Invesco S&P MidCap Low Volatility ETF (XMLV US) – Portfolio Construction Methodology

The underlying S&P MidCap 400 Low Volatility Index targets U.S. mid-cap stocks with the lowest realized volatility. From the S&P MidCap 400—whose constituents are maintained by an index committee to represent the U.S. mid-cap segment between the large- and small-cap universes—the 80 stocks with the smallest 12-month standard deviation of daily price returns are selected. Constituents are weighted in proportion to the inverse of their volatility so that less volatile names carry higher weights; no explicit sector caps are applied. The index is reconstituted and rebalanced quarterly, effective after the third Friday of February, May, August, and November, using data through the rebalancing reference period. Eligibility and investability requirements follow the parent index, which admits U.S. operating companies with sufficient float and liquidity to sustain index capacity for the mid-cap segment.

To explore XMLV in more depth, visit our ETF analytics platform for institutional-grade insights — including performance and risk metrics, correlations, sensitivities, and factor exposure: https://www.etfstrategy.com/etf/XMLV_US