OMFLINDEX Russell 1000 Dynamic Multifactor Index

The Index selects companies in the Russell 1000 Index using the low volatility, momentum, quality, size and value factors. The emphasis on each factor is determined by Oppenheimer’s Regime Model, which identifies four regimes or signals, based on leading indicators of economic growth and market sentiment. The four regimes are defined as follows: 1) Recovery: when growth is below trend and accelerating 2) Expansion: when growth is above trend and accelerating 3) Slowdown: when growth is above trend and decelerating 4) Contraction: when growth is below trend and decelerating Oppenheimer calculates the OFI Signal on a monthly basis using a set of publicly available economic and financial variables, deemed to be leading indicators of the business cycle from the following categories: 1) Manufacturing business surveys 2) Consumer sentiment surveys 3) Manufacturing activity and labor market conditions 4) Housing and construction 5) Monetary conditions 6) Market sentiment: measured through a large set of country level total return indices for equity and fixed income markets across developed and emerging countries. Based on the current OFI Signal, the Index adjusts the stocks in the Index using data from four other FTSE Russell factor indexes, using the following tilts: 1) Recovery signal: Size=2,Value=2; 2) Expansion signal: Size=1,Value=1,Momentum=2; 3) Slowdown signal: Volatility=2,Quality=2; 4) Contraction signal: Volatility=2,Momentum=2,Quality=2.

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As of 12/07/2021


Index Information
Provider:     FTSE Russell
Category1:  US Equity
Category2:  Broad market
Category3:  Large and mid cap
Currency:    USD
Inception date:  10/13/2017
Backtesting data exists:   No
Weighting methodology:   Composite scores
Number of holdings:  709  (as of 10/31/2017)

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