Invesco Rolls Out Low-Cost Multi-Factor ETFs Based on S&P Indices

On Wednesday June 30, Invesco launched three new low-cost ETFs that track multi-factor indices based on large cap, mid cap, and small cap S&P Indices.

Each of the multi-factor indices incorporates quality, value, and momentum factors.

The Invesco S&P 500 QVM Multi-Factor ETF (QVML) tracks an index based on the S&P 500 Index; the Invesco S&P MidCap 400 QVM Multi-Factor ETF (QVMM) tracks an index based on the S&P MidCap 400 Index; and the Invesco SmallCap 600 QVM Multi-Factor ETF (QVMS) tracks an index based on the S&P SmallCap 600 Index.

QVML has an expense ratio of 0.11%, while QVMM and QVMS both have an expense ratio of 0.15%. Each are among the cheapest multi-factor ETFs in their respective categories. For example, QVML is cheaper than all other multi-factor U.S. large cap ETFs, with the exception of the Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF (GSLC), which costs 0.09%.

Inside the Portfolios Of QVML, QVMM, and QVMS

To construct the multi-factor indices, Invesco assigns each security in the parent index three separate “style scores,” corresponding to each of three factors: quality, value, and momentum.

The quality score is based on a stock’s return-on-equity, accruals ratio, and financial leverage ratio; the value score is based on book value-to-price ratio, earnings-to-price ratio, and sales-to-price ratio; and the momentum score is based on the risk-adjusted price performance of that stock as compared to other eligible securities.

The three scores are averaged into a combined “multi-factor” score; the stocks from the parent index with scores within the top 90% are included in the final benchmark. For example, QVML’s parent index has roughly 500 stocks, while, as of launch, QVML included 448 stocks.

Securities are weighted according to their float-adjusted market capitalization.

Invesco’s new funds are listed on the NYSE Arca.

For more news, information, and strategy, visit the Innovative ETFs Channel.


The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.

Published on June 30, 2021

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