o’shares strategy series · 2019. 9. 10. · 3-year periods after the the first day of the last 5...
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O ’ S H A R E S S T R A T E G Y S E R I E SSEPTEMBER 2019
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Learn about OUSA:O’Shares approach to U.S. Large Caps
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OUSA S&P 500
Value
7%
8%
8%
9%
9%
10%
10%
11%
11%
11% 12% 12% 13% 13% 14% 14%
Retur
n
Risk
Since Inception Return vs. Risk Comparison: OUSA VS. S&P 500 and Value
Quality Beats Value, Stronger Performance, Less Risk
Source: Bloomberg, performance data as of 8/31/2019. Returns for periods longer than 1 year are annualized. 1. Risk = Volatility: a statistical measure of risk. Commonly, the higher the volatility, the riskier the security. 2. Value: S&P 500 Value Index. Volatility (S/I): Annualized daily standard deviation from inception date (7/14/2015). Upside/Downside Capture Ratio: Measure to demonstrate relative performance against a broad benchmark during periods of market strength or weakness. Reference benchmark: S&P 500. Performance is measured as mean return. S/I: Inception Date: 7/14/2015. Upside/Downside Capture: Since Inception 7/14/2015. Past performance does not guarantee future results. Investors cannot directly invest in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.
§ OUSA has outperformed Value with less risk.
§ OUSA has provided better downside protection than Value.
OUSA VS. S&P 500 and ValueUpside/Downside Capture - Since Inception (07/14/2015)Performance and Risk Metrics
1 Year S/I Volatility
OUSA 8.4% 10.5% 11.5%
Value 2.1% 7.9% 13.6%
S&P 500 2.9% 10.6% 13.8%
Upside Downside +/-
OUSA 81% -70% 11%
Value 90% -104% -14%
S&P 500 100% -100% -
O ’ S H A R E S S T R A T E G Y S E R I E SSEPTEMBER 2019
Related Content: U.S. Large Caps
Before you invest in O’Shares ETF Investments Funds, please refer to the prospectus for important information about the investmentobjectives, risks, charges and expenses. To obtain a prospectus containing this and other important information, please visitwww.oshares.com to view or download a prospectus online. Read the prospectus carefully before you invest. There are risksinvolved with investing including the possible loss of principal.
Concentration in a particular industry or sector will subject the Funds to loss due to adverse occurrences that may affect that industry or sector.The Funds may use derivatives which may involve risks different from, or greater than, those associated with more traditional investments. TheFunds’ emphasis on dividend-paying stocks involves the risk that such stocks may fall out of favor with investors and underperform the market.Also, a company may reduce or eliminate its dividend after the Funds’ purchase of such a company's securities. Returns on investments inforeign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Exposures to foreign securities entail specialrisks, including political, diplomatic, economic, foreign market and trading risks. In addition, the Funds’ investments in securities denominated inother currencies could decline due to changes in local currency relative to the value of the U.S. dollar, which may affect the Funds’ returns. Seethe prospectus for specific risks regarding the Funds.
Past performance does not guarantee future results. Shares are bought and sold at market price (not NAV), are not individually redeemable,and owners of Shares may acquire those Shares from the Funds and tender those shares for redemption to the Funds in Creation Unitaggregations only, consisting of 50,000 Shares. Brokerage commissions will reduce returns. The market price of Shares can be at, below, orabove NAV. Brokerage commissions will reduce returns. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 PMEastern time (when NAV is normally determined), and do not represent the returns you would receive if you traded Shares at other times.
O’Shares ETF Investments Funds are distributed by Foreside Fund Services, LLC. Foreside Fund Services, LLC is not affiliated with O’SharesETF Investments or any of its affiliates.
oshares.com | [email protected]
Stock Market Performance after Yield Curve Inversion
OUSA vs. S&P 500: Periods of Elevated Volatility
Shift to Passive Equity ETFs From Active Equity Mutual Funds
O ’ S H A R E S S T R A T E G Y S E R I E SSEPTEMBER 2019
Schedule a call with aCapital Markets Professional
View Top 10 Holdings of OUSA
Learn about OUSA:O’Shares approach to U.S. Large Caps
oshares.com | [email protected]
Stock Market Performance after Yield Curve Inversion
Source: Bloomberg. Yield chart: Weekly data as of 8/16/2019. Dates of first U.S. Treasury 2/10 Year yield inversion events. Last 5 events: 8/17/1978, 8/20/1980, 12/09/1988, 5/26/1998, 12/30/2005, from MarketWatch. Past performance does not guarantee future results. For informational purposes only and is not meant to represent the Fund. Investors cannot directly invest in an index.
Recession indicator: When longer dated U.S. Treasury bonds have lower yields than shorter dated ones, this is commonly viewed as a recession signal. This month, U.S. Treasury 2-year yields were higher than U.S. Treasury 10-year yields for brief periods, the first time this has occurred since 2007.
Stock market performance: The S&P 500 has had positive returns on average during the 3-month, 6-month, 1-year and 3-year periods after the the first day of the last 5 yield curve inversion events (8/17/1978, 8/20/1980, 12/09/1988, 5/26/1998, 12/30/2005).
U.S. Large-Cap Market Performance After First Day of The Last 5 Yield Curve Inversions
Average S&P Performance in the next:Date of first inversion 3-month 6-month 1-year 3-year
8/17/1978 -9.0% -3.6% 8.8% 46.2%8/20/1980 14.9% 4.8% 10.9% 54.8%
12/09/1988 7.0% 20.1% 30.2% 51.1%5/26/1998 -0.5% 9.3% 21.0% 21.3%
12/30/2005 4.6% 2.7% 15.8% -24.1%Average 3.4% 6.7% 17.3% 29.9%
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U.S. Treasury Yield Comparison – 2-Year vs. 10-Year
U.S. 10 Year Treasury Yield U.S. 2 Year Treasury YieldU.S. 10-Year Treasury Yield U.S. 2-Year Treasury Yield
O ’ S H A R E S S T R A T E G Y S E R I E SAUGUST 2019
Schedule a call with aCapital Markets Professional
View Top 10 Holdings of OUSA
Learn about OUSA:O’Shares approach to U.S. Large Caps
oshares.com | [email protected]
OUSA vs. S&P 500: Periods of Elevated Volatility
Source: Bloomberg, data as of 8/13/2019. Please visit OUSA Fund Page for standardize performance.Past performance does not guarantee future results. Investors cannot directly invest in an index; unmanaged index returns do not reflect any fees, expenses or sales charges.
VIX: The Chicago Board Options Exchange Volatility Index is often used as a proxy to measure market volatility. Spikes in the VIX are generally associated with periods of market stress.
OUSA was designed to provide strong return with less risk and downside protection. It aims to capture most of the upside in the market while preserving significant downside, in risk-off events. One of the primary objectives of the strategy is to attempt to reduce risk in an equity allocation.
The graph below demonstrates the potential risk reducing properties of the OUSA methodology, which focuses on Quality, stocks that exhibit stronger profitability and less leverage. The chart illustrates the weekly relative performance of OUSA vs. the S&P 500 (OUSA - S&P 500) since inception on the left axis vs. average monthly VIX levels on the right axis.
The key takeaway from this graph is the correlation between OUSA outperformance and spikes in market volatility. OUSA may be a source of outperformance when market volatility is elevated.
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OUSA vs. S&P 500: Periods of Elevated Volatility
Weekly Relative Peformance (OUSA - S&P 500) VIX (Weekly Average) Average VIX
O ’ S H A R E S S T R A T E G Y S E R I E SAUGUST 2019
Schedule a call with aCapital Markets Professional
View Top 10 Holdings of OUSA
Learn more:Quality Beat Value, Stronger Performance, Less Risk
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Shift to Passive Equity ETFs From Active Equity Mutual Funds
For informational purposes only. Not meant to represent the Fund. Source: Bloomberg, data as of 7/31/2019, retrieved 8/01/2019.Mutual Fund Flow data based on Bloomberg estimates. ETF tickers listed after 12/31/18 are not yet included in fund flow data.
Strong inflows into passive equity ETFs, heavy outflows out of active equity mutual funds.• Since 2014:
• Passive equity ETFs: Inflows over $1 trillion.• Active equity mutual funds: Outflows over $1 trillion.
Advantages of ETFs vs. Mutual Funds:• Cost savings (expense ratios): Active mutual funds often have higher expense ratios than ETFs.• More tax efficient.• No style drift and transparent.
$180,539 $171,167 $182,441
$329,847
$209,706
$59,722
-$36,468
-$151,685
-$318,011
-$208,669-$249,249
-$124,875
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Fund Flows: Passive vs. Active
Passive Equity ETFs Active Equity Mutual Funds