Oppenheimer Russell 2000 Dynamic Multifactor ETF ETF.com segment: Equity: U.S. - Small Cap Competing ETFs: FYX, CSML, PSC, JKJ, OUSM Related ETF Channels: Smart-Beta ETFs, Multi-factor, U.S., Small Cap, Equity, Size and Style, North America, Broad-based Find more ETFs with our ETF Screener and Database *Unless otherwise stated, data provided by FactSet. 74 FUND DESCRIPTION tracks an index of US small-cap stocks selected by a combination of five investment factors, which are weighted based on current macroeconomic conditions. FACTSET ANALYTICS INSIGHT scores the component stocks of the Russell 2000 Index by five factors: value, size, momentum, quality, and low volatility. To take advantage of changing market conditions, the fund shifts exposure to factors that tend to fare better in current market environment. The fund s index uses macroeconomic indicators to identify the current state of the market cycle: expansion, slowdown, contraction, or recovery. A combined factor score is calculated for each security and scaled by market cap to determine individual weights. The fund is reasonably priced for this added dynamic overlay. SUMMARY DATA Issuer Brand Inception Date Legal Structure Expense Ratio Assets Under Management Average Daily $ Average Spread (%) OppenheimerFunds Oppenheimer 11/08/17 Open-Ended Fund 0.39% $11.78M $3.47K 0.11% MSCI ESG ANALYTICS INSIGHT The MSCI ESG Fund Quality Score measures the ability of ETF underlying holdings to manage key medium to long-term risks and opportunities arising from environmental, social, and governance factors, as determined by MSCI ESG Research LLC. As of April 3, 2019 the Oppenheimer Russell 2000 Dynamic Multifactor ETF MSCI ESG Fund Quality Score is 3.94 out of 10. The fund s Peer Rank reflects the ranking of a fund s MSCI ESG Fund Quality Score against the scores of other funds within the same peer group, as defined by the Thomson Reuters Lipper Global Classification. ranks in the 10th percentile within its peer group and in the 7th percentile within the global universe of all funds in MSCI ESG Fund Metrics coverage. PORTFOLIO DATA Weighted Average Market Cap Price / Earnings Ratio Price / Book Ratio Distribution Yield Next Ex-Dividend Date Number of Holdings $2.63B 21.83 2.21 1.54% N/A 573 INDEX DATA Index Tracked Russell 2000 OFI Dynamic Multifactor Index Index Weighting Methodology Index Selection Methodology Multi-Factor Multi-Factor MSCI USA Small Cap Index
1 Year Daily Price ($) 30.00 28.00 26.00 24.00 22.00 May Jun Jul Aug Sep Oct Nov Dec `19 Feb Mar Apr 20k PERFORMANCE [as of 04/03/19] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS -1.26% 14.59% 13.62% 6.73% (NAV) -1.25% 14.66% 13.38% 5.82% Russell 2000 OFI Dynamic Multifactor Index MSCI USA Small Cap Index -0.32% 19.56% 17.73% 7.68% 13.74% 8.37% 16.44% All returns over 1 year are annualized. All returns are total returns unless otherwise stated. TOP 10 COUNTRIES United States 100.00% TOP 10 SECTORS Financials 33.17% Healthcare 6.08% Consumer Cyclicals 17.93% Basic Materials 4.45% Industrials 16.94% Consumer Non-Cyclicals 4.15% Utilities 8.06% Energy 1.51% Technology 6.39% Telecommunications Serv 0.50% TOP 10 HOLDINGS Haemonetics Corporation 1.27% EMCOR Group, Inc. Planet Fitness, Inc. Class A 1.17% Exponent, Inc. 0.81% MAXIMUS, Inc. 1.04% Ollie's Bargain Outlet Hol 0.80% Texas Roadhouse, Inc. 1.01% IDACORP, Inc. Deckers Outdoor Corpora Cracker Barrel Old Countr Total Top 10 Weighting 9.52%
PORTFOLIO MANAGEMENT TAX EXPOSURES FUND STRUCTURE Expense Ratio Median Tracking Difference (12 Mo) Max. Upside Deviation (12 Mo) Max. Downside Deviation (12 Mo) 0.39% Max LT/ST Capital Gains Rate Capital Gains Distributions (3 Year) Tax on Distributions Distributes K1 20.00% / 39.60% Qualified dividends No Legal Structure OTC Derivative Use Securities Lending Active Securities Lending Split (Fund/Issuer) ETN Counterparty Open-Ended Fund No Yes No Policy N/A ETN Counterparty Risk N/A Fund Closure Risk High Portfolio Disclosure Daily
Daily Spread 0.4% FACTSET ANALYTICS BLOCK LIQUIDITY As of 04/04/19 0.3% 0.2% 0.1% 0% 5 4 3 2 1 This measurement shows how easy it is to trade a $1 million USD block of. is rated a 4 out of 5. Premium/Discount 5.0% 2.5% TRADABILITY Avg. Daily Share 123 0.0% Average Daily $ $3.47K -2.5% Median Daily Share 0-5.0% 15k 10k 5k Median Daily ($) Average Spread (%) Average Spread ($) 0 0.11% $0.03 May Jul Aug Oct Dec Feb Apr Median Premium / Discount (12 Mo) -0.02% Max. Premium / Discount (12 Mo) 2.61% / -3.22% Impediment to Creations None Market Hours Overlap 100.00% Creation Unit Size (Shares) 50,000 Creation Unit/Day (45 Day Average) 0 Creation Unit Cost (%) 0.17% Underlying / Unit 0.03% Open Interest on ETF Options Net Asset Value (Yesterday) $26.27 ETF.com Implied Liquidity 4
SECTOR/INDUSTRY BREAKDOWN TOP 10 HOLDINGS PERFORMANCE STATISTICS Financials 33.17% 24.02% Consumer Cyclicals 17.93% 11.86% Industrials 16.94% 14.01% Utilities 8.06% 2.60% Technology 6.39% 13.96% Haemonetics Corporation Planet Fitness, Inc. Class A MAXIMUS, Inc. Texas Roadhouse, Inc. Deckers Outdoor Corporation EMCOR Group, Inc. Exponent, Inc. Ollie's Bargain Outlet Holdings Inc 1.27% 1.17% 1.04% 1.01% 0.81% 0.80% Goodness of Fit (R2) Beta Up Beta Down Beta Downside Standard Deviation 0.91 0.87 0.92 0.89 0.30% MSCI USA Small Cap Index Healthcare 6.08% 13.05% IDACORP, Inc. Basic Materials 4.45% 5.73% Cracker Barrel Old Country Store, Inc. Total Top 10 Weighting 9.52% MSCI ESG RATINGS MSCI ESG Quality Score 3.94 / 10 Consumer Non- Cyclicals 4.15% 3.78% Peer Group Percentile Rank 9.87 Energy 1.51% 3.29% Global Percentile Rank 7.47 Telecommunications Services 0.50% 0.68% SRI Screening Criteria Exposure 2.78% COUNTRIES Exposure to Sustainable Impact Solutions 3.94% United States 100.00% 100.00% Weighted Average Carbon Intensity (t CO2e/$M Sales) 228.04 REGIONS North America 100.00% 100.00% BENCHMARK COMPARISON HOLDINGS Number of Holdings Constituents 573 1785 Shared Holdings 510 ECONOMIC DEVELOPMENT Shared Holdings Weight 23.85% Developed Countries 100.00% 100.00% BENCHMARK COMPARISON SUMMARY Number of Holdings 573 1785 Weighted Average Market Cap $2.63B $4.00B Price / Earnings Ratio Price / Book Ratio Dividend Yield 21.83 43.37 2.21 2.29 2.01% 1.56% Concentration Low Low
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