Fundamental Multi-Strategy Alternative

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 05/31/2019)
$1.00 BN
Composite Benchmark
HFRX Global Hedge Fund Index
Available Vehicles
Separate Account
Commingled Vehicle
Performance
Average Annual Returns
Calendar Year Returns
as of 05/31/2019
as of 03/31/2019

Cumulative
Annualized
3 mo ytd as of 2019-03-31
1 yr 3 yr 5 yr since inception
Fundamental Multi-Strategy Alternative (gross of fees)
2.89% 2.89% 2.12% 3.22% 3.51% 4.85%
Fundamental Multi-Strategy Alternative (net of fees)
2.68% 2.68% 1.26% 2.36% 2.65% 3.98%
HFRX Global Hedge Fund Index
2.60% 2.60% -3.32% 1.95% -0.30% 0.94%
Cumulative
Annualized
3 mo ytd as of 2019-05-31
1 yr 3 yr 5 yr since inception
Fundamental Multi-Strategy Alternative (gross of fees)
0.40% 3.22% 2.73% 2.54% 3.28% 4.78%
Fundamental Multi-Strategy Alternative (net of fees)
0.19% 2.86% 1.87% 1.68% 2.42% 3.91%
HFRX Global Hedge Fund Index
-0.20% 2.57% -3.68% 1.65% -0.25% 0.91%

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


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

Portfolio

Top Holdings by Strategy

(39.5% of assets as of 05/31/2019)


Long and Short Credit
Citibank NA, IG30 Index, Credit Default Swap
5.4%
RAMP Series 2006-NC3 Trust, Mtg. Asset-Backed Pass, FLT%, 3/25/36
1.5%
Residential Asset Securities Corp., (RASC 2006 KS2 M2), FLT%, 3/25/36
1.4%
Lukoil Intl Finance BV
1.3%
Bank of America Corp.,VAR% Unsec. Sub. Nts., Perpetual
1.3%
Long and Short Equity
Cisco Systems, Inc.
2.0%
Philip Morris International, Inc.
2.0%
CommVault Systems, Inc.
2.0%
Alphabet, Inc.
1.9%
Chubb Ltd.
1.9%
Long and Short Macro
Euro-Bund Future, 2019-06-
5.8%
SPDR Gold Shares
4.3%

Portfolio Holdings Breakdown

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 96.2% - -
Germany 5.4% - -
Russia 1.3% - -
Ireland 1.2% - -
Canada 1.2% - -
Taiwan 0.9% - -
Peru 0.4% - -
Switzerland 0.3% - -
Supranational (non-iso) 0.2% - -
Bermuda 0.1% - -
Australia 0.1% - -
Cayman Islands 0.1% - -
Luxembourg 0.1% - -
Developed Markets Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Americas 97.6% - -
Supranational 0.2% - -
Asia Pacific -2.7% - -
Europe -10.4% - -
Emerging Markets Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Europe 1.3% - -
Americas 0.4% - -
Asia Pacific -6.6% - -
Equity Sector Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Financials 8.0% - -
Communication Services 5.2% - -
Health Care 4.0% - -
Industrials 3.5% - -
Energy 2.6% - -
Utilities 2.3% - -
Broad Market 2.3% - -
Materials 2.0% - -
Information Technology -0.2% - -
Consumer Staples -0.7% - -
Consumer Discretionary -1.2% - -
Real Estate -5.2% - -
Fixed Income Sector Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Corporates 13.1% - -
ABS 10.0% - -
Catastrophe 1.3% - -
Sovereign -4.1% - -
Asset Allocation Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Equity 22.5% - -
Fixed Income 21.4% - -
Commodity 4.3% - -
Other -8.7% - -
Market Cap Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Large 29.6% - -
Small 0.5% - -
Mid -3.5% - -
Holding Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Citi PB Collateral Cash 22.5% - -
JP Morgan PB Collateral Cash 15.2% - -
Euro-Bund Future, 2019-06- 5.8% - -
Citibank NA, IG30 Index, Credit Default Swap 5.4% - -
SPDR Gold Shares 4.3% - -
IVZ Opp. Institutional Government Money Market Fund 2.4% - -
Cisco Systems, Inc. 2.0% - -
Philip Morris International, Inc. 2.0% - -
CommVault Systems, Inc. 2.0% - -
Alphabet, Inc. 1.9% - -
Chubb Ltd. 1.9% - -
Lockheed Martin Corp. 1.6% - -
S&P Mid 400 Emini, 2019-06- 1.5% - -
UnitedHealth Group, Inc. 1.5% - -
RAMP Series 2006-NC3 Trust, Mtg. Asset-Backed Pass, FLT%, 3/25/36 1.5% - -
M&T Bank Corp. 1.4% - -
Blackstone Mortgage Trust, Inc. 1.4% - -
Residential Asset Securities Corp., (RASC 2006 KS2 M2), FLT%, 3/25/36 1.4% - -
Lukoil Intl Finance BV 1.3% - -
Bank of America Corp.,VAR% Unsec. Sub. Nts., Perpetual 1.3% - -
Analytics
(As of 05/31/2019)

Performance Statistics
3Y
5Y
Alpha
1.01
2.95
Beta
0.55
0.50
Information Ratio
0.25
0.99
R-Squared
32.35
31.24
Sharpe Ratio
0.32
0.68
Standard Deviation
3.69
3.53
Upside Capture
74.08
87.18
Downside Capture
40.84
22.16
Sortino Ratio
0.46
1.13
Tracking Error
3.51
3.55
Yields
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
P/E Ratio (LTM)
16.39
-
P/E Ratio (NTM)
12.03
-
Price/Book
2.40
-
Return on Equity
18.35%
-
Debt to Capital Ratio
56.41
-
Turnover Ratio
155%
-
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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