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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.

 

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Sources: FTSE Russell, Morningstar Direct as of 6/30/18. Past performance does not guarantee future results. The returns of the OFI 1000 & 2000 Dynamic Indices 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 Indices "net" represents the index returns net of the management fee. The returns of the Russell Single Factor Indices prior to 9/30/15 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 Indices "net" represents the index returns net of the management fee.

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Sources: FTSE Russell, Morningstar Direct as of 6/30/18. 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.

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Source: Bloomberg Finance, L.P., as of 6/30/18.

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Sources: FTSE Russell, Morningstar Direct as of 6/30/18. 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. Excess returns are calculated using the Russell 1000 TR Index as the benchmark.

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Source: Bloomberg Finance, L.P., as of 6/30/18. Momentum, size, value, quality, low volatility, and dynamic represented by OMOM, OSIZ, OVLU, OQAL, OVOL, and OMFL. Results generated using the Bloomberg US Equity Fundamental Model, which utilizes a multiple factor modeling approach, analyzing the prior one-month equity returns and current portfolio holdings. The model utilizes a covariance matrix to forecast individual equity contribution to tracking error relative to the Russell 1000 Index. Predicted Beta is a forecasted beta relative to the Russell 1000 Index based off the inputs into the fundamental factor model, the individual holdings, and a covariance matrix. Holdings are subject to change.

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

Our leading economic indicators continue to suggest the U.S. economy should 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 further economic growth.

Despite slightly positive returns in riskier U.S. assets, the story outside of the U.S. was more nuanced. International markets continued to show weakness across both developed and emerging market equities. European high-yield corporates and emerging market sovereign bonds lagged as the U.S. dollar continued to appreciate relative to most major currencies. In turn, our market sentiment indicator decelerated, suggesting weakening global risk appetite, confirming the continuation of a “slowdown” regime.

Factor Performance

Low-volatility stocks kicked their recent trend of underperformance and were able to just outpace the index in a positive month for the equity markets. Investors seemed less concerned with the impact of rising rates over the period, as rates cooled toward the end of June.

June marks the fourth straight month during which the Russell 2000 Index outpaced the Russell 1000 Index. The small-cap rally carried over into the size factor index, which outpaced the market by 0.42%.

A combined tilt to both quality and low volatility factors was rewarded during the month, as the slowdown regime produced a higher return than any single factor index referenced. This highlights the potential of bottom-up factor allocation to amplify underlying factor performance.

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 Multi-Factor ETFs.

Check out the full Factor Dashboard here.