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Not for Use with Retail Investors

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Sources: FTSE Russell, Morningstar Direct as of  2/28/19. Past performance does not guarantee future results. The returns of the Russell 1000 & 2000 OFI Dynamic Indices prior to 10/13/17 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 10/13/17. The inception date of the index is 10/13/17. 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 Oppenheimer Russell 1000 Dynamic Multifactor ETF is 0.29% and Oppenheimer Russell 2000 Dynam ic 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 6/30/15 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 6/30/15. The inception date of the index is 6/30/15. 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. A description of the methodology is available upon request. 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  2/28/19. Past performance does not guarantee future results. The returns of the Russell 1000 & 2000 OFI Dynamic Indices prior to 10/13/17 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 10/13/17. The inception date of the index is 10/13/17. 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 Oppenheimer Russell 1000 Dynamic Multifactor ETF is 0.29% and Oppenheimer Russell 2000 Dynam ic 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 6/30/15 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 6/30/15. The inception date of the index is 6/30/15. 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. A description of the methodology is available upon request. 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  2/28/19. 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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Sources: FTSE Russell, Morningstar Direct as of  2/28/19. 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 (June 30, 2015) is backtested performance. A description of the methodology is available upon request Excess returns are calculated using the Russell 1000 TR Index as the benchmark. Factors are represented by the corresponding Russell 1000 Single Factor Indices.

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Source: Bloomberg Finance, L.P., as of 2/28/19. Single factor characteristics represented by the respective Russell 1000 Single Factor Indices.

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

Our leading economic indicators continue to suggest that the U.S. economy should grow above trend over the next few quarters. However, economic momentum is slowing across several parts of the economy. While consumer confidence remains high, it has been deteriorating recently. Business surveys point to meaningful deceleration in manufacturing activity. Housing markets remain soft, but have recently stabilized. Monetary conditions continue to tighten, as indicated by ongoing flattening of the yield curve. The current policy stance is now close to neutral. Overall, while the environment is weakening, it is still indicative of above-trend growth in the medium term.

Global asset prices were mixed in February. While most global equity indices posted modest gains, fixed income returns were less uniform. Outside of the United States, many developed and emerging market fixed income indices lagged over the period. Overall, global risk appetite did not rise enough to break through its medium-term trend, and thus we are still registering a deceleration in global market sentiment. This deceleration, combined with current above-trend economic indicators, confirms the identification of a slowdown regime.

Factor Performance

February was generally favorable for factor returns, with four out of six single factors outperforming the Russell 1000 Index over the period. Factor returns showed relatively little dispersion, with all single factors finishing within 72 basis points (bps) of the broad market, the tightest spread since September 2018.

The slowdown regime delivered outperformance in large caps with the Russell OFI 1000 Index returning 146 bps above the Russell 1000 Index. This outperformance did not carry over into small caps as momentum and size, factors not overweighted in a slowdown regime, were the only two small-cap factors to outperform the Russell 2000.

Bottom-up factor construction once again proved its merits, with the Russell 1000 OFI Index outperforming both the quality and low volatility single factors. An equally weighted top-down combination of these two single-factor strategies would have returned 3.96%, or 89 bps less than the large-cap multifactor index.

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.