OMFS Oppenheimer Russell 2000 Dynamic Multifactor ETF

Seeks to track, before fees and expenses, the Russell 2000 Dynamic Multifactor Index. The Index selects companies in the Russell 2000 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.

$37.37  +0.60 (1.63%)
As of 08/12/2022 15:59:52 EST     IEX book   CBOE book


ETF Information
Sponsor:     Oppenheimer Funds
Category1:  US Equity
Category2:  Broad market
Category3:  Small cap
Morningstar category:  Small Blend
Leverage factor:  1.00
Inception date:  11/10/2017
Index tracking method: Passive replication
Current yield:  1.14%
Historical average yield:  1.21%
Market cap:  $152,628,000
Average volume:  41,505
Fees:     0.3900%

Index Information
Russell 2000 Dynamic Multifactor Index
Index symbol:  OMFSIndex
Provider:   FTSE Russell
Index weighting:   Composite scores
Index inception date:  10/13/2017
Backtesting data exists:   No
Index factsheet:  Read PDF
Number of holdings:  1,181  (as of 10/31/2017)
Strategy:  Multi-factor investing
Factors used to select securities:

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