Fund Performance

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Fund information
Name	Invesco S&P MidCap 400 Equal Weight ETF (EWMC)
Asset Class	U.S. Equity
Category	Mid-Cap Blend
Fund Benchmark	S&P MidCap 400 Equal Weighted TR USD
Selected Benchmark	Vanguard S&P Mid-Cap 400 ETF (IVOO)
Price/Earnings (TTM)	22.27
Yield (SEC)	1.07%
Yield (TTM)	1.16%
Assets	86.55 M
Expense Ratio	0.40%
Inception Date	12/03/2010

Performance Summary

Fund performance summary
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Invesco S&P MidCap 400 Equal Weight ETF	$10,000	$21,051	8.46%	15.11%	34.97%	-13.65%	-21.02%	0.57	0.86	0.95
Vanguard S&P Mid-Cap 400 ETF	$10,000	$22,672	9.34%	14.25%	33.59%	-11.76%	-21.74%	0.66	0.99	0.95

Trailing Returns

Trailing Returns
Name	Annualized Return					Annualized Volatility
Name	3 Month	1 year	3 year	5 year	Full	3 year	5 year
Invesco S&P MidCap 400 Equal Weight ETF	-11.03%	-9.11%	0.55%	3.34%	8.46%	17.19%	15.98%
Vanguard S&P Mid-Cap 400 ETF	-9.33%	-3.39%	3.21%	5.39%	9.34%	15.92%	14.62%
Trailing annualized return and volatility are for full months ending in February 2020 excluding portfolio cashflows.

Notes on results:

Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Fund fundamentals data as of 01/25/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
Displayed expense ratio is the prospectus net expense ratio
CAGR = Compound Annual Growth Rate
Stdev = Annualized standard deviation of monthly returns
Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
Stock market correlation is based on the correlation of monthly returns
Drawdowns are calculated based on monthly returns

Up vs. Down Market Performance

Invesco S&P MidCap 400 Equal Weight ETF vs. Vanguard S&P Mid-Cap 400 ETF

Up vs. Down Market Performance - Invesco S&P MidCap 400 Equal Weight ETF vs. Vanguard S&P Mid-Cap 400 ETF
Market Type	Occurrences				Average Active Return
Market Type	Above Benchmark	Below Benchmark	Total	% Above Benchmark	Above Benchmark	Below Benchmark	Total
Up Market	33	38	71	46%	0.56%	-0.53%	-0.02%
Down Market	20	19	39	51%	0.64%	-0.92%	-0.12%
Total	53	57	110	48%	0.59%	-0.66%	-0.06%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Invesco S&P MidCap 400 Equal Weight ETF	Vanguard S&P Mid-Cap 400 ETF
Large-cap Value	0.00%	1.93%
Large-cap Growth	0.00%	0.00%
Mid-cap Value	71.43%	43.16%
Mid-cap Growth	19.60%	50.57%
Small-cap Value	3.43%	2.63%
Small-cap Growth	0.00%	1.24%
Global ex-US Developed Markets	5.54%	0.00%
Emerging Markets	0.00%	0.00%
Corporate Bonds	0.00%	0.00%
Long-Term Treasuries	0.00%	0.45%
Intermediate-Term Treasuries	0.00%	0.00%
Short-Term Treasuries	0.00%	0.01%
R Squared	98.05%	99.64%
Style analysis is based on monthly returns from January 2011 to February 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Invesco S&P MidCap 400 Equal Weight ETF

Holdings Based Style Analysis for Invesco S&P MidCap 400 Equal Weight ETF
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
EWMC	Invesco S&P MidCap 400 Equal Weight ETF	Mid-Cap Blend	100.00%	1.07%	0.40%	22.27	$11,051	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard S&P Mid-Cap 400 ETF

Holdings Based Style Analysis for Vanguard S&P Mid-Cap 400 ETF
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
IVOO	Vanguard S&P Mid-Cap 400 ETF	Mid-Cap Blend	100.00%	1.24%	0.10%	25.51	$12,672	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
Metric	Invesco S&P MidCap 400 Equal Weight ETF	Vanguard S&P Mid-Cap 400 ETF
Arithmetic Mean (monthly)	0.77%	0.83%
Arithmetic Mean (annualized)	9.69%	10.44%
Geometric Mean (monthly)	0.68%	0.75%
Geometric Mean (annualized)	8.46%	9.34%
Volatility (monthly)	4.36%	4.11%
Volatility (annualized)	15.11%	14.25%
Downside Deviation (monthly)	2.86%	2.68%
Max. Drawdown	-21.02%	-21.74%
US Market Correlation	0.95	0.95
Beta^(*)	1.04	1.00
Alpha (annualized)	-1.14%	0.00%
R²	97.06%	100.00%
Sharpe Ratio	0.57	0.66
Sortino Ratio	0.86	0.99
Treynor Ratio (%)	8.29	9.35
Calmar Ratio	0.03	0.18
Active Return	-0.88%	N/A
Tracking Error	2.67%	N/A
Information Ratio	-0.33	N/A
Skewness	-0.28	-0.39
Excess Kurtosis	1.36	1.04
Historical Value-at-Risk (5%)	-7.25%	-6.80%
Analytical Value-at-Risk (5%)	-6.40%	-5.94%
Conditional Value-at-Risk (5%)	-9.71%	-9.17%
Upside Capture Ratio (%)	98.89	100.00
Downside Capture Ratio (%)	103.60	100.00
Safe Withdrawal Rate	16.68%	16.59%
Perpetual Withdrawal Rate	6.23%	7.00%
Positive Periods	72 out of 110 (65.45%)	71 out of 110 (64.55%)
Gain/Loss Ratio	0.85	0.93
^* Vanguard S&P Mid-Cap 400 ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Invesco S&P MidCap 400 Equal Weight ETF Returns

Annual and monthly fund returns
Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2011	2.15%	4.24%	2.31%	2.95%	-0.60%	-1.58%	-3.52%	-7.03%	-9.99%	14.18%	-1.02%	-0.34%	-0.22%
2012	6.17%	4.62%	1.11%	-0.90%	-6.99%	2.56%	0.74%	2.60%	2.40%	-1.02%	2.04%	2.39%	16.19%
2013	7.10%	0.98%	4.43%	0.68%	2.78%	-1.49%	6.55%	-2.68%	4.65%	4.06%	0.93%	2.85%	34.97%
2014	-1.29%	5.54%	0.28%	-0.56%	1.93%	4.30%	-4.11%	4.79%	-3.74%	2.07%	1.53%	-0.48%	10.19%
2015	-1.99%	5.68%	0.12%	0.15%	0.78%	-2.56%	-0.70%	-4.96%	-4.60%	6.73%	0.16%	-3.17%	-4.95%
2016	-7.43%	1.86%	9.29%	2.05%	1.69%	0.03%	4.75%	0.89%	-0.11%	-3.46%	9.71%	2.44%	22.52%
2017	1.27%	1.84%	-0.24%	0.73%	-0.99%	1.64%	0.70%	-2.56%	5.00%	1.08%	3.34%	0.74%	13.04%
2018	2.39%	-5.04%	1.08%	0.43%	4.17%	1.13%	1.62%	2.38%	-1.05%	-9.33%	2.56%	-12.05%	-12.45%
2019	11.97%	4.08%	-1.59%	3.86%	-9.22%	7.84%	0.36%	-5.97%	4.28%	0.92%	2.82%	3.03%	22.66%
2020	-3.79%	-10.24%											-13.65%

Vanguard S&P Mid-Cap 400 ETF Returns

Annual and monthly fund returns
Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2011	1.41%	4.37%	2.69%	2.72%	-1.48%	-1.74%	-3.84%	-7.43%	-9.17%	12.72%	-0.62%	-0.47%	-2.57%
2012	6.66%	4.46%	2.21%	-0.62%	-6.02%	1.42%	-0.05%	3.52%	1.84%	-0.80%	2.23%	2.15%	17.76%
2013	7.33%	0.88%	4.76%	0.41%	3.10%	-2.56%	6.36%	-3.79%	5.22%	3.66%	1.61%	2.96%	33.59%
2014	-2.32%	4.94%	0.32%	-1.55%	1.74%	4.16%	-4.35%	5.12%	-4.48%	3.50%	1.83%	0.82%	9.51%
2015	-1.14%	5.11%	1.25%	-1.42%	1.72%	-1.27%	0.10%	-5.62%	-3.16%	5.48%	1.38%	-4.13%	-2.31%
2016	-5.72%	1.33%	8.63%	1.24%	2.24%	0.02%	4.68%	0.46%	-0.41%	-2.86%	8.08%	1.89%	20.36%
2017	1.84%	2.60%	-0.43%	0.77%	-0.45%	1.58%	0.96%	-1.62%	3.90%	2.26%	3.84%	0.15%	16.37%
2018	2.77%	-4.45%	1.09%	-0.43%	4.15%	0.45%	1.69%	3.23%	-1.15%	-9.56%	3.08%	-11.35%	-11.33%
2019	10.49%	4.30%	-0.61%	4.02%	-8.07%	7.80%	1.02%	-4.07%	3.05%	1.10%	3.01%	2.76%	26.17%
2020	-2.58%	-9.42%											-11.76%

Invesco S&P MidCap 400 Equal Weight ETF Factor Regression

Invesco S&P MidCap 400 Equal Weight ETF Factor Regression
Model	MKT-RF	SMB	HML	MOM	RMW	CMA	Annualized Alpha	R²
Fama-French 3-factor model	1.06	0.39	0.24				-1.86%	95.03%
Carhart 4-factor model	1.04	0.39	0.17	-0.11			-1.43%	95.46%
Fama-French 5-factor model	1.07	0.44	0.15		0.14	0.06	-2.11%	95.38%
Factor regression from Jan 2011 to Feb 2020. Statistically significant values in bold.

Vanguard S&P Mid-Cap 400 ETF Factor Regression

Vanguard S&P Mid-Cap 400 ETF Factor Regression
Model	MKT-RF	SMB	HML	MOM	RMW	CMA	Annualized Alpha	R²
Fama-French 3-factor model	1.01	0.39	0.13				-0.95%	95.62%
Carhart 4-factor model	1.01	0.39	0.13	0.01			-1.00%	95.63%
Fama-French 5-factor model	1.01	0.43	0.07		0.12	0.00	-1.12%	95.81%
Factor regression from Jan 2011 to Feb 2020. Statistically significant values in bold.

Rolling returns summary
Roll Period	Invesco S&P MidCap 400 Equal Weight ETF			Vanguard S&P Mid-Cap 400 ETF
Roll Period	Average	High	Low	Average	High	Low
1 year	10.76%	35.84%	-13.46%	11.42%	33.59%	-11.33%
3 years	11.37%	23.58%	0.55%	11.99%	21.82%	3.21%
5 years	10.40%	15.88%	3.34%	11.21%	16.12%	5.39%
7 years	11.35%	15.51%	7.68%	12.01%	15.96%	8.98%

Fund Performance Analysis

Fund Information (Jan 2011 - Feb 2020)

Performance Summary

Trailing Returns

Up vs. Down Market Performance

Invesco S&P MidCap 400 Equal Weight ETF vs. Vanguard S&P Mid-Cap 400 ETF

Returns Based Style Analysis

Holdings Based Style Analysis for Invesco S&P MidCap 400 Equal Weight ETF

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard S&P Mid-Cap 400 ETF

Asset Allocation

Equity Market Capitalization

Equity Sectors

Invesco S&P MidCap 400 Equal Weight ETF Returns

Vanguard S&P Mid-Cap 400 ETF Returns

Invesco S&P MidCap 400 Equal Weight ETF Factor Regression

Vanguard S&P Mid-Cap 400 ETF Factor Regression