%      (3.67 )% 
S&P SmallCap 600® Index     5.53         (3.61     (7.65
Fund        
NAV Return     6.92         (1.85     (3.97
Market Price Return     6.86         (1.89     (4.04

 

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, 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  

 


 

 

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 trailing 12-month 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, 2023, on a market price basis, the Fund returned (9.63)%. On a net asset value (“NAV”) basis, the Fund returned (9.48)%. During the same time period, the Index returned (9.22)%. 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 5.53%.

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

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Archrock, Inc., an energy company (portfolio average weight 2.86%), and M.D.C. Holdings, Inc., a consumer discretionary company (portfolio average weight 1.51%). Positions that detracted most significantly from the Fund’s return included Office Properties

Income Trust, a real estate company (no longer held at fiscal year-end) and Hudson Pacific Properties, Inc., a real estate company (no longer held at fiscal year-end).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Financials      25.10  
Consumer Staples      14.83  
Consumer Discretionary      12.20  
Real Estate      11.00  
Industrials      10.27  
Utilities      7.47  
Materials      6.19  
Communication Services      5.59  
Energy      4.38  
Sector Types Each Less Than 3%      2.72  
Money Market Funds Plus Other Assets Less Liabilities      0.25  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Brandywine Realty Trust      3.30  
Cal-Maine Foods, Inc.      3.25  
Redwood Trust, Inc.      3.18  
Two Harbors Investment Corp.      3.12  
Global Net Lease, Inc.      3.12  
ARMOUR Residential REIT, Inc.      2.92  
Deluxe Corp.      2.85  
KKR Real Estate Finance Trust, Inc.      2.84  
New York Mortgage Trust, Inc.      2.81  
Ready Capital Corp.      2.78  
Total      30.17  

 

*

Excluding money market fund holdings.

 

 

  34  

 


 

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, 2023

 

         

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
S&P SmallCap 600® Low Volatility High Dividend Index     (9.22 )%      4.46     13.98     (4.38 )%      (20.06 )%        (0.72 )%      (4.78 )% 
S&P SmallCap 600® Index     5.53       12.61       42.79       3.82       20.62         7.97       67.72  
Fund                
NAV Return     (9.48     4.13       12.91       (4.65     (21.18       (1.02     (6.71
Market Price Return     (9.63     4.07       12.71       (4.64     (21.14       (1.02     (6.71

 

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.

 

 

  35  

 


 

 

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, 2023, on a market price basis, the Fund returned (5.63)%. On a net asset value (“NAV”) basis, the Fund returned (5.62)%. During the same time period, the Index returned (5.34)%. 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 5.53%.

For the fiscal year ended August 31, 2023, the industrials sector contributed most significantly to the Fund’s return, followed by the information technology and consumer staples sectors, respectively. The financials 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 Insight Enterprises, Inc., an information technology company (portfolio average weight of 1.06%) and Standex International Corp., an industrials company (portfolio average weight of 0.88%). Positions that detracted most significantly from the Fund’s return included Eagle Bancorp, Inc., a financials company (no longer held at fiscal year-end), and PRA Group, Inc., a financials company (no longer held at fiscal year-end).

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Real Estate      18.77  
Industrials      18.65  
Financials      16.86  
Consumer Staples      13.05  
Health Care      7.76  
Information Technology      7.00  
Utilities      6.98  
Materials      4.29  
Consumer Discretionary      3.88  
Communication Services      2.62  
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   
Hostess Brands, Inc.      1.18  
Four Corners Property Trust, Inc.      1.12  
Universal Corp.      1.08  
Insight Enterprises, Inc.      1.05  
Brady Corp., Class A      1.04  
Getty Realty Corp.      1.01  
LTC Properties, Inc.      1.01  
OSI Systems, Inc.      1.00  
Cogent Communications Holdings, Inc.      1.00  
WisdomTree, Inc.      0.97  
Total      10.46  

 

*

Excluding money market fund holdings.

 

 

  36  

 


 

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

 

Growth of a $10,000 Investment

 

LOGO

Fund Performance History as of August 31, 2023

 

   

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 SmallCap 600® Low Volatility Index     (5.34 )%      8.04     26.13     (1.40 )%      (6.82 )%      6.97     96.19       7.50     114.40
S&P SmallCap 600® Index     5.53       12.61       42.79       3.82       20.62       9.48       147.34         10.12       176.17  
Fund                    
NAV Return     (5.62     7.73       25.04       (1.65     (8.00     6.69       91.02         7.22       108.41  
Market Price Return     (5.63     7.69       24.90       (1.64     (7.96     6.70       91.30         7.21       108.23  

 

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.

 

 

  37  

 


 

 

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 in the eligible universe, subject to security and sector constraints and optimization procedures. 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, 2023, on a market price basis, the Fund returned 14.44%. On a net asset value (“NAV”) basis, the Fund returned 14.39%. During the same time period, the Index returned 14.71%. 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 5.53%.

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 energy sectors, respectively. The health care 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 Axcelis Technologies, Inc., an information technology company (no longer

held at fiscal year-end) and Boise Cascade Co., an industrials company (portfolio average weight of 1.64%). Positions that detracted most significantly from the Fund’s return included Vir Biotechnology, Inc., a health care company (portfolio average weight of 0.13%), and Forward Air Corp., an industrials company (portfolio average weight of 0.86%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Industrials      26.19  
Consumer Discretionary      16.11  
Information Technology      14.63  
Energy      13.44  
Financials      13.04  
Health Care      6.23  
Consumer Staples      4.30  
Materials      4.19  
Sector Types Each Less Than 3%      1.81  
Money Market Funds Plus Other Assets Less Liabilities      0.06  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Rambus, Inc.      2.93  
Comfort Systems USA, Inc.      2.62  
SM Energy Co.      2.44  
Asbury Automotive Group, Inc.      2.24  
Applied Industrial Technologies, Inc.      2.23  
American Equity Investment Life Holding Co.      2.16  
Badger Meter, Inc.      1.97  
Mueller Industries, Inc.      1.97  
Academy Sports & Outdoors, Inc.      1.96  
Civitas Resources, Inc.      1.93  
Total      22.45  

 

*

Excluding money market fund holdings.

 

 

  38  

 


 

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

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2023

 

         

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
S&P SmallCap 600® Quality Index     14.71     13.33     45.55     5.04     27.86       8.57     69.30
S&P SmallCap 600® Index     5.53       12.61       42.79       3.82       20.62         7.93       63.01  
Fund                
NAV Return     14.39       13.01       44.31       4.70       25.80         8.21       65.69  
Market Price Return     14.44       12.99       44.25       4.71       25.87         8.24       66.02  

 

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 total annual operating expense ratio of 0.30% includes a unitary management fee of 0.29%, which covers operating expenses and expenses incurred in connection with managing the portfolio, and 0.01% of other expenses. 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  

 


 

Liquidity Risk Management Program

The Securities and Exchange Commission (“SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) in order to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders. The Funds have adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (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 24, 2023, 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, 2022 through December 31, 2022 (the “Program Reporting Period”). The Report discussed notable events affecting liquidity over the Program Reporting Period, including the impact of the Russia-Ukraine War, and resulting sanctions, inflation concerns 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.

 

   40   

 

 

 

 


 

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

August 31, 2023

Schedule of Investments(a)

 

      Shares       Value    

Common Stocks & Other Equity Interests-99.87%

 

Communication Services-4.23%

     

Alphabet, Inc., Class A(b)

     267      $ 36,358  

Alphabet, Inc., Class C(b)

     229        31,453  

AT&T, Inc.

     3,775        55,832  

Comcast Corp., Class A

     1,506        70,421  

Electronic Arts, Inc.

     482        57,830  

Interpublic Group of Cos., Inc. (The)

     1,536        50,089  

News Corp., Class A

     2,390        51,361  

News Corp., Class B.

     737        16,214  

Walt Disney Co. (The)(b)

     657        54,978  

Warner Bros Discovery, Inc.(b)

     4,636        60,917  
     

 

 

 
        485,453  
     

 

 

 

Consumer Discretionary-11.47%

     

Aptiv PLC(b)

     633        64,218  

Best Buy Co., Inc.

     804        61,466  

eBay, Inc.

     1,349        60,408  

Etsy, Inc.(b)(c)

     695        51,131  

General Motors Co.

     1,679        56,263  

Hasbro, Inc.

     995        71,640  

Hilton Worldwide Holdings, Inc.

     427        63,474  

Home Depot, Inc. (The)

     202        66,721  

Lowe’s Cos., Inc.(c)

     288        66,378  

Marriott International, Inc., Class A

     344        70,007  

McDonald’s Corp.

     216        60,728  

Newell Brands, Inc.

     6,817        72,124  

NIKE,Inc.,Class B

     568        57,771  

Norwegian Cruise Line Holdings Ltd.(b)(c)

     3,571        59,172  

Ralph Lauren Corp.(c)

     511        59,598  

Royal Caribbean Cruises Ltd.(b)

     668        66,092  

Starbucks Corp.

     622        60,608  

TJX Cos., Inc. (The)

     779        72,042  

Tractor Supply Co.(c)

     279        60,962  

Whirlpool Corp.(c)

     416        58,223  

Yum! Brands, Inc.

     459        59,385  
     

 

 

 
        1,318,411  
     

 

 

 

Consumer Staples-6.91%

     

Archer-Daniels-Midland Co.

     829        65,740  

Campbell Soup Co.

     1,319        55,002  

Colgate-Palmolive Co.

     809        59,437  

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

     335        53,778  

General Mills, Inc.

     747        50,542  

Hershey Co. (The)

     241        51,781  

Kellogg Co.

     916        55,894  

Kraft Heinz Co. (The)

     1,646        54,466  

McCormick & Co., Inc.

     670        54,994  

Mondelez International, Inc., Class A

     842        60,001  

PepsiCo, Inc.

     338        60,137  

Target Corp.

     462        58,466  

Walgreens Boots Alliance, Inc.(c)

     1,905        48,216  

Walmart, Inc.

     405        65,857  
     

 

 

 
        794,311  
     

 

 

 

Financials-15.48%

     

Aflac, Inc.

     888        66,218  

Allstate Corp. (The)

     542        58,433  

American Express Co.

     355        56,086  

American International Group, Inc.

     1,072        62,733  
      Shares       Value    

Financials-(continued)

     

Bank of America Corp.

     2,062      $ 59,118  

Bank of New York Mellon Corp. (The)

     1,391        62,414  

Capital One Financial Corp.

     535        54,779  

Citigroup, Inc.

     1,266        52,273  

Fifth Third Bancorp

     2,241        59,499  

Globe Life, Inc.

     562        62,702  

Goldman Sachs Group, Inc. (The)

     182        59,643  

Hartford Financial Services Group, Inc. (The)

     847        60,832  

Invesco Ltd.(d)

     3,814        60,719  

JPMorgan Chase & Co.

     433        63,361  

Lincoln National Corp.

     2,538        65,125  

M&T Bank Corp.

     468        58,523  

Mastercard, Inc., Class A

     165        68,086  

MetLife, Inc.

     1,109        70,244  

Moody’s Corp.

     186        62,645  

Morgan Stanley

     703        59,861  

Nasdaq, Inc.

     1,066        55,944  

Northern Trust Corp.

     803        61,084  

PayPal Holdings, Inc.(b)

     949        59,322  

Principal Financial Group, Inc.

     854        66,364  

Prudential Financial, Inc.

     710        67,216  

Regions Financial Corp.

     3,254        59,678  

S&P Global, Inc.

     163        63,710  

State Street Corp.

     815        56,023  

Visa, Inc., Class A(c)

     270        66,334  
     

 

 

 
        1,778,969  
     

 

 

 

Health Care-13.80%

     

Abbott Laboratories

     599        61,637  

AbbVie, Inc.

     446        65,544  

Agilent Technologies, Inc.

     521        63,077  

Amgen, Inc.

     275        70,493  

Baxter International, Inc.

     1,443        58,586  

Becton, Dickinson and Co.

     241        67,347  

Biogen, Inc.(b)

     200        53,472  

Boston Scientific Corp.(b)

     1,201        64,782  

Cigna Group (The)

     233        64,369  

CVS Health Corp.(c)

     851        55,460  

DaVita, Inc.(b)

     605        61,964  

Edwards Lifesciences Corp.(b)

     730        55,823  

Elevance Health, Inc.

     132        58,345  

Gilead Sciences, Inc.

     799        61,108  

Hologic, Inc.(b)

     772        57,699  

Humana, Inc.

     120        55,396  

Illumina, Inc.(b)

     301        49,731  

Medtronic PLC

     735        59,902  

Merck & Co., Inc.

     560        61,029  

Moderna, Inc.(b)(c)

     484        54,726  

Quest Diagnostics, Inc.

     451        59,306  

Regeneron Pharmaceuticals, Inc.(b)

     83        68,599  

Thermo Fisher Scientific, Inc.

     117        65,181  

UnitedHealth Group, Inc.

     126        60,049  

Vertex Pharmaceuticals, Inc.(b)

     188        65,488  

Waters Corp.(b)

     237        66,550  
     

 

 

 
        1,585,663  
     

 

 

 

Industrials-16.23%

     

American Airlines Group, Inc.(b)(c)

     4,011        59,082  

Automatic Data Processing, Inc.

     281        71,545  

 

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

 

   41   

 

 

 

 


 

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

August 31, 2023

 

      Shares       Value    

Industrials-(continued)

     

Caterpillar, Inc.

     258      $ 72,532  

CSX Corp.

     1,866        56,353  

Cummins, Inc.

     268        61,651  

Deere & Co.

     160        65,750  

Dover Corp.

     424        62,879  

Emerson Electric Co.

     722        70,937  

IDEX Corp.

     293        66,335  

Illinois Tool Works, Inc.(c)

     257        63,569  

J.B. Hunt Transport Services, Inc.(c)

     347        65,194  

Johnson Controls International PLC

     953        56,284  

Norfolk Southern Corp.

     279        57,198  

Otis Worldwide Corp.

     697        59,628  

PACCAR, Inc.

     798        65,668  

Paychex, Inc.

     543        66,371  

Pentair PLC

     1,001        70,330  

Republic Services, Inc.

     429        61,832  

Robert Half, Inc.

     836        61,831  

Rockwell Automation, Inc.

     204        63,664  

Stanley Black & Decker, Inc.

     699        65,972  

Trane Technologies PLC

     345        70,815  

Union Pacific Corp.

     302        66,612  

United Parcel Service, Inc., Class B

     355        60,137  

United Rentals, Inc.

     157        74,817  

Verisk Analytics, Inc.

     278        67,337  

W.W. Grainger, Inc.

     87        62,130  

Waste Management, Inc.

     376        58,949  

Xylem, Inc.

     568        58,811  
     

 

 

 
        1,864,213  
     

 

 

 

Information Technology-14.98%

     

Adobe, Inc.(b)

     145        81,103  

Akamai Technologies, Inc.(b)

     655        68,834  

Applied Materials, Inc.

     451        68,895  

Arista Networks, Inc.(b)(c)

     391        76,335  

Autodesk, Inc.(b)

     303        67,248  

Cisco Systems, Inc.

     1,221        70,024  

Fortinet, Inc.(b)

     906        54,550  

Gen Digital, Inc.

     3,423        69,316  

Hewlett Packard Enterprise Co.

     3,856        65,513  

HP, Inc.

     2,033        60,400  

Intel Corp.

     1,945        68,347  

Intuit, Inc.

     145        78,563  

Juniper Networks, Inc.

     2,026        58,997  

Keysight Technologies, Inc.(b)

     377        50,254  

Lam Research Corp.

     100        70,240  

Micron Technology, Inc.

     906        63,366  

Microsoft Corp.

     188        61,619  

Motorola Solutions, Inc.

     217        61,535  

NVIDIA Corp.

     163        80,449  

ON Semiconductor Corp.(b)

     682        67,150  

QUALCOMM, Inc.

     529        60,586  

Salesforce, Inc.(b)

     296        65,552  

ServiceNow, Inc.(b)

     115        67,715  

TE Connectivity Ltd.

     474        62,753  

Texas Instruments, Inc.

     354        59,493  

Tyler Technologies, Inc.(b)

     157        62,554  
     

 

 

 
        1,721,391  
     

 

 

 

Materials-6.56%

     

Air Products and Chemicals, Inc.

     216        63,826  
      Shares       Value    

Materials-(continued)

     

Albemarle Corp.(c)

     278      $ 55,241  

Ball Corp.

     1,150        62,618  

CF Industries Holdings, Inc.(c)

     889        68,515  

Dow, Inc.

     1,130        61,653  

Ecolab, Inc.

     347        63,782  

Freeport-McMoRan, Inc.

     1,618        64,574  

Linde PLC

     168        65,023  

LyondellBasell Industries N.V., Class A

     659        65,089  

Mosaic Co. (The)

     1,676        65,113  

Newmont Corp.

     1,451        57,198  

PPG Industries, Inc.

     429        60,815  
     

 

 

 
        753,447  
     

 

 

 

Real Estate-7.17%

     

Alexandria Real Estate Equities, Inc.

     500        58,170  

Boston Properties, Inc.(c)

     1,117        74,582  

CBRE Group, Inc., Class A(b)(c)

     761        64,723  

Digital Realty Trust, Inc.

     587        77,320  

Healthpeak Properties, Inc.

     2,850        58,653  

Host Hotels & Resorts, Inc.

     3,430        54,160  

Iron Mountain, Inc.(c)

     1,079        68,560  

Kimco Realty Corp.

     3,134        59,358  

Prologis, Inc.

     475        58,995  

Regency Centers Corp.

     999        62,138  

Ventas, Inc.

     1,312        57,308  

Welltower, Inc.

     756        62,657  

Weyerhaeuser Co.

     2,063        67,563  
     

 

 

 
        824,187  
     

 

 

 

Utilities-3.04%

     

American Water Works Co., Inc.

     414        57,438  

CenterPoint Energy, Inc.

     2,098        58,513  

Edison International.

     885        60,932  

Eversource Energy.

     848        54,119  

Exelon Corp.

     1,508        60,501  

Sempra

     820        57,581  
     

 

 

 
        349,084  
     

 

 

 

TOTAL INVESTMENTS IN SECURITIES
(excluding investments purchased with cash collateral from securities on loan)-99.87%
(Cost $11,553,136)

 

     11,475,129  
     

 

 

 
Investments Purchased with Cash Collateral from Securities on Loan

 

Money Market Funds-8.03%

 

Invesco Private Government Fund, 5.30%(d)(e)(f)

     217,712        217,712  

Invesco Private Prime Fund, 5.51%(d)(e)(f)

     704,912        704,912  
     

 

 

 

Total Investments Purchased with Cash Collateral from Securities on Loan
(Cost $922,624)

 

     922,624  
     

 

 

 

TOTAL INVESTMENTS IN SECURITIES-107.90%
(Cost $12,475,760)

 

     12,397,753  

OTHER ASSETS LESS LIABILITIES-(7.90)%

 

     (907,186
  

 

 

 

NET ASSETS-100.00%

 

   $ 11,490,567  
     

 

 

 

 

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

 

   42   

 

 

 

 


 

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

August 31, 2023

 

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, 2023.

(d) 

Affiliated holding. Affiliated holdings are investments in entities which are under common ownership or control of Invesco Ltd. or are investments in entities in which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the fiscal year ended August 31, 2023.

 

    Value
August 31,  2022
    Purchases
at Cost
    Proceeds
from  Sales
    Change in
Unrealized
Appreciation

(Depreciation)
    Realized
Gain
(Loss)
    Value
August 31, 2023
    Dividend
Income
 
Invesco Ltd.         $ 48,191             $ 40,760         $ (22,998           $ (1,693              $ (3,541           $ 60,719           $ 2,756  
Investments in Affiliated Money Market Funds:                                      
Invesco Government & Agency Portfolio, Institutional Class       5,917           310,497           (316,414         -           -           -         172  
Investments Purchased with Cash Collateral from Securities on Loan:                                      
Invesco Private Government Fund       17,739           4,040,859           (3,840,886         -           -           217,712         6,333
Invesco Private Prime Fund       45,613           7,468,684           (6,809,353         -           (32         704,912         16,643
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

     

 

 

 
Total     $ 117,460         $ 11,860,800         $ (10,989,651       $ (1,693       $ (3,573       $ 983,343       $ 25,904  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

     

 

 

 

 

*

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, 2023.

(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.

 

   43   

 

 

 

 


 

Invesco MSCI USA ETF (PBUS)

August 31, 2023

Schedule of Investments(a)

 

      Shares        Value     

Common Stocks & Other Equity Interests-99.89%

 

Communication Services-8.68%

     

Activision Blizzard, Inc.

     59,739      $ 5,495,391  

Alphabet, Inc., Class A(b)

     451,448        61,473,674  

Alphabet, Inc., Class C(b)

     401,721        55,176,379  

AT&T, Inc.

     543,242        8,034,549  

Charter Communications, Inc., Class A(b)(c) .

     7,437        3,258,299  

Comcast Corp., Class A

     316,066        14,779,246  

Electronic Arts, Inc.

     19,644        2,356,887  

Fox Corp., Class A(c)

     20,445        675,912  

Fox Corp., Class B

     10,800        329,616  

Interpublic Group of Cos., Inc. (The)

     29,340        956,777  

Liberty Broadband Corp., Class C(b)

     9,091        850,554  

Liberty Global PLC, Class C (United Kingdom)(b)(c)

     19,416        385,213  

Liberty Media Corp.-Liberty Formula
One(b)(c)

     15,129        1,040,724  

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

     12,564        307,064  

Live Nation Entertainment, Inc.(b)(c)

     12,228        1,033,633  

Match Group, Inc.(b)

     21,273        997,066  

Meta Platforms, Inc., Class A(b)

     168,098        49,738,517  

Netflix, Inc.(b)

     33,780        14,649,710  

News Corp., Class A

     28,941        621,942  

Omnicom Group, Inc.(c)

     15,407        1,248,121  

Paramount Global, Class B(c)

     37,213        561,544  

Pinterest, Inc., Class A(b)

     45,201        1,242,576  

Roblox Corp., Class A(b)(c)

     31,923        903,102  

Roku, Inc., Class A(b)

     9,374        761,169  

Sirius XM Holdings, Inc.(c)

     58,951        259,384  

Snap, Inc., Class A(b)(c)

     77,202        799,041  

Take-Two Interactive Software, Inc.(b)

     12,892        1,833,242  

T-Mobile US, Inc.(b)(c)

     41,030        5,590,338  

Trade Desk, Inc. (The), Class A(b)

     33,801        2,705,094  

Verizon Communications, Inc.

     319,455        11,174,536  

Walt Disney Co. (The)(b)

     138,854        11,619,303  

Warner Bros Discovery, Inc.(b)(c)

     175,245        2,302,719  

ZoomInfo Technologies, Inc., Class A(b)(c)

     19,872        358,093  
     

 

 

 
        263,519,415  
     

 

 

 

Consumer Discretionary-10.85%

     

Airbnb, Inc., Class A(b)

     31,487        4,142,115  

Amazon.com, Inc.(b)

     701,703        96,842,031  

Aptiv PLC(b)

     21,495        2,180,668  

Aramark(c)

     18,813        699,467  

AutoZone, Inc.(b)

     1,380        3,493,235  

Bath & Body Works, Inc.

     16,452        606,585  

Best Buy Co., Inc.

     15,087        1,153,401  

Booking Holdings, Inc.(b)

     2,807        8,715,819  

BorgWarner, Inc.

     17,899        729,384  

Burlington Stores, Inc.(b)(c)

     4,996        810,651  

Caesars Entertainment, Inc.(b)

     16,280        899,633  

CarMax, Inc.(b)(c)

     12,022        981,957  

Carnival Corp.(b)

     75,980        1,202,004  

Chewy, Inc., Class A(b)(c)

     8,833        211,815  

Chipotle Mexican Grill, Inc.(b)

     2,097        4,040,164  

D.R. Horton, Inc.

     23,326        2,776,260  

Darden Restaurants, Inc.(c)

     9,189        1,428,981  

Deckers Outdoor Corp.(b)

     1,988        1,051,831  
      Shares        Value     

Consumer Discretionary-(continued)

     

Dick’s Sporting Goods, Inc.(c)

     4,824      $ 561,224  

Domino’s Pizza, Inc.

     2,722        1,054,503  

DoorDash, Inc., Class A(b)

     19,231        1,617,904  

DraftKings, Inc., Class A(b)

     31,622        937,592  

eBay, Inc.

     40,638        1,819,770  

Etsy, Inc.(b)(c)

     9,373