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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 11/30/2018)
$16.00 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 11/30/2018
as of 09/30/2018

Cumulative
Annualized
ytd as of 2018-09-30
1 yr 3 yr 5 yr 10 yr since inception
Senior Loans (gross of fees)
4.38% 6.17% 6.75% 5.13% 6.93% 5.68%
Senior Loans (net of fees)
4.00% 5.66% 6.24% 4.63% 6.42% 5.17%
J.P. Morgan Leveraged Loan Index
4.38% 5.67% 5.52% 4.52% 6.34% 5.10%
Cumulative
Annualized
ytd as of 2018-11-30
1 yr 3 yr 5 yr 10 yr since inception
Senior Loans (gross of fees)
2.70% 3.67% 6.61% 4.47% 9.08% 5.43%
Senior Loans (net of fees)
2.25% 3.17% 6.10% 3.97% 8.56% 4.93%
J.P. Morgan Leveraged Loan Index
3.47% 3.89% 5.53% 4.08% 8.81% 4.94%

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%

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
11/30/2008 0.00 0.00 0.00
12/31/2008 -4.18 -4.22 -3.11
1/31/2009 -1.58 -1.66 3.63
2/28/2009 -1.22 -1.34 3.86
3/31/2009 -0.86 -1.02 6.06
4/30/2009 6.19 5.99 16.34
5/31/2009 13.52 13.26 23.74
6/30/2009 20.59 20.27 29.08
7/31/2009 24.98 24.60 34.79
8/31/2009 27.85 27.40 37.69
9/30/2009 31.77 31.26 41.72
10/31/2009 33.68 33.11 42.41
11/30/2009 34.63 34.00 42.51
12/31/2009 38.28 37.58 47.07
1/31/2010 41.32 40.55 49.64
2/28/2010 42.25 41.42 50.24
3/31/2010 45.31 44.41 53.60
4/30/2010 47.81 46.83 55.39
5/31/2010 45.57 44.54 51.47
6/30/2010 45.45 44.37 50.91
7/31/2010 47.82 46.66 53.65
8/31/2010 48.84 47.62 54.31
9/30/2010 50.98 49.68 56.40
10/31/2010 53.79 52.41 59.06
11/30/2010 54.99 53.54 59.67
12/31/2010 57.39 55.86 61.96
1/31/2011 59.99 58.36 65.37
2/28/2011 61.37 59.66 66.16
3/31/2011 61.80 60.03 66.39
4/30/2011 63.21 61.36 67.42
5/31/2011 63.70 61.78 67.37
6/30/2011 63.59 61.60 66.73
7/31/2011 64.06 62.00 66.72
8/31/2011 57.28 55.25 59.51
9/30/2011 57.83 55.73 59.93
10/31/2011 61.73 59.51 64.65
11/30/2011 61.33 59.05 63.85
12/31/2011 63.04 60.67 64.89
1/31/2012 66.46 63.98 68.52
2/29/2012 67.93 65.36 69.74
3/31/2012 69.49 66.83 71.34
4/30/2012 70.42 67.68 72.72
5/31/2012 69.48 66.69 71.70
6/30/2012 70.40 67.53 73.24
7/31/2012 71.92 68.95 74.90
8/31/2012 73.76 70.69 76.93
9/30/2012 75.89 72.72 78.98
10/31/2012 76.70 73.45 79.44
11/30/2012 77.71 74.37 80.08
12/31/2012 79.09 75.66 81.31
1/31/2013 81.14 77.59 83.31
2/28/2013 82.11 78.48 83.75
3/31/2013 83.92 80.17 85.38
4/30/2013 85.55 81.71 86.53
5/31/2013 86.11 82.18 86.83
6/30/2013 85.76 81.76 85.83
7/31/2013 87.54 83.43 87.83
8/31/2013 88.05 83.85 87.74
9/30/2013 88.67 84.39 88.11
10/31/2013 90.27 85.88 89.73
11/30/2013 91.62 87.12 90.49
12/31/2013 93.02 88.42 91.46
1/31/2014 93.99 89.28 92.63
2/28/2014 94.59 89.79 92.93
3/31/2014 95.40 90.52 93.47
4/30/2014 95.54 90.57 93.82
5/31/2014 96.71 91.64 95.01
6/30/2014 98.01 92.83 96.02
7/31/2014 98.43 93.16 96.09
8/31/2014 98.39 93.04 96.58
9/30/2014 97.36 91.96 95.46
10/31/2014 97.83 92.34 96.35
11/30/2014 98.68 93.09 97.26
12/31/2014 96.22 90.62 95.38
1/31/2015 96.39 90.72 96.20
2/28/2015 99.16 93.33 98.96
3/31/2015 99.78 93.85 99.91
4/30/2015 101.38 95.32 101.62
5/31/2015 101.98 95.83 101.82
6/30/2015 100.89 94.70 101.26
7/31/2015 101.60 95.30 101.86
8/31/2015 100.49 94.15 100.74
9/30/2015 99.18 92.81 99.73
10/31/2015 99.14 92.69 99.79
11/30/2015 96.79 90.34 97.93
12/31/2015 94.35 87.91 96.44
1/31/2016 91.83 85.39 95.21
2/29/2016 90.79 84.31 94.37
3/31/2016 96.97 90.21 99.76
4/30/2016 101.35 94.36 103.22
5/31/2016 104.45 97.27 105.06
6/30/2016 104.96 97.69 104.91
7/31/2016 108.18 100.71 107.77
8/31/2016 110.28 102.66 109.33
9/30/2016 113.69 105.86 111.08
10/31/2016 116.80 108.78 112.41
11/30/2016 118.04 109.89 113.21
12/31/2016 121.33 112.97 115.66
1/31/2017 122.57 114.08 116.57
2/28/2017 124.55 115.90 117.84
3/31/2017 124.69 115.95 117.98
4/30/2017 125.32 116.46 118.73
5/31/2017 125.90 116.94 119.53
6/30/2017 125.70 116.66 119.64
7/31/2017 127.80 118.59 121.29
8/31/2017 127.87 118.56 121.14
9/30/2017 128.23 118.83 122.07
10/31/2017 129.83 120.27 123.54
11/30/2017 129.99 120.34 123.91
12/31/2017 132.15 122.32 124.82
1/31/2018 134.59 124.56 127.22
2/28/2018 135.48 125.33 127.57
3/31/2018 135.58 125.33 128.36
4/30/2018 136.21 125.85 129.37
5/31/2018 137.27 126.77 129.86
6/30/2018 137.16 126.57 130.06
7/31/2018 139.41 128.63 131.88
8/31/2018 140.29 129.38 133.01
9/30/2018 142.31 131.22 134.65
10/31/2018 141.42 130.27 134.56
11/30/2018 138.42 127.32 132.62

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

(95.5% of assets as of 11/30/2018)


Portfolio Holdings Breakdown

Asset Allocation
Credit Rating Allocation
Asset Allocation Senior Loans J.P. Morgan Leveraged Loan Index Overweight / Underweight
Senior Loans 92.5% 100.0% -7.5%
Equity 3.0% - -
Corporate Bonds 1.3% - -
Credit Rating Allocation Senior Loans J.P. Morgan Leveraged Loan Index Overweight / Underweight
BBB 1.6% 9.8% -8.2%
BB 31.3% 31.0% 0.3%
B 53.8% 48.9% 5.0%
CCC 2.1% 1.8% 0.3%
Unrated 4.8% 8.5% -3.6%
Other 3.0% - -
Analytics
(As of 11/30/2018)

Performance Statistics
3Y
5Y
Alpha
-0.33
-0.47
Beta
1.31
1.25
Information Ratio
0.91
0.39
R-Squared
92.26
91.87
Sharpe Ratio
1.65
1.29
Standard Deviation
3.22
2.92
Sortino Ratio
3.81
2.64
Tracking Error
1.19
1.01
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
Yield to Worst
7.07%
7.42%
Average Effective Maturity
4.81 yrs
5.35 yrs
Current Duration
0.10 yrs
-
Average Coupon
5.68%
-
Effective Coupon
5.68%
-
Effective Discount Margin
758 bps
438 bps
Loan Average Price
$96.53
$97.24
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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