Invesco Multi-Factor Core Plus Fixed Income ETF

Data updated: 2020-01-29

C000201208 — Invesco Multi-Factor Core Plus Fixed Income ETF. Total / Aggregate Bond · $52.66M AUM. Holdings, fees, performance and SEC filings.

C000201208 Fund Overview

Invesco Multi-Factor Core Plus Fixed Income ETF is a US ETF managed by Invesco Exchange-Traded Self-Indexed Fund Trust, categorised as Total / Aggregate Bond. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

C000201208 Investment Objective and Strategy

Invesco Multi-Factor Core Plus Fixed Income ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Invesco Exchange-Traded Self-Indexed Fund Trust.

Investment objective

The Invesco Multi-Factor Core Plus Fixed Income ETF (the “Fund”) seeks to track the investment results (before fees and expenses) of the Invesco Multi-Factor Core Plus Index (the “Underlying Index”).

Principal investment strategy

"The Fund generally will invest at least 80% of its total assets in securities that comprise the Underlying Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the Index Provider) compiles and maintains the Underlying Index, which is designed to provide multi-factor exposure to fixed income securities. The Index Provider is affiliated with Invesco Capital Management LLC, the Funds investment adviser (the Adviser), and Invesco Distributors, Inc., the Funds distributor (the Distributor). The Underlying Index is an index of indexes, comprised of component securities of the following indexes (each, a Sub-Index), with corresponding fixed, target weightings in the Underlying Index: (i) Invesco High Yield Defensive Index (30% weight); (ii) Invesco Investment Grade Defensive Index (20% weight); (iii) Invesco U.S.

Fixed Rate 30-Year MBS Index (20% weight); (iv) Invesco Investment Grade Value Index (10% weight); (v) Invesco U.S. Treasury 10-30 Years Index (10% weight); (vi) Invesco Emerging Markets Debt Defensive Index (5% weight); and (vii) Invesco Emerging Markets Debt Value Index (5% weight). The Underlying Index will typically include between 500-1,000 securities. The securities in the Underlying Index are weighted in accordance with the methodology of each Sub-Index. Additional information about each Sub-Index is set forth below. Invesco High Yield Defensive Index. The Invesco High Yield Defensive Index (the ""HY Defensive Index"") is designed to provide exposure to U.S. corporate bonds having the highest ""quality scores"" within an eligible universe of U.S. high yield bonds (commonly known as ""junk bonds"") and bonds with the lowest credit rating considered investment grade, all as determined by the Index Provider using its methodology described below.

The HY Defensive Index is compiled and maintained by the Index Provider. In selecting components for inclusion in the HY Defensive Index, the Index Provider begins with an investment universe of all U.S. dollar-denominated bonds issued by U.S. companies. To be eligible for inclusion in the HY Defensive Index, bonds must (i) be rated higher than B- and lower than or equal to BBB- (or equivalent) by S&P Global Ratings, a division of S&P Global Inc. (S&P), Fitch Ratings Inc. (Fitch) or Moodys Investors Service, Inc. (Moodys) credit rating agencies; (ii) have at least $400 million outstanding, with only the largest bond from each issuer eligible; (iii) have at least two years, and no more than ten years, until final maturity; and (iv) make coupon payments. Qualifying securities include: fixed rate, bullet bonds, sinking funds, amortizing, puttable, extendable, callable, and step-up bonds with schedules known at issuance.

Securities issued in accordance with Rule 144A (Rule 144A securities) under the Securities Act of 1933, as amended (the Securities Act) bonds registered with the Securities and Exchange Commission (SEC), publicly underwritten medium-term notes and Eurodollar bonds are all eligible for inclusion in the HY Defensive Index. The Index Provider assigns a quality score (Quality Score) to each eligible bond, which is calculated based on such bonds maturity and credit rating. With respect to maturity, each bond is scored based on the number years remaining to maturity, with bonds having fewer years to maturity receiving higher scores. With respect to credit factor score, each rating agencys rating is converted into a numerical value and a bonds credit factor score is calculated as an equally-weighted average of the numerical scores of each agency that has rated the bond.

The maturity and credit factors for each bond are standardized across the universe of eligible bonds, and the Quality Score for each bond is computed as an equally-weighted combination of these two factors. All eligible securities are ranked by Quality Score. Initially, bonds with Quality Scores in the top 40% of eligible securities are selected for inclusion in the HY Defensive Index. At each monthly HY Defensive Index rebalance, any eligible security with a Quality Score in the top 30% of eligible securities is added to the HY Defensive Index, and current HY Defensive Index components with a Quality Score in the bottom 50% of eligible securities are removed. HY Defensive Index components are equally weighted. Invesco Investment Grade Defensive Index. The Invesco Investment Grade Defensive Index (the IG Defensive Index) is designed to provide exposure to U.S.

investment grade bonds having the highest quality scores (within the eligible universe of U.S. investment grade bonds) as determined by the Index Provider using its methodology described below. The IG Defensive Index is compiled and maintained by the Index Provider. In selecting components for inclusion in the IG Defensive Index, the Index Provider begins with an investment universe of all U.S. dollar-denominated bonds issued by U.S. companies. To be eligible for inclusion, bonds must (i) be rated higher than BBB- (or equivalent) by S&P, Fitch, or Moodys credit rating agencies; (ii) have at least $600 million outstanding, with only the largest bond from each issuer eligible; (iii) have at least two years, and no more than ten years, until final maturity; and (iv) make coupon payments. Qualifying securities include: fixed rate, bullet bonds, sinking funds, amortizing, puttable, extendable, callable, and step-up bonds with schedules known at issuance.

Rule 144A securities, bonds registered with the SEC, publicly underwritten medium-term notes and Eurodollar bonds are all eligible for inclusion in the IG Defensive Index. The Index Provider assigns a quality score (Quality Score) to each eligible bond, which is calculated based on such bonds maturity and credit rating. With respect to maturity, each bond is scored based on the number years remaining to maturity, with bonds having fewer years to maturity receiving higher scores. With respect to credit factor score, each rating agencys rating is converted into a numerical value and a bonds credit factor score is calculated as an equally-weighted average of the numerical scores of each agency that has rated the bond. The maturity and credit factors for each bond are standardized across the universe of eligible bonds, and the Quality Score for each bond is computed as an equally-weighted combination of these two factors.

All eligible securities are ranked by Quality Score. Initially, bonds with Quality Scores in the top 40% of eligible securities are selected for inclusion in the IG Defensive Index. At each monthly IG Defensive Index rebalance, any eligible security with a Quality Score in the top 30% of eligible securities is added to the IG Defensive Index, and current components with a Quality Score in the bottom 50% of eligible securities are removed. IG Defensive Index components are equally weighted. Invesco U.S. Fixed Rate 30-Year MBS Index. The Invesco U.S. Fixed Rate 30-Year MBS Index (the MBS Index) is designed to provide exposure to mortgage-backed pass through securities of the Federal National Mortgage Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac). The MBS Index is compiled and maintained by the Index Provider.

In selecting components for inclusion in the MBS Index, the Index Provider begins with an investment universe of generic aggregates (MBS Generics), which are groups of pools of mortgage-backed securities (MBS) based on shared issuing agent, coupon rate and production year (i.e., the year that the mortgages were originated). The MBS Generics include pools of 30-year mortgages issued by Fannie Mae and Freddie Mac. They are based on fixed rate mortgages with at least one year remaining to maturity. The total amount outstanding of all production years for a given issuer and coupon must be at least $5 billion, and the total amount outstanding for a given coupon must be at least $250 million. From the universe of MBS Generics, the MBS Index include all outstanding pools of 30-year mortgages issued by Fannie Mae and Freddie Mac that were produced in the past three years.

The MBS Index rebalances monthly, at which time the MBS Generics selected for inclusion in the MBS Index are market-value weighted. Invesco Investment Grade Value Index. The Invesco Investment Grade Value Index (the IG Value Index) is designed to provide exposure to higher value, U.S. investment grade bonds. Higher value bonds are characterized as those with higher yields that may provide greater returns in certain markets. In addition, the IG Value seeks to incorporate securities with the highest quality scores (within the eligible universe of U.S. investment grade bonds) as determined by the Index Provider using its methodology described below. The IG Value Index is compiled and maintained by the Index Provider. In selecting components for inclusion in the IG Value Index, the Index Provider begins with an investment universe of all U.S.

dollar-denominated bonds issued by U.S. companies. To be eligible for inclusion, bonds must (i) be rated higher than BBB- (or equivalent) by S&P, Fitch, or Moodys credit rating agencies; (ii) have at least $600 million outstanding, with only the largest bond from each issuer eligible; (iii) have at least two years, and no more than ten years, until final maturity; and (iv) make coupon payments. Qualifying securities include: fixed rate, bullet bonds, sinking funds, amortizing, puttable, extendable, callable, and step-up bonds with schedules known at issuance. Rule 144A securities, bonds registered with the SEC, publicly underwritten medium-term notes and Eurodollar bonds are all eligible for inclusion in the IG Value Index. The Index Provider assigns a QAV Score to each eligible bond, which is calculated based on a combination of value and quality factors or characteristics.

With respect to value, a value score (Value Score) is assigned to each eligible bond based on the bonds option adjusted spread (OAS). Specifically, the Value Score for each bond is calculated as its percentile ranked OAS within its sector and credit rating category. With respect to credit category, each rating agencys rating is converted into a numerical value and a bonds credit factor score is calculated as an equally-weighted average of the numerical scores of each agency that has rated the bond. The bond is then assigned to one of six credit rating categories, as established by the Index Provider. Bonds are also separately ranked by OAS solely within their credit rating category. If fewer than three bonds are available within a sector or credit rating, then the Value Score for all bonds in the grouping is replaced with the percentile rank based on credit rating only.

If fewer than three bonds are available within a rating category, then the bonds in that rating category are removed from IG Value Index eligibility. The Value Scores are then standardized. The Index Provider also calculates a quality score (Quality Score) for each eligible bond, which is calculated based on such bonds maturity and credit rating. With respect to maturity, each bond is scored based on the number years remaining to maturity, with bonds having fewer years to maturity receiving higher scores. With respect to credit factor score, each rating agencys rating is converted into a numerical value and a bonds credit factor score is calculated as an equally-weighted average of the numerical scores of each agency that has rated the bond. The maturity and credit factors for each bond are standardized across the universe of eligible bonds, and the Quality Score for each bond is computed as an equally-weighted combination of these two factors.

Once a Value Score and Quality Score are assigned to eligible bonds, the QAV Score is calculated as a weighted average combination of the two scores, with 90% and 10% weights applied to the Value Score and Quality Score, respectively.

C000201208 Costs and Fees

C000201208 costs about $16 per $10,000 invested per year in fund expenses.

  • Net expense ratio: 0.16%
  • Gross expense ratio: 0.16%
  • Portfolio turnover: 69%
  • Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)

C000201208 Cashflows

Over the 12 months to 2019-11, Invesco Multi-Factor Core Plus Fixed Income ETF had net inflows of $0, from monthly SEC N-PORT filings.

MonthNet flow
2019-11$0
2019-10$0
2019-09$0

C000201208 Debt Constituents

No individual debt constituents are reported in Invesco Multi-Factor Core Plus Fixed Income ETF's latest SEC N-PORT filing.

C000201208 Prospectus and SEC Filings

Official Invesco Multi-Factor Core Plus Fixed Income ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Total / Aggregate Bond funds tracked on ABC INVEST:

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.