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Senior Loans

Overview

The Strategy typically invests in senior loans.

Strategy Inception Date
September 8, 1999
Composite Inception Date
December 31, 2007
Composite AUM
(as of 01/31/2019)
$14.50 BN
Composite Benchmark
J.P. Morgan Leveraged Loan Index
Available Vehicles
Separate Account
Commingled Vehicle
Performance
Average Annual Returns
Cumulative Returns
Calendar Year Returns
as of 01/31/2019
as of 12/31/2018

Cumulative
Annualized
3 mo 1 yr 3 yr 5 yr 10 yr since inception
Senior Loans (gross of fees)
-4.01% 0.20% 6.17% 3.80% 9.27% 5.15%
Senior Loans (net of fees)
-4.12% -0.28% 5.67% 3.31% 8.75% 4.65%
J.P. Morgan Leveraged Loan Index
-3.16% 1.08% 4.98% 3.49% 8.90% 4.68%
Cumulative
Annualized
3 mo 1 yr 3 yr 5 yr 10 yr since inception
Senior Loans (gross of fees)
-1.40% 1.46% 7.46% 4.18% 9.23% 5.33%
Senior Loans (net of fees)
-1.52% 0.98% 6.95% 3.68% 8.71% 4.83%
J.P. Morgan Leveraged Loan Index
-0.78% 2.43% 6.04% 3.86% 8.43% 4.87%

OFI Global's Senior Loans 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.


Year Senior Loans (gross of fees) Senior Loans (net of fees) J.P. Morgan Leveraged Loan Index
2008 -28.41% -28.77% -29.51%
2009 44.31% 43.64% 51.78%
2010 13.82% 13.28% 10.12%
2011 3.59% 3.09% 1.81%
2012 9.85% 9.33% 9.96%
2013 7.78% 7.26% 5.60%
2014 1.66% 1.17% 2.05%
2015 -0.95% -1.42% 0.54%
2016 13.88% 13.34% 9.78%
2017 4.89% 4.39% 4.25%
2018 0.20% -0.28% 1.08%

OFI Global's Senior Loans 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.


Date Senior Loans (gross of fees) Senior Loans (net of fees) J.P. Morgan Leveraged Loan Index
1/31/2009 0.00 0.00 0.00
2/28/2009 0.37 0.33 0.22
3/31/2009 0.73 0.65 2.34
4/30/2009 7.90 7.78 12.26
5/31/2009 15.35 15.17 19.40
6/30/2009 22.53 22.30 24.56
7/31/2009 27.00 26.70 30.07
8/31/2009 29.90 29.55 32.86
9/30/2009 33.89 33.48 36.76
10/31/2009 35.83 35.36 37.41
11/30/2009 36.80 36.27 37.51
12/31/2009 40.50 39.91 41.91
1/31/2010 43.60 42.93 44.39
2/28/2010 44.54 43.81 44.97
3/31/2010 47.65 46.85 48.22
4/30/2010 50.19 49.32 49.94
5/31/2010 47.91 46.99 46.16
6/30/2010 47.79 46.81 45.62
7/31/2010 50.20 49.14 48.27
8/31/2010 51.23 50.11 48.90
9/30/2010 53.41 52.22 50.92
10/31/2010 56.27 54.99 53.49
11/30/2010 57.48 56.13 54.07
12/31/2010 59.93 58.49 56.28
1/31/2011 62.56 61.04 59.57
2/28/2011 63.96 62.36 60.34
3/31/2011 64.41 62.74 60.55
4/30/2011 65.84 64.09 61.55
5/31/2011 66.33 64.51 61.50
6/30/2011 66.22 64.33 60.89
7/31/2011 66.70 64.74 60.87
8/31/2011 59.81 57.87 53.92
9/30/2011 60.37 58.36 54.32
10/31/2011 64.33 62.21 58.88
11/30/2011 63.92 61.74 58.11
12/31/2011 65.66 63.39 59.11
1/31/2012 69.14 66.76 62.61
2/29/2012 70.63 68.16 63.79
3/31/2012 72.22 69.65 65.33
4/30/2012 73.16 70.52 66.67
5/31/2012 72.21 69.51 65.68
6/30/2012 73.14 70.36 67.17
7/31/2012 74.68 71.81 68.77
8/31/2012 76.55 73.58 70.72
9/30/2012 78.72 75.64 72.70
10/31/2012 79.54 76.38 73.14
11/30/2012 80.57 77.32 73.77
12/31/2012 81.98 78.63 74.95
1/31/2013 84.05 80.59 76.88
2/28/2013 85.04 81.50 77.30
3/31/2013 86.88 83.22 78.88
4/30/2013 88.54 84.78 79.99
5/31/2013 89.11 85.26 80.28
6/30/2013 88.75 84.83 79.32
7/31/2013 90.56 86.53 81.25
8/31/2013 91.07 86.96 81.16
9/30/2013 91.70 87.50 81.51
10/31/2013 93.33 89.02 83.08
11/30/2013 94.70 90.29 83.81
12/31/2013 96.13 91.60 84.75
1/31/2014 97.11 92.48 85.87
2/28/2014 97.72 93.00 86.16
3/31/2014 98.55 93.74 86.69
4/30/2014 98.69 93.79 87.03
5/31/2014 99.88 94.88 88.17
6/30/2014 101.20 96.09 89.15
7/31/2014 101.62 96.42 89.21
8/31/2014 101.58 96.30 89.69
9/30/2014 100.53 95.20 88.60
10/31/2014 101.01 95.59 89.47
11/30/2014 101.88 96.36 90.34
12/31/2014 99.38 93.84 88.53
1/31/2015 99.55 93.94 89.32
2/28/2015 102.37 96.60 91.98
3/31/2015 103.00 97.13 92.90
4/30/2015 104.62 98.63 94.55
5/31/2015 105.23 99.14 94.74
6/30/2015 104.13 97.99 94.20
7/31/2015 104.84 98.60 94.79
8/31/2015 103.71 97.43 93.71
9/30/2015 102.39 96.07 92.72
10/31/2015 102.35 95.95 92.78
11/30/2015 99.96 93.56 90.99
12/31/2015 97.48 91.08 89.56
1/31/2016 94.91 88.52 88.37
2/29/2016 93.86 87.43 87.56
3/31/2016 100.14 93.43 92.76
4/30/2016 104.59 97.64 96.09
5/31/2016 107.74 100.61 97.87
6/30/2016 108.26 101.03 97.73
7/31/2016 111.53 104.10 100.49
8/31/2016 113.66 106.08 101.99
9/30/2016 117.12 109.34 103.68
10/31/2016 120.29 112.31 104.96
11/30/2016 121.55 113.44 105.74
12/31/2016 124.89 116.58 108.09
1/31/2017 126.15 117.70 108.98
2/28/2017 128.17 119.55 110.21
3/31/2017 128.30 119.60 110.33
4/30/2017 128.94 120.12 111.06
5/31/2017 129.54 120.61 111.83
6/30/2017 129.33 120.32 111.94
7/31/2017 131.46 122.28 113.53
8/31/2017 131.53 122.26 113.39
9/30/2017 131.90 122.53 114.28
10/31/2017 133.53 123.99 115.71
11/30/2017 133.69 124.06 116.06
12/31/2017 135.89 126.08 116.93
1/31/2018 138.36 128.36 119.26
2/28/2018 139.27 129.14 119.59
3/31/2018 139.37 129.14 120.35
4/30/2018 140.01 129.67 121.33
5/31/2018 141.09 130.61 121.80
6/30/2018 140.97 130.40 121.99
7/31/2018 143.26 132.50 123.75
8/31/2018 144.16 133.26 124.84
9/30/2018 146.21 135.13 126.43
10/31/2018 145.30 134.17 126.34
11/30/2018 142.26 131.17 124.46
12/31/2018 136.35 125.44 119.28
1/31/2019 141.85 130.60 124.58

OFI Global's Senior Loans 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.

Portfolio

Top Industries

(94.8% of assets as of 01/31/2019)


Portfolio Holdings Breakdown

Asset Allocation
Credit Rating Allocation
Asset Allocation Senior Loans J.P. Morgan Leveraged Loan Index Overweight / Underweight
Senior Loans 90.7% 100.0% -9.3%
Equity 3.7% - -
Corporate Bonds 1.5% - -
Credit Rating Allocation Senior Loans J.P. Morgan Leveraged Loan Index Overweight / Underweight
BBB 1.6% 9.6% -8.0%
BB 29.1% 30.5% -1.4%
B 53.6% 50.5% 3.1%
CCC 2.5% 1.9% 0.6%
Unrated 5.4% 7.5% -2.0%
Other 3.7% - -
Analytics
(As of 01/31/2019)

Performance Statistics
3Y
5Y
Alpha
0.60
-0.23
Beta
1.16
1.18
Information Ratio
1.35
0.32
R-Squared
93.15
92.90
Sharpe Ratio
1.70
1.04
Standard Deviation
3.50
3.30
Sortino Ratio
3.39
1.85
Tracking Error
1.05
1.01
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
Yield to Worst
7.55%
7.43%
Average Effective Maturity
4.61 yrs
5.23 yrs
Current Duration
0.10 yrs
-
Average Coupon
5.78%
-
Effective Coupon
5.78%
-
Effective Discount Margin
551 bps
418 bps
Loan Average Price
$95.13
$96.29
Turnover Ratio
66%
-

    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 Senior Loans product are 0.50% on the first $150 million under management and 0.45% on any additional amount. 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 benchmark index is shown without the impact of such charges.

  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.
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