Invesco files for new self-indexed, international developed, multi-factor ETF

Invesco International Developed Dynamic Multifactor ETF

Ticker: IMFL

Expense ratio: TBD

Index: FTSE Developed ex US Invesco Dynamic Multifactor Index

Universe: FTSE Developed ex US Index

Constituents: 566 securities as of September 30, 2020

Effective date: February 15, 2021 (Monday)

Strategy:

Geography: 24 developed markets/countries

Five investment style factors*:

1. Value
2. Momentum
3. Quality
4. Low Volatility
5. Size

The above five investment styles will be combined in four pre-determined configurations depending on economic cycles and overall market conditions:

1. Expansion
2. Slowdown
3. Contraction
4. Recovery

The signals to determine which of the aforementioned economic cycles/market conditions are currently in vigor come from rules-based methodology.

Weights of each constituent in the index are determined as a combination of their multifactor score and weight in the parent/universe index. Constituents in parent/universe index with scores below certain thresholds will be excluded.

Prospectus is here.

*Investment Style Factors

Value. A company’s value factor score is based on an equally-weighted composite of cash flow yield, earnings yield, and sales to price ratio, calculated based on the company’s total market capitalization and information reported in the company’s most recent annual financial statement as of the last business day of the prior month.

Momentum. A company’s momentum factor score is based on historical total return over the 11 months ending on the last business day of the prior month.

Quality. A company’s quality factor score is based on a composite of three measures of profitability (return on assets, change in asset turnover and accruals) and a single measure of leverage, calculated based on information reported in the company’s most recent annual financial statement.

Low Volatility. A company’s volatility factor score is based on the standard deviation of weekly total returns to a company’s stock price over the trailing five years ending on the last business day of the prior month.

Size. A company’s size factor score is based on total market capitalization as of the last business day of the prior month.

Twitter: @ETFhearsay