Invesco Indexing Consultation on Turnover Treatment in Invesco Defensive Equity Index

Invesco Indexing is conducting a consultation on the treatment of turnover in the Invesco Defensive Equity Index resulting from an update to a data input used in the Index’s security selection. The overall profile and exposures of the Index are expected to remain unchanged, though the new data input will result in some changes to index constituents and will have attendant impact on Index turnover.

Invesco Indexing seeks input from market participants on three potential options for handling upcoming rebalances of the Invesco Defensive Equity Index:

  1. Incorporate all turnover associated with the data input update as part of the regularly scheduled March 2021 rebalance.
  2. Incorporate all turnover associated with the data input update as part of the regularly scheduled June 2021 rebalance.
  3. Distribute turnover associated with the data input update between the regularly scheduled March 2021 and June 2021 rebalances.

Based on data as of December 2020, if the new data input were used, the quarterly turnover for the Index would be 38%.

For context, the recent quarterly Index turnover was as follows:

Date

Turnover

4Q20

25.1%

3Q20

27.6%

2Q20

27.7%

1Q20

55.8%

4Q19

35.6%

3Q19

27.5%

2Q19

29.9%

1Q19

39.2%

4Q18

40.2%

3Q18

44.1%

2Q18

32.3%

Invesco Indexing welcomes your feedback on these proposals through March 5, 2021. To share your preference for these options, or provide additional feedback, please contact Invesco Indexing at IndexSupport@invesco.com.