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Fundamental Multi-Strategy Alternative

Commentary Fact Sheet
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Overview

A fundamentally constructed alternative multi-strategy seeking to deliver high risk-adjusted returns across various market environments with low volatility and market beta.

Strategy Inception Date
March 31, 2012
Composite Inception Date
March 31, 2012
Composite AUM
(as of 01/31/2019)
$1.10 BN
Composite Benchmark
HFRX Global Hedge Fund Index
Available Vehicles
Separate Account
Commingled Vehicle
Performance
Average Annual Returns
Cumulative Returns
Calendar Year Returns
Fundamental Multi-Strategy Alternative
Average Annual Returns as of 12/31/2018
Average Annual Returns as of 01/31/2019
as of 01/31/2019
as of 12/31/2018
Print
Quarter End
Month End
Quarter End
Month End
Cumulative
Annualized
1 mo 3 mo 1 yr 3 yr 5 yr since inception
Fundamental Multi-Strategy Alternative (gross of fees)
As of Quarter end 12/31/2018
 -3.19% -4.08% -0.40% 2.13% 3.48% 4.59%
Fundamental Multi-Strategy Alternative (net of fees)
As of Quarter end 12/31/2018
 -3.26% -4.28% -1.23% 1.27% 2.62% 3.72%
HFRX Global Hedge Fund Index
As of Quarter end 12/31/2018
 -1.93% -5.56% -6.72% 0.45% -0.59% 0.59%
Cumulative
Annualized
1 mo 3 mo 1 yr 3 yr 5 yr since inception
Fundamental Multi-Strategy Alternative (gross of fees)
As of month end 01/31/2019
 1.56% -2.44% -0.84% 2.71% 3.68% 4.77%
Fundamental Multi-Strategy Alternative (net of fees)
As of month end 01/31/2019
 1.49% -2.64% -1.67% 1.85% 2.82% 3.90%
HFRX Global Hedge Fund Index
As of month end 01/31/2019
 2.13% -0.46% -7.01% 2.10% -0.12% 0.89%

OFI Global's Fundamental Multi-Strategy Alternative Composite includes every fully representative portfolio managed in the strategy. Certain securities may constitute a significant portion of the portfolio resulting in security and sector weightings that may differ from those of the benchmark index.

Please review the Complete Performance Disclosures

Fundamental Multi-Strategy Alternative
Calendar Year Return as of 01/31/2019
as of 01/31/2019
View Table Graph Print
Year Fundamental Multi-Strategy Alternative (gross of fees) Fundamental Multi-Strategy Alternative (net of fees) HFRX Global Hedge Fund Index
2013 11.00% 10.08% 6.72%
2014 6.73% 5.85% -0.58%
2015 4.39% 3.52% -3.64%
2016 3.47% 2.61% 2.50%
2017 3.36% 2.50% 5.99%
2018 -0.40% -1.23% -6.72%

OFI Global's Fundamental Multi-Strategy Alternative Composite includes every fully representative portfolio managed in the strategy. Certain securities may constitute a significant portion of the portfolio resulting in security and sector weightings that may differ from those of the benchmark index.

Please review the Complete Performance Disclosures

Fundamental Multi-Strategy Alternative
Cumulative Returns & Income Dividends
View Table Graph Print
Time Period
YTD
1Y
3Y
5Y
INCEPTION
Date Fundamental Multi-Strategy Alternative (gross of fees) Fundamental Multi-Strategy Alternative (net of fees) HFRX Global Hedge Fund Index
1/31/2014 0.00 0.00 0.00
2/28/2014 1.88 1.81 1.59
3/31/2014 2.13 1.99 1.36
4/30/2014 2.27 2.05 0.62
5/31/2014 3.62 3.33 1.08
6/30/2014 4.50 4.14 2.02
7/31/2014 4.09 3.66 1.12
8/31/2014 5.96 5.45 2.21
9/30/2014 5.83 5.24 1.43
10/31/2014 5.34 4.68 0.09
11/30/2014 6.11 5.37 0.42
12/31/2014 6.10 5.29 -0.33
1/31/2015 7.16 6.27 -0.62
2/28/2015 8.58 7.61 1.38
3/31/2015 9.13 8.07 1.72
4/30/2015 8.24 7.12 1.94
5/31/2015 9.85 8.63 2.20
6/30/2015 9.66 8.37 0.93
7/31/2015 11.15 9.77 0.90
8/31/2015 9.77 8.33 -1.33
9/30/2015 9.83 8.31 -3.37
10/31/2015 11.28 9.66 -1.96
11/30/2015 10.96 9.28 -2.67
12/31/2015 10.75 8.99 -3.96
1/31/2016 10.58 8.74 -6.62
2/29/2016 10.07 8.17 -6.92
3/31/2016 10.39 8.40 -5.76
4/30/2016 9.91 7.86 -5.38
5/31/2016 12.96 10.77 -4.94
6/30/2016 13.33 11.06 -4.76
7/31/2016 12.99 10.65 -3.37
8/31/2016 12.56 10.15 -3.22
9/30/2016 13.31 10.81 -2.68
10/31/2016 13.52 10.94 -3.24
11/30/2016 13.72 11.06 -2.39
12/31/2016 14.60 11.83 -1.56
1/31/2017 14.03 11.20 -1.06
2/28/2017 16.35 13.39 0.05
3/31/2017 15.57 12.55 0.08
4/30/2017 16.59 13.46 0.50
5/31/2017 17.86 14.62 0.75
6/30/2017 17.98 14.65 0.96
7/31/2017 17.49 14.10 1.90
8/31/2017 18.16 14.67 2.20
9/30/2017 18.67 15.08 2.80
10/31/2017 17.96 14.31 3.51
11/30/2017 19.12 15.35 3.58
12/31/2017 18.45 14.63 4.34
1/31/2018 20.83 16.85 6.89
2/28/2018 19.85 15.82 4.31
3/31/2018 18.87 14.79 3.28
4/30/2018 18.10 13.97 3.38
5/31/2018 18.53 14.31 3.65
6/30/2018 18.39 14.09 3.46
7/31/2018 20.30 15.85 3.30
8/31/2018 22.11 17.52 3.77
9/30/2018 22.99 18.28 3.06
10/31/2018 22.81 18.02 -0.14
11/30/2018 21.86 17.03 -0.76
12/31/2018 17.97 13.21 -2.67
1/31/2019 19.81 14.90 -0.60

OFI Global's Fundamental Multi-Strategy Alternative Composite includes every fully representative portfolio managed in the strategy. Certain securities may constitute a significant portion of the portfolio resulting in security and sector weightings that may differ from those of the benchmark index.

Please review the Complete Performance Disclosures

Portfolio

Top Holdings by Strategy

(41.7% of assets as of 01/31/2019)

Long and Short Credit
Citibank NA, IG30 Index, Credit Default Swap
5.1%
RAMP Series 2006-NC3 Trust, Mtg. Asset-Backed Pass, FLT%, 3/25/36
1.6%
M&T Bank Corp.
0.7%
Long and Short Equity
Standard and Poor's 500 Index (The) Call, 3/15/19, $2655
4.0%
Chubb Ltd.
2.7%
Xilinx, Inc.
2.4%
CommVault Systems, Inc.
2.0%
Philip Morris International, Inc.
2.0%
Long and Short Macro
Euro-Bund Future, 2019-03-
5.4%
SPDR Gold Shares
4.1%
Fundamental Multi-Strategy Alternative
Portfolio Holdings Breakdown as of 01/31/2019

Portfolio Holdings Breakdown

Print
Country
Developed Markets
Emerging Markets
Equity Sector
Fixed Income Sector
Asset Allocation
Market Cap 4
Holding
Country Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
United States 103.3% - -
Germany 4.3% - -
Russia 1.2% - -
Ireland 1.0% - -
Taiwan 0.8% - -
Bermuda 0.7% - -
Supranational (non-iso) 0.2% - -
Switzerland 0.2% - -
Cayman Islands 0.1% - -
Sweden 0.1% - -
Luxembourg 0.1% - -
China (Offshore) -0.5% - -
Canada -0.6% - -
Developed Markets Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Americas 103.5% - -
Supranational 0.2% - -
Asia Pacific -3.5% - -
Europe -12.4% - -
Emerging Markets Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Europe 1.2% - -
Americas -0.5% - -
Asia Pacific -6.4% - -
Equity Sector Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Financials 10.2% - -
Broad Market 7.2% - -
Health Care 5.3% - -
Communication Services 5.0% - -
Industrials 2.9% - -
Utilities 2.8% - -
Energy 2.3% - -
Materials 1.0% - -
Consumer Staples 0.2% - -
Real Estate -9.5% - -
Fixed Income Sector Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Corporates 15.8% - -
ABS 5.3% - -
Non Agencies MBS 4.9% - -
Catastrophe 1.2% - -
Sovereign -0.6% - -
Treasuries -1.1% - -
Agencies -3.4% - -
Asset Allocation Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Equity 27.3% - -
Fixed Income 23.2% - -
Commodity 4.1% - -
Other -12.4% - -
Market Cap Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Large 32.6% - -
Small -0.9% - -
Mid -5.4% - -
Holding Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Citi PB Collateral Cash 29.1% - -
JP Morgan PB Collateral Cash 8.0% - -
Euro-Bund Future, 2019-03- 5.4% - -
Citibank NA, IG30 Index, Credit Default Swap 5.1% - -
SPDR Gold Shares 4.1% - -
Standard and Poor's 500 Index (The) Call, 3/15/19, $2655 4.0% - -
Chubb Ltd. 2.7% - -
Xilinx, Inc. 2.4% - -
CommVault Systems, Inc. 2.0% - -
Philip Morris International, Inc. 2.0% - -
Oppenheimer Institutional Government Money Market Fund Cl. E 2.0% - -
Alphabet, Inc. 1.9% - -
Cisco Systems, Inc. 1.8% - -
Standard and Poor's 500 Index (The) Call, 3/15/19, $2680 1.8% - -
UnitedHealth Group, Inc. 1.7% - -
RAMP Series 2006-NC3 Trust, Mtg. Asset-Backed Pass, FLT%, 3/25/36 1.6% - -
M&T Bank Corp. 1.5% - -
Lockheed Martin Corp. 1.4% - -
Blackstone Mortgage Trust, Inc. 1.4% - -
S&P Mid 400 Emini, 2019-03- 1.4% - -
Analytics
Fundamental Multi-Strategy Alternative
Analytics as of 01/31/2019
(As of 01/31/2019)
Print
Performance Statistics
3Y
5Y
Alpha
1.08
3.35
Beta
0.52
0.50
Information Ratio
0.16
1.08
R-Squared
27.10
32.38
Sharpe Ratio
0.42
0.85
Standard Deviation
3.77
3.47
Upside Capture
68.72
85.67
Downside Capture
35.24
15.72
Sortino Ratio
0.66
1.47
Tracking Error
3.75
3.53
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
P/E Ratio (LTM)
14.28
-
P/E Ratio (NTM)
10.47
-
Price/Book
3.43
-
Return on Equity
17.99%
-
Debt to Capital Ratio
60.68
-
Turnover Ratio
155%
-
Insights
Team

    The Composite gross-of-fee returns reflect the reinvestment of income and the impact of transaction costs, but do not include the deduction of investment advisory fees, distribution expenses or any other account expenses, such as custodial fees. Composite net-of-fee returns are calculated by deducting a model investment advisory fee (using the maximum investment advisory fee as determined by the product's fee schedule) from the Composite gross-of-fee returns. Annual fees for the Fundamental Multi-Strategy Alternative product are 0.85% of the market value of assets under management. Actual fees may vary depending on, among other things, the vehicle type, applicable fee schedule and portfolio size. While actual portfolios incur transaction expenses, pay investment advisory fees, and may incur other account expenses, the ICE Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index is shown without the impact of such charges, and the HRFX Global Hedge Fund Index is net of expenses of the funds that are included in the index.

  1. 1. Holdings are subject to change and are dollar-weighted based on assets.
  2. 2. The mention of specific companies does not constitute a recommendation on behalf of OFI Global.
  3. 3. The holdings information shown above is derived from a representative account deemed to appropriately represent this management style. The specific securities identified are not representative of all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that an investment in the securities identified was or will be profitable. Actual holdings will vary for each client and there is no guarantee that a particular client's account will hold any or all of the securities listed.
  4. 4. Holdings are subject to change, are dollar-weighted based on assets, and may not reflect the use of leverage in the Fund. Market Cap breakdown is calculated using Morningstar's methodology and those capitalization standards may not align with those in the Fund's prospectus.
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