IMPORTANT: The information generated by the OppenheimerFunds Factor Exposure Tool is historical in nature and does not reflect actual investment results. Only mutual funds and ETFs that invest at least 50% in U.S. equity securities (based on Morningstar category and holdings reported to Morningstar) and have at least a 36-month performance history can be evaluated.

The OppenheimerFunds Factor Exposure Tool is for informational purposes only, is not a guarantee of future results, and should not be construed as investment advice or an offer or recommendation to buy or sell any investment or to participate in any investment strategy. The tool should be used as a guide with your financial advisor1 to help evaluate a factor allocation for your individual situation.

The tool is being provided for informational purposes only and should not be relied upon as containing sufficient information to support an investment decision. OppenheimerFunds, Inc. makes no warranties, express or implied, concerning the accuracy, completeness, reliability, suitability or timeliness of the information contained in the results of the tool. By accessing and viewing this information you acknowledge and understand the intended purpose of such information.

Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. Information on non-Oppenheimer funds is provided strictly for illustrative purposes only and should not be deemed an offer to sell or a solicitation of an offer to buy shares of any fund.

There is no guarantee low volatility strategies will provide low volatility.

A value style of investing is subject to the risk that the valuations never improve or that the returns will trail other styles of investing or the overall stock market.

The momentum style of investing is subject to the risk that the securities may be more volatile than the market as a whole, or that the returns on securities that have previously exhibited price momentum are less than returns on other styles of investing.

Investing in securities of small and medium-sized companies may involve greater risk than is customarily associated with investing in large companies.

Diversification does not guarantee a profit or eliminate the risk of loss.

Common stocks do not assure dividend payments and the amount of a dividend if any, may vary over time. There can be no guarantee or assurance that companies will declare dividends in the future or that if declared, they will remain at current levels or increase over time.

Methodology

The OppenheimerFunds Factor Exposure Tool calculates the factor exposure of U.S. Equity Mutual Funds or ETFs in the Morningstar Direct database.

FTSE Russell is a leading index provider in the factor space, and the OppenheimerFunds Factor Tool utilizes their data to calculate exposure to each of the rewarded 6 factors. The below table lists the factors analyzed in the tool and includes a description and definition of each.

FactorDescriptionDefinition
ValueStocks that appear cheap tend to perform better than stocks that appear expensive.Equally weighted composite of cash flow yield, earnings yield and price-to-sales ratio
QualityHigher-quality companies tend to perform better than lower-quality companies.Equally weighted composite of profitability (return on assets, change in asset turnover, accruals) & leverage ratio
SizeSmaller companies tend to perform better than larger companies.Log of full market capitalization
Low VolatilityStocks that exhibit low volatility tend to perform better than stocks with higher volatility.Standard deviation of 5 years of weekly total returns
MomentumStocks that rise or fall in price tend to continue rising or falling in price.Cumulative 11-month return (last 12 months excluding the most recent month)
YieldHigher-yielding stocks (those that pay higher dividends) tend to perform better than stocks with lower yields.Log of 12-month trailing dividend yield

Factor exposures are generated using a regression analysis, which is a common technique used to measure the link between two or more phenomena. In this case, a regression is used to measure the link between a fund, or portfolio’s return, to the commonly accepted factors, using the Russell 1000 factor indexes – i.e. what portion of a fund or portfolio’s return stream can be explained by each of the factors.

The return streams of the 6 factor indices, as well as the U.S. Equity Mutual Fund and ETF universe, are sourced from Morningstar Direct.

The beta coefficients, holding all else equal, are values that measure the change in portfolio returns given a per unit increase in the specific factor return. For example, assume a loading of 0.70 to the low volatility factor in a regression output. Holding all else constant, a 1% increase in the low volatility factor would signify a portfolio increase of 0.70%.

The annualized alpha signifies the return above or below the factor model's estimate that is not explained by the market or any of the selected factor betas within the regression. The factor model utilizes the Russell 1000 Index to represent the market.

The tool also shows whether or not each factor exposure is statistically significant or not. Statistical significance is measured using the p-value, a probability measure that observes the consistency of the relationship between the factor and portfolio return streams, and quantifies whether or not that relationship happened by chance. The output sets the significance threshold for a specific factor beta in the model as having a p-value of 0.10 or below. This is the cutoff using a 90% confidence level for being able to reject the hypothesis that this relationship happened by chance.

Limitations of the tool

Only U.S. Equity Mutual Funds and ETFs with a minimum 3-year track record can be used in the tool.

The tool uses historical data and is not forward looking.

The tool analyzes a portfolio’s exposure to six common factors (low volatility, quality, value, momentum, dividend yield and small size), while each of these can be toggled on/off by the user.

While the tool uses the FTSE Russell factor definitions, there may also be different ways to calculate each funds factor exposures.

Key Assumptions

The Mutual Funds and ETFs evaluated invest at least 50% in US equity securities.

The tool uses the fund returns that were most recently reported to Morningstar Direct.

The return streams of the Mutual Funds, ETFs and underlying Russell 1000 factor indexes are updated monthly in the tool, and so a funds factor exposure may change each time the returns are updated. The tool uses data from Morningstar Direct to calculate the results. The data may be restated by Morningstar which could change the tool’s results.

 
  1. ^Financial advisors charge a fee for their services.