Invesco rolls out trio of multi-factor US equity ETFs

Jul 5th, 2021 | By | Category: Equities

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Invesco has launched a new suite of multi-factor ETFs in the US targeting a combination of quality, value, and momentum risk premia.

Invesco rolls out trio of multi-factor US equity ETFs

Invesco also offers ‘Dynamic’ multi-factor ETFs which rotate between risk premia according to the perceived stage of the economic cycle.

The three funds, which have listed on NYSE Arca, are linked to multi-factor indices based on S&P Dow Jones Indices‘ flagship benchmarks for the large-cap (S&P 500), mid-cap (S&P MidCap 400), and small-cap (S&P Small Cap 600) segments of the US equity market.

The funds are the Invesco S&P 500 QVM Multi-Factor ETF (QVML US), which comes with an expense ratio of 0.11%; the Invesco S&P MidCap 400 QVM Multi-Factor ETF (QVMM US) at 0.15%; and the Invesco SmallCap 600 QVM Multi-Factor ETF (QVMS US) at 0.15%.

The construction of the underlying indices involves independently calculating quality, value, and momentum scores for each constituent in the relevant parent index and combining these scores equally to produce a composite multi-factor score for each stock.

Stocks with composite multi-factor scores that rank in the bottom 10% of their universe are removed, and the remaining constituents are weighted by float-adjusted market capitalization.

The methodology produces indices that are likely to have broadly similar risk and return characteristics compared to their parent benchmarks while delivering a light tilt to the underlying factor premia.

Invesco also offers three ‘Dynamic’ multi-factor equity ETFs which rotate amongst value, momentum, quality, low volatility, and size risk premia according to the perceived stage of the economic cycle. These funds, which target US large- and mid-cap (based on the Russell 1000), US small-cap (Russell 2000), and developed ex-US (FTSE Developed ex-US Index) equity markets, collectively house around $1.7 billion in assets. Their expense ratios range from 0.29% and 0.39%.

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