RAFI Indices

Our research team regularly shares the major insights gained in the analysis underpinning our strategies. Their research frequently challenges the conventional wisdom of investing and is informed through collaboration with the broader investment and academic community.

Academic Quality

Collaborative

Impactful

Academic Quality

As smart beta and factor investing has grown in popularity so has the number of smart beta and factor indices. Each claims to be supported by a strong backtest, but be cautious of data mining and the lack of a solid economic foundation to the index strategy. The strategy may not perform as well in the real world as in the backtest! RAFI Indices are built on the award-winning, academic-quality research of Research Affiliates that has been published in the top practitioner journals of the investment industry.

Financial Analysts
Journal

PAPERS*

Journal of Portfolio
Management

PAPERS*

Journal of Indexes

PAPERS*

Journal of Index Investing**

PAPERS*

As of September 30, 2023

**Now called Journal of Beta Investment Strategies

Robust
Research

Academic Quality

Financial Analysts
Journal

PAPERS*

Journal of Portfolio
Management

PAPERS*

Journal of Indexes

PAPERS*

Journal of Index Investing**

PAPERS*

As of September 30, 2023

**Now called Journal of Beta Investment Strategies

Collaborative

Investors can easily fall victim to groupthink and this is often reflected in research. We aim to avoid this by continually seeking feedback and partnering with both academia and the broader investment industry. Campbell Harvey, professor of finance at Duke University, is head of research at Research Affiliates. Cam's innovative approach and rigorous attention to detail builds on our firm's well-established reputation for robust and cutting-edge research.

Our goal is to encourage humility, to recognize
that we can easily deceive ourselves into thinking
we have found the "holy grail." Hubris is our enemy.

A Backtesting Protocol in the Era of Machine Learning

Arnott, Harvey, and Markowitz.

November 2018

Professor Juhani Linnainmaa, PhD

Dartmouth College

Professor Campbell Harvey, PhD

Duke University

Director of Research, Research Affiliates, LLC

Impactful

From our earliest research into the benefits of a fundamentally weighted index approach through ongoing research today, our goal is to put forth investing strategies and insights that can positively influence investors’ long-term outcomes.

"How Can 'Smart Beta' Go Horribly Wrong?"

"Alice's Adventures in Factorland: Three Blunders That Plague Factor Investing"

"The Surprising Alpha from Malkiel's Monkey
and Upside-Down Strategies"

Well-Crafted
Index Strategies

In developing and building our index strategies, we emphasize systematic and transparent processes, low-cost implementation, and high investment capacity. Our intent is to improve governance and increase conviction and understanding of the investment philosophy underpinning our index strategies.

Simplicity

& Transparency

As factor investing has grown in popularity, so has the complexity of factor indices. At RAFI Indices, we believe that

Transparent design leads to improved governance and clear attribution.

Low Transaction

Costs

Poor product design can result in high transaction costs that cannibalize returns driven by factor premiums. This is why we aim to

Maintain the benefit of cap-weighted indices such as high capacity, low turnover, and broad equity exposure.

Effectiveness

The market impact of poorly engineered funds can have a large toll on realized returns. This is why we aim to

Design strategies with a focus on ease of investibility and liquidity.

Well-Crafted
Index Strategies

Simplicity

& Transparency

As factor investing has grown in popularity, so has the complexity of factor indices. At RAFI Indices, we believe that

Transparent design leads to improved governance and clear attribution.

Low Transaction

Costs

Poor product design can result in high transaction costs that cannibalize returns driven by factor premiums. This is why we aim to

Maintain the benefit of cap-weighted indices such as high capacity, low turnover, and broad equity exposure.

Effectiveness

The market impact of poorly engineered funds can have a large toll on realized returns. This is why we aim to

Design strategies with a focus on ease of investibility and liquidity.

Impactful
Investor Support

The purported benefits of smart beta too often fall prey to transaction costs and clients' poor timing decisions. We emphasize three main areas of investor support:

Philosophy

Materials

Team

A distinct service philosophy

The promise of smart beta can be dramatically eroded by poor investor timing. Our support effort is centered on clients maximizing the long-term investor impact of our strategies. That’s our commitment.

Impactful
Investor Support

The purported benefits of smart beta too often fall prey to transaction costs and clients' poor timing decisions. We emphasize three main areas of investor support:

A distinct service philosophy

A comprehensive suite of materials to weather the journey

Quarterly factsheets and conference calls are no longer enough.

Knowledge

Center

Provides clients with a timely overview of the factor investing landscape and detailed information on all RAFI Indices strategies.

Commentary

& Attribution

Provide in-depth portfolio analysis including the drivers of index strategy performance versus the benchmark.

Delivered by an experienced team of practitioners

Since 2005, the Distribution and Product Management teams of our sister company Research Affiliates have provided in-person support and engaged in conversations to help make our smart beta research and strategies work more fully for investors. Our experienced team has previously worked at investment consultants, hedge funds, index providers, asset owners, and asset managers.

Research Affiliates

Global Multi-Asset Indices