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OppenheimerFunds is not undertaking to provide impartial investment advice or to provide advice in a fiduciary capacity.

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Sources: FTSE Russell, Morningstar Direct as of  3/31/18. Past performance does not guarantee future results. The returns of the OFI 1000 & 2000 Dynamic Indexes prior to 11/8/17 represent hypothetical pre-inception index performance (PIP) to illustrate how the index may have performed had it been in existence for the time period prior to 11/8/17. The inception date of the index is 11/8/17. PIP data results are based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, and cannot account for all financial risk that may affect the actual performance of the ETF. Actual performance of the ETF may vary significantly from the PIP data. The inception date of the ETF is 11/8/17, thus, the first full month of returns began 12/1/17. The management fee for the Oppenheimer Russell 1000 Dynamic Multifactor ETF is 0.29% and the Oppenheimer Russell 2000 Dynamic Multifactor ETF is 0.39%. The OFI 1000 & 2000 Dynamic Indexes "net" represents the index returns net of the management fee. The returns of the Russell Single Factor Indexes prior to 09/30/15 represent hypothetical pre-inception index performance (PIP) to illustrate how the index may have performed had it been in existence for the time period prior to 9/30/15. The inception date of the index is 9/30/15. PIP data results are based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, and cannot account for all financial risk that may affect the actual performance of the ETF. Actual performance of the ETF may vary significantly from the PIP data. The inception date of the ETF is 11/8/17, thus, the first full month of returns began 12/1/17 The management fee for the single factor ETFs are 0.19%. The Russell Single Factor Indexes "net" represents the index returns net of the management fee.

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Sources: FTSE Russell, Morningstar Direct as of  3/31/18. Past performance does not guarantee future results. The returns of the OFI 1000 & 2000 Dynamic Indexes prior to 11/8/17 represent hypothetical pre-inception index performance (PIP) to illustrate how the index may have performed had it been in existence for the time period prior to 11/8/17. The inception date of the index is 11/8/17. PIP data results are based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, and cannot account for all financial risk that may affect the actual performance of the ETF. Actual performance of the ETF may vary significantly from the PIP data. The inception date of the ETF is 11/8/17, thus, the first full month of returns began 12/1/17. The management fee for the Oppenheimer Russell 1000 Dynamic Multifactor ETF is 0.29% and the Oppenheimer Russell 2000 Dynamic Multifactor ETF is 0.39%. The OFI 1000 & 2000 Dynamic Indexes "net" represents the index returns net of the management fee. The returns of the Russell Single Factor Indexes prior to 09/30/15 represent hypothetical pre-inception index performance (PIP) to illustrate how the index may have performed had it been in existence for the time period prior to 9/30/15. The inception date of the index is 9/30/15. PIP data results are based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, and cannot account for all financial risk that may affect the actual performance of the ETF. Actual performance of the ETF may vary significantly from the PIP data. The inception date of the ETF is 11/8/17, thus, the first full month of returns began 12/1/17 The management fee for the single factor ETFs are 0.19%. The Russell Single Factor Indexes "net" represents the index returns net of the management fee.

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*In the graph, the Historical Factor Index Range refers to the range of sector exposures for the size factor index from 9/2015– 3/2018.

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Sources: FTSE Russell, Morningstar Direct as of  3/31/18. Past performance does not guarantee future results. Excess Returns using the Russell 1000 Index. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of investable assets. Certain returns shown may reflect backtested performance. All performance presented of the factor indices prior to the index inception date (September 30, 2015) is backtested performance.

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Source: Bloomberg Finance, L.P., as of March 31, 2018.

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The Oppenheimer Russell Dynamic Multifactor ETFs moved into a “slowdown” regime, resulting from a combination of still-above-trend U.S. economic activity, but decreasing global risk appetite. Our Dynamic Multifactor ETFs are tilted toward the quality and low volatility factors.

Our leading economic indicators suggest that the U.S. economy should continue to grow above trend over the next few quarters. Business and consumer confidence remain high, and activity in manufacturing and construction continues to be strong. While monetary conditions are gradually tightening, the current policy stance is not restrictive, and is therefore supportive of economic growth.

Volatility has increased materially over the past two months, as global credit spreads have widened and equity returns have lagged. In turn, the risk-adjusted performance of riskier assets has dipped below its medium-term trend. Thus, our market sentiment indicator decelerated, suggesting weakening global risk appetite.

Factor Performance

With the exception of size, which represents smaller companies, every factor had negative performance in March. Smaller companies outperformed the market by more than 2.5%, bucking a medium-term trend of disappointing performance from the factor. Larger companies outperformed small caps significantly over the past few years, and their valuations expanded materially, drawing investor attention to less-bid-up small cap stocks as volatility came into focus.

The yield factor also outperformed the market in March. Rates rose swiftly in January and February, but in March investors moved into bonds, and long rates, in particular, fell. With rate pressures easing, investors gravitated toward dividend-oriented securities.

Despite tilts to laggards in momentum and value, our dynamic multifactor ETFs outperformed considerably in March. A tilt to the size factor drove this outperformance, an example of how bottom-up factor allocation can deepen factor tilts and potential for improved excess returns.

Our Multi-Asset Team will continue to monitor the economic environment and global risk sentiment for signs of regime change, which we will reflect in the potential monthly repositioning of the dynamic multifactor ETFs.