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Not for Use with Retail Investors

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

For Institutional Use Only

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Sources: FTSE Russell, Morningstar Direct as of 2/28/18. 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.

For Institutional Use Only

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Sources: FTSERussell, Morningstar Direct as of 2/28/18.Past performance does not guarantee future results. 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.

For Institutional Use Only

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Source: Bloomberg Finance, L.P., as of Feb 28, 2018.

For Institutional Use Only

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A combination of above-trend U.S. economic activity and global risk appetite has kept our Dynamic Multi-Factor ETFs in an “expansion” regime for the third straight month.  Given this signal, our multi-factor ETFs remain tilted toward the size, value, and momentum factors.  

Above-Trend Growth Likely to Continue in the United States

Our leading economic indicators suggest 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, therefore supporting economic growth.

Although volatility picked up across markets, the average risk-adjusted performance of riskier asset classes remained above its medium-term trend during February. In turn, our market sentiment indicator continued to accelerate, suggesting global risk appetite continued to rise.

Quality and Momentum Factors Outperformed During a Volatile Month

 February offered the first month of market volatility in some time, and momentum and quality were the only factors to outperform the index. Yield-oriented and low-volatility stocks underperformed substantially, as higher interest rates raised questions about the ability of these stocks to manage a relatively larger debt load than peers, as well as their relative attractiveness given the trend of higher fixed income yields.

The size factor had an upside/downside capture ratio of 80%/89% in February, compared to a 10-year ratio of 111%/111%. This was an unusual display of defensive performance from the traditionally cyclical factor, which increases exposure to relatively smaller companies. During the month, risk proved higher in larger companies that had run up more in price over the past few years.

Our Global Multi-Asset Group 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 Multi-Factor ETFs.