Invesco S&P MidCap Momentum ETF (XMMO US) – Portfolio Construction Methodology

The underlying S&P MidCap 400 Momentum Index targets momentum exposure within the S&P MidCap 400 universe, which itself is committee-maintained and comprises U.S. mid-cap companies meeting float, liquidity, and financial-viability criteria; the parent’s size guidelines are those used by the S&P Index Committee for the mid-cap segment and are updated periodically. From the eligible S&P 400 members, the index selects 80 stocks with the highest momentum scores, calculated from risk-adjusted intermediate-term price appreciation (recent reversal is de-emphasized). Constituents are weighted by the product of float-adjusted market cap and momentum score, with diversification constraints to limit single-name and sector concentration; weights are normalized to sum to 100%. The index reconstitutes and rebalances semi-annually, aligning selection and weights to the latest momentum scores while applying buffer rules to reduce turnover.

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