Applied solutions | Case study

The market is dynamic.
Your equity allocation
can be too.
Public equity is one of the largest contributors to risk and return within multi-asset
portfolios.1 Asset owners are tasked with weighing the risks of passive allocations withthe costs of active management. An innovative approach to navigating markets canoffer the best of both worlds.
ProfileObjectives

Solution

FTSE Russell and Invesco havepartnered since 2017 on the FTSE
Invesco Dynamic Multifactor Indexseries. These indices seek to navigate
the uncertainty of the business cycle andare available within public equities,
across regions and capitalization sizes.

The index series offers a dynamic anddiversified allocation to equity factors
based on their underlying cyclicality
and has outperformed various global
equity markets throughout thebusiness cycle.

To accomplish this outperformance,
the indexes rely on two proprietaryinvestment processes: Invesco’s topdown macro framework and FTSE
Russell’s bottom-up factor index
expertise.

The Dynamic Multifactor (DMF) index series appeals to a wide-range of investors given the rules-based approach, transparency of
the investment process and has had success in delivering on its investment objectives, which we highlight in this paper.

Macro regimes framework
Expansion

Slowdown

Growth is above trend
and rising

Growth is above trend
and falling

RecoveryContraction

Growth is below trend
and rising

Growth is below trend
and falling

Factor tilts by macro regime
Size
Value
MomentumLow volatility
Quality

◄
◄

Size
Value
MomentumLow volatility
Quality

◄
◄
◄

Size
Value
MomentumLow volatility
Quality

◄
◄

Size
Value
MomentumLow volatility

Quality◄◄◄[1] Source: Invesco Vision, Bloomberg, as of 11/30/23. Assuming a portfolio contains 60% global equities and 40% global bonds, as represented by
the MSCI ACWI index and Bloomberg Global Aggregate Bond index, equities contributed 83% of the portfolio's standard deviation and 100% of
portfolio's return for the 10-year period ending 11/30/23.
1This article is for Professional Clients and Financial Advisers in Continental Europe (as defined below), for Qualified Clients/Sophisticated Investors in Israel; for Professional Clients in
Dubai, Ireland, and the UK; for Sophisticated or Professional Investors in Australia; Institutional Investors in the United States; in Canada, this document is restricted to (i) Accredited
Investors, and (ii) Permitted Clients, as defined under National Instrument 45-106 and National Instrument 31-103, respectively; for Qualified Institutional Investors in Japan; forProfessional Investors in Hong Kong, for Institutional Investors and/or Accredited Investors in Singapore, for certain specific sovereign wealth funds and/or Qualified Domestic
Institutional Investors approved by local regulators only in the People’s Republic of China, for certain specific Qualified Institutions and/or Sophisticated Investors only in Taiwan, for
Qualified Professional Investors in Korea, for certain specific institutional investors in Brunei, for Qualified Institutional Investors and/or certain specific institutional investors in Thailand,for certain specific institutional investors in Indonesia and for qualified buyers in the Philippines for informational purposes only. It is not intended for and should not be distributed to, or
relied upon, by the public or retail investors. For the purposes of this document, Continental Europe is defined as Austria, Belgium, Denmark, Finland, France, Germany, Italy,
Luxembourg, Netherlands, Norway, Spain, Sweden, and Switzerland.

Applied solutions | Case study

1. What are the investment objectives of the DMF index series?
Dynamic Multifactor (DMF) is a rules-based equity index series that dynamicallyallocates across equity factors according to Invesco’s identified macro-economic
regime signal. The objective of DMF is to outperform the market capitalizationweighted index over the long term with similar levels of volatility by adapting tochanges in the business cycle using proprietary indicators.

2. Why consider dynamic factor investing versus a more
traditional, static approach?
Global markets are dynamic, adjusting to new information on future growth
expectations, earnings revisions, industry innovations and productivity. If markets
are dynamic, why shouldn’t your equity allocations be too?
Having the appropriate tools and framework to identify when and how tosuccessfully shift allocations is a key challenge faced when implementing tactical
portfolio management. The DMF index series relies on Invesco’s macroeconomic
regime identification model to shift allocations to underlying FTSE Russell’smultifactor indexes. The results have been compelling across regions and marketcaps and have offered outperformance relative to static and market-cap indexes, aswell as limiting downside-capture.

3. How does Invesco determine where we are in the macro cycle?
Invesco estimates monthly the prevailing macro regime using two equally weighted
proprietary signals: a regional leading economic indicator (LEI) and a single, global
risk appetite cycle indicator (GRACI).
The inclusion of a risk appetite indicator reflects the fact that markets tend to leadthe economy. As such, incorporating a real-time indicator of asset pricing (GRACI)in the model allows the index to take a more timely, forward-looking view of
economic growth expectations. Please refer to the citations in the appendix forfurther literature on the methodologies implemented in the index.

Leading Economic Indicator(LEI)

Global Risk Appetite Cycle Indicator(GRACI)

Above
Below
Falling

RisingAbove/Below long-term trend

Rising/Falling growth

Forward-looking measureof the level of economic activity

Measure of the market’s risk sentiment,strongly correlated with changes in
economic growth expectations

4. What are the five factors selected and how does DMF allocate
to them?
The five FTSE Russell factors – allocated to value, small size, momentum, quality,
and low volatility – are supported by a body of academic research and empiricalevidence across different geographies and time periods. Although additional factors
have been identified, these five have historically explained a large proportion ofstock returns.

FTSE Russell

2Applied solutions | Case study

Depending on the Invesco macro regime signal, the index allocates to one of four
predetermined combinations of factors. For example, in an early stage of economic
recovery, DMF will overweight securities in the benchmark index which score highlyon size and value factors – both factors which carry pro-cyclical, fundamental
characteristics. In an economic slowdown, DMF will overweight securities with moredefensive characteristics found in quality and low volatility factors.
A key philosophy of FTSE Russell’s bottom-up factor index weighting methodology
seeks to reward securities that have strong exposure to all the desired factors, notjust one or the other.
Utilizing FTSE Russell’s innovative ‘Tilt-Tilt’ multi-factor methodology, theunderlying regime-driven multi-factor indexes achieve greater factor exposure in amore controlled manner, while balancing concerns around diversification, liquidity,
and capacity. This approach targets approximately the same exposures of single
factor indexes, without the dilutive effects of other methods. Additionally, themagnitude of tilt(s) can be adjusted to address implementation concerns such as
liquidity, capacity, diversification, and turnover.

5. How does DMF utilize and implement factors differently fromtraditional factor strategies?
Invesco and FTSE Russell believe there is long-term excess return potential to beearned from investing in certain equity factors which are backed by academic
research and empirical evidence (e.g., value, size, quality, low volatility andmomentum).
Factors can also be used efficiently to ’bucket’ or segment securities based on theirshared risk characteristics. This taxonomy is particularly useful when seeking to
express views on market cyclicality, paving the way for a rules-based approach to
dynamic equity allocations. In an economic slowdown, for example, investors havebeen rewarded for investing in companies with stronger balance sheets and lower
volatility of returns. As such, DMF tilts toward two types of factor exposures –quality and low volatility – similar to how a macro-driven, active equity manager
might approach stock selection, however DMF’s rules-based approach istransparent and cost-effective.
Lastly, DMF is tilting towards multiple factors at any given time, rather than ‘putting
all our eggs in one basket’. Many factor strategies concentrate exposure to thedesired factor (or factors) while hedging other metrics such as beta and sector
exposure, so they are in line with those of the benchmark. Deviations in DMF’s
sector and market exposures should be considered a by-product of the targetedfactor exposures, allowing the index to align to the market’s growth expectations.

6. The success of factor timing has seen mixed results – how
has this index been successful?
DMF tilts or overweights the factors expected to outperform, differentiating from‘timing’ where allocators may look to neutralize unintended factors exposure, which
may arise as factors are partially correlated. DMF’s approach aims to provide
diversified exposure to multiple factors at all stages of the economic cycle.
In short, DMF is not a ’horse race’ that aims to pick the winning factor or factors.
Instead, the index is overweighting the desired factors, while allowing residual
exposure to unintended factors as a by-product. Further, the indexes are always
fully invested in equity securities and does not rely on cash exposures to increaseor decrease risk.

FTSE Russell

3Applied solutions | Case study

7. How can a rules-based investment process complement
fundamental management?
The ability to reduce portfolio costs within public equity allocations without
sacrificing excess return potential is a key benefit of DMF relative to fundamental
equity strategies.
While most fundamental equity managers seek to generate alpha through bottomup stock selection, DMF’s model-driven approach provides differentiated sources ofalpha as evidenced by the low correlation of excess factor returns.2
Relative to concentrated stock indices, DMF offers diversified exposure. Dependingon the identified macro regime, the Russell 1000 Invesco Dynamic Multifactor index
will allocate to between 200 and 800 stocks.
And finally, the rules-based process allows for transparency into positioning andperformance, allowing for timely reporting to committees and investors.

8. How do FTSE Russell and Invesco work together to deliver
this to investors?
Our two firms work in partnership to support our clients in delivering on DMF’s
investment objectives.
Invesco’s proprietary forward-looking macro regime framework guides DMF’s factor
allocations which are derived from FTSE Russell’s global factor and index
expertise. This top-down and bottom-up process provide a differentiated source ofrisk and return to the marketplace.

Diversified,strong factor exposure
Leverage FTSE Russell’s leading index
capabilities: factor research, security weighting andindex governance

Proprietary
macro regime indicators
Forward-looking signals guide dynamic factor
allocations given their cyclical properties

The Greek philosopher Heraclitus said: “The only constant inlife is change”. Consistent with this philosophy, DMF adapts
dynamically to changing market environments to offer aninnovative, transparent, risk-controlled and cost-effective
solution to investing in public equities.

2“Dynamic Multifactor Strategies – A Macro Regime Approach” Parts 1 and 2, by Alessio de Longis, CFA and Mo Haghbin, CFA, CAIAFTSE Russell

4Applied solutions | Case study

Appendix
Invesco Dynamic Multifactor Indices
Regional performance as of December 31, 2023
Returns (%)
Russell 1000 Invesco Dynamic
Multifactor Index
Russell 1000 Comprehensive
Factor Index
Russell 1000 Index
Russell 2000 Invesco Dynamic
Multifactor Index
Russell 2000 Comprehensive
Factor Index
Russell 2000 Index
FTSE Developed ex US Invesco
Dynamic Multifactor Index
FTSE Developed ex US
Comprehensive Factor Index
FTSE Developed ex US Index
FTSE Emerging Invesco
Dynamic Multifactor Index
FTSE Emerging
Comprehensive Factor Index
FTSE Emerging Index

YTD

1-year3-year5-year

2023

2022

2021

2020

2019

Inception
Date

21.86

21.86

10.84

17.53

21.86

-13.57

29.28

20.92

36.19

10/13/2017

14.88

14.88

9.08

12.65

14.88

-10.92

26.81

8.43

28.93

6/29/2001

26.53

26.53

8.97

15.52

26.53

-19.13

26.45

20.96

31.43

12/31/1978

16.04

16.04

7.63

12.89

16.04

-16.89

29.27

15.21

27.62

10/13/2017

15.43

15.43

8.51

9.64

15.43

-13.35

27.74

2.47

21.01

6/22/2007

16.93

16.93

2.22

9.97

16.93

-20.44

14.82

19.96

25.52

1/1/1984

25.71

25.71

7.32

—

25.71

-15.65

17.70

—

—

8/17/2020

17.52

17.52

3.74

—

17.52

-16.53

10.10

—

—

9/21/2001

18.06

18.06

3.58

—

18.06

-14.59

11.80

—

—

9/22/2003

18.77

18.77

—

—

18.77

-13.48———

1/29/2021

22.04

22.04

—

—

22.04

-7.33

—

—

—

9/21/2001

8.64

8.64

—

—

8.64

-16.91———

12/29/2000

Risk (%) – Trailing 3-year statistics

Std Dev

Tracking
Error

Up Capture
Ratio

Down
Capture
Ratio

Russell 1000 Invesco Dynamic Multifactor

18.16

6.35

100.26

92.63

Russell 1000 Comprehensive Factor Index

17.47

5.42

92.25

89.15

Russell 1000 Index

17.67

--

100

100

Russell 2000 Invesco Dynamic Multifactor

20.8

4.83

109.38

92.17

Russell 2000 Comprehensive Factor Index

19.91

5.44

104.68

84.59

Russell 2000 Index

21.41

--

100

100

FTSE Developed ex US Invesco Dynamic Multifactor

17.79

4.62

108.86

94.94

FTSE Developed ex US Comprehensive Factor Index

15.96

3.16

87.59

91.86

FTSE Developed ex US Index

17.03

--

100

100

FTSE Emerging Invesco Dynamic Multifactor**

--

--

--

--

FTSE Emerging Comprehensive Factor Index

--

--

--

--

FTSE Emerging Index

--

--

--

--

Source: Morningstar, data as of 12/31/2023. Past performance does not guarantee future results. Performance for periods greater than 1-year
are annualized. Index returns do not reflect payment of any sales charges or fees. See the appendix for additional back-tested performance notes.

5
FTSE Russell

Applied solutions | Case study

Past performance is not a guarantee of future results.
For more information on the Invesco Solutions Tactical Asset Allocation (TAA) process covering Invesco’s dynamic approach to factors, sectors,
regions, and asset classes, please review the following white papers:–––“Dynamic Asset Allocation through the Business Cycle”, by Alessio de Longis, CFA“Market Sentiment and the Business Cycle”, by Alessio de Longis, CFA“Dynamic Multifactor Strategies – A Macro Regime Approach” Parts 1 and 2, by Alessio de Longis, CFA and Mo Haghbin, CFA, CAIA

Regional LEIs equally weight economic variables from the most cyclical and leading parts of the economy. LEIs seek to predict whether growth will
be above or below its long-term trend in the medium term. For more details, see “Dynamic Asset Allocation and the Business Cycle” (de Longis,2019).
GRACI measures the incremental return received by investors, on average, for an incremental unit of risk taken in global financial markets. Thissignal seeks to extract market expectations of future changes in economic growth to determine whether growth is likely to accelerate or decelerate.
Global risk appetite has a strong and statistically significant correlation with the growth cycle and tends to lead turning points in global leading
economic indicators by 2-3 months. For more details, see “Market Sentiment and the Business Cycle” (de Longis and Ellis, 2019).
Important information
This article is for Professional Clients and Financial Advisers in Continental Europe (as defined below), for Qualified Clients/Sophisticated Investors
in Israel; for Professional Clients in Dubai, Ireland, and the UK; for Sophisticated or Professional Investors in Australia; Institutional Investors in the
United States; in Canada, this document is restricted to (i) Accredited Investors, and (ii) Permitted Clients, as defined under National Instrument 45106 and National Instrument 31-103, respectively; for Qualified Institutional Investors in Japan; for Professional Investors in Hong Kong, for
Institutional Investors and/or Accredited Investors in Singapore, for certain specific sovereign wealth funds and/or Qualified Domestic Institutional
Investors approved by local regulators only in the People’s Republic of China, for certain specific Qualified Institutions and/or Sophisticated Investors
only in Taiwan, for Qualified Professional Investors in Korea, for certain specific institutional investors in Brunei, for Qualified Institutional Investors
and/or certain specific institutional investors in Thailand, for certain specific institutional investors in Indonesia and for qualified buyers in thePhilippines for informational purposes only. It is not intended for and should not be distributed to, or relied upon, by the public or retail investors. For
the purposes of this document, Continental Europe is defined as Austria, Belgium, Denmark, Finland, France, Germany, Italy, Luxembourg,
Netherlands, Norway, Spain, Sweden and Switzerland.
By accepting this document, you consent to communicate with us in English, unless you inform us otherwise.
All material presented is compiled from sources believed to be reliable and current, but accuracy cannot be guaranteed. This is not to be construed
as an offer to buy or sell any financial instruments and should not be relied upon as the sole factor in an investment-making decision. As with all
investments, there are associated inherent risks. This should not be considered a recommendation to purchase any investment product. Investors
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Please obtain and review all financial material carefully before investing. The opinions expressed are those of the authors, are based on current
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Where individuals or the business have expressed opinions, they are based on current market conditions, they may differ from those of otherinvestment professionals and are subject to change without notice.
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This article is for general educational and informational purposes. This is not an offer to buy or sell any investment products. FTSE Russell is theindex provider of Dynamic MulitFactor Index series. The Index Provider is responsible for the maintenance and calculation of the Indexes. The Index
Provider is not affiliated with Invesco or its affiliates, such as Invesco Indexing. Invesco has entered into a license agreement with the Index Provider
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the underlying index. Invesco Indexing LLC is an indirect, wholly owned subsidiary of Invesco Ltd. The group is legally, technologically and physicallyseparate from other business units of Invesco, including the various global investment centers.
Past performance is not a guarantee of future results.
An investment cannot be made in an index.
Sponsored by Invesco Indexing LLC Invesco Indexing LLC, 100 Federal Street, 28th Floor, Boston, MA 02110

6
FTSE Russell

Applied solutions | Case study

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7
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ABOUT FTSE RUSSELL
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