Invesco Russell 1000 Dynamic Multifactor ETF (OMFL US) – Portfolio Construction Methodology

The underlying Russell 1000 Invesco Dynamic Multifactor Index provides a regime-aware multifactor tilt to the Russell 1000 universe. Each month, Invesco’s macro regime model determines one of four regimes—recovery, expansion, slowdown, contraction—implemented at the close of the first business day; FTSE then tracks the corresponding predetermined multifactor component built with its “tilt-tilt” method. Factor emphasis rotates as follows: recovery overweights Size and Value; expansion adds Momentum to Size and Value; slowdown emphasizes Low Volatility and Quality; contraction emphasizes Momentum, Low Volatility, and Quality. Within the active component, stocks’ float-cap weights are sequentially tilted by standardized factor scores, with iterative “narrowing” and constraints to preserve diversification, sector/country balance, capacity, and minimum stock weights. Corporate actions adjust shares and float continuously; the underlying multifactor components are formally reviewed semi-annually (June, December).

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