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Small Cap Dynamic Multifactor

Overview

The Oppenheimer Russell 2000 Dynamic Multifactor ETF gives investors access to a selection of companies in the Russell 2000 Index through exposure to a subset of the low volatility, momentum, quality, size and value factors.

Strategy Inception Date
November 30, 2017
Composite Inception Date
November 30, 2017
Composite AUM
(as of 11/30/2018)
$12.00 MM
Composite Benchmark
Russell 2000® Index
Available Vehicles
Separate Account
Performance
Average Annual Returns
Cumulative Returns
as of 11/30/2018
as of 09/30/2018

Cumulative
1 mo 3 mo ytd as of 2018-09-30
since inception
Small Cap Dynamic Multifactor (gross of fees)
-2.05% 3.93% 10.16% 8.46%
Small Cap Dynamic Multifactor (net of fees)
-2.07% 3.87% 9.97% 8.24%
Russell 2000® Index
-2.41% 3.58% 11.51% 11.06%
Cumulative
1 mo 3 mo ytd as of 2018-11-30
1 yr since inception
Small Cap Dynamic Multifactor (gross of fees)
2.80% -6.66% 4.98% 3.35% 3.35%
Small Cap Dynamic Multifactor (net of fees)
2.78% -6.72% 4.75% 3.11% 3.11%
Russell 2000® Index
1.59% -11.62% 0.98% 0.57% 0.57%

OFI Global's Small Cap Dynamic Multifactor 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 Small Cap Dynamic Multifactor (gross of fees) Small Cap Dynamic Multifactor (net of fees)

OFI Global's Small Cap Dynamic Multifactor 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


Date Small Cap Dynamic Multifactor (gross of fees) Small Cap Dynamic Multifactor (net of fees) Russell 2000® Index
11/30/2017 0.00 0.00 0.00
12/31/2017 -1.55 -1.57 -0.40
1/31/2018 0.14 0.10 2.20
2/28/2018 -4.15 -4.21 -1.76
3/31/2018 -2.32 -2.40 -0.49
4/30/2018 -1.47 -1.57 0.37
5/31/2018 3.21 3.08 6.47
6/30/2018 4.35 4.21 7.23
7/31/2018 6.85 6.68 9.10
8/31/2018 10.73 10.53 13.80
9/30/2018 8.46 8.24 11.06
10/31/2018 0.54 0.32 -1.00
11/30/2018 3.35 3.11 0.57

OFI Global's Small Cap Dynamic Multifactor 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

(10.1% of assets as of 12/14/2018)

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Portfolio Holdings Breakdown

Country
Equity Sector
Industry
Asset Allocation
Market Cap 4
Country Small Cap Dynamic Multifactor Russell 2000® Index Overweight / Underweight
United States 100.0% 99.9% 0.1%
Equity Sector Small Cap Dynamic Multifactor Russell 2000® Index Overweight / Underweight
Industrials 18.8% 14.6% 4.2%
Financials 18.4% 17.9% 0.5%
Consumer Discretionary 17.2% 12.1% 5.1%
Health Care 14.2% 15.8% -1.6%
Information Technology 10.4% 14.3% -3.9%
Energy 6.1% 3.7% 2.3%
Materials 5.5% 3.6% 1.8%
Communication Services 3.0% 3.4% -0.4%
Consumer Staples 2.6% 2.9% -0.4%
Real Estate 2.5% 7.6% -5.1%
Utilities 0.7% 3.9% -3.2%
Industry Small Cap Dynamic Multifactor Russell 2000® Index Overweight / Underweight
Banks 8.8% 9.6% -0.8%
Specialty Retail 6.3% 2.9% 3.4%
Biotechnology 4.8% 6.3% -1.4%
Machinery 4.0% 3.7% 0.4%
Oil Gas & Consumable Fuels 3.6% 2.4% 1.2%
Software 3.5% 5.2% -1.7%
Health Care Providers & Services 3.5% 1.9% 1.6%
Health Care Equipment & Supplies 3.3% 3.7% -0.4%
Electronic Equipment Instruments & Components 3.0% 2.4% 0.6%
Hotels Restaurants & Leisure 3.0% 3.0% 0.0%
Professional Services 2.8% 1.5% 1.4%
Insurance 2.5% 2.8% -0.3%
Metals & Mining 2.5% 1.2% 1.3%
Energy Equipment & Services 2.4% 1.3% 1.1%
Trading Companies & Distributors 2.2% 1.2% 0.9%
Thrifts & Mortgage Finance 2.2% 2.2% 0.0%
Commercial Services & Supplies 2.0% 2.6% -0.6%
Capital Markets 1.9% 1.3% 0.7%
Textiles Apparel & Luxury Goods 1.9% 0.8% 1.1%
Equity Real Estate Investment Trusts (REITs) 1.9% 7.0% -5.1%
Asset Allocation Small Cap Dynamic Multifactor Russell 2000® Index Overweight / Underweight
Equity 99.3% 100.0% -0.7%
Market Cap Small Cap Dynamic Multifactor Russell 2000® Index Overweight / Underweight
Small 95.0% 83.2% 11.8%
Mid 4.3% 16.8% -12.5%
Analytics
(As of 11/30/2018)

Yields
Standardized Yield
1.64%
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
Average Market Cap (weighted)
$2.60 B
$2.25 B
Median Market Cap (weighted)
$2.41 B
$2.05 B
P/E Ratio (LTM)
18.70
18.05
P/E Ratio (NTM)
17.45
18.26
Price/Book Value (LTM)
2.21
2.21
Price/Sales Ratio
1.43
1.88
Price/Cash Flow Ratio
12.83%
14.20%
Turnover Ratio
172.92%
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    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 Small Cap Dynamic Multifactor product are 0.19% of the market value of the 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 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.
  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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