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 05/31/2019)
$12.90 BN
Composite Benchmark
J.P. Morgan Leveraged Loan 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
ytd as of 2019-03-31
1 yr 3 yr 5 yr 10 yr since inception
Senior Loans (gross of fees)
3.79% 2.48% 7.02% 4.32% 9.31% 5.38%
Senior Loans (net of fees)
3.66% 1.99% 6.51% 3.82% 8.79% 4.88%
J.P. Morgan Leveraged Loan Index
3.89% 3.39% 5.73% 4.06% 8.33% 4.93%
Cumulative
Annualized
ytd as of 2019-05-31
1 yr 3 yr 5 yr 10 yr since inception
Senior Loans (gross of fees)
4.30% 2.25% 5.87% 4.28% 7.89% 5.35%
Senior Loans (net of fees)
4.09% 1.76% 5.37% 3.79% 7.38% 4.85%
J.P. Morgan Leveraged Loan Index
5.29% 4.09% 5.28% 4.18% 6.82% 4.98%

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.

Portfolio

Top Industries

(94.0% of assets as of 05/31/2019)


Portfolio Holdings Breakdown

Asset Allocation
Credit Rating Allocation
Asset Allocation Senior Loans J.P. Morgan Leveraged Loan Index Overweight / Underweight
Senior Loans 88.5% 100.0% -11.5%
Equity 4.6% - -
Corporate Bonds 2.2% - -
Credit Rating Allocation Senior Loans J.P. Morgan Leveraged Loan Index Overweight / Underweight
BBB 1.6% 9.5% -7.9%
BB 29.8% 30.1% -0.3%
B 50.5% 50.3% 0.2%
CCC 3.9% 1.7% 2.2%
CC 0.5% 0.2% 0.3%
Unrated 4.4% 8.2% -3.7%
Other 4.6% - -
Analytics
(As of 05/31/2019)

Performance Statistics
3Y
5Y
Alpha
0.03
-0.48
Beta
1.14
1.18
Information Ratio
0.55
0.10
R-Squared
90.32
92.78
Sharpe Ratio
1.35
0.98
Standard Deviation
3.15
3.46
Sortino Ratio
2.27
1.74
Tracking Error
1.08
1.07
Yields
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
Yield to Worst
7.46%
6.50%
Average Effective Maturity
4.40 yrs
5.13 yrs
Current Duration
0.33 yrs
-
Average Coupon
5.59%
-
Effective Coupon
5.59%
-
Effective Discount Margin
479 bps
374 bps
Loan Average Price
$96.14
$97.15
Turnover Ratio
66%
-
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 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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