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Definitions

DATA AS OF: 2018-03-31

RAFI Fundamental Index

Global

DEFINITIONS THAT WORKED:
3 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the Cap-Weight 500 benchmark beginning 6/2002.

US

DEFINITIONS THAT WORKED:
4 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the US Cap-Weight 500 benchmark beginning 6/1968.

DEV

DEFINITIONS THAT WORKED:
4 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the Dev Cap-Weight Large+Mid benchmark beginning 7/1968.

DEV exUS

DEFINITIONS THAT WORKED:
4 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the DevxUS Cap-Weight Large+Mid benchmark beginning 6/1989.

EM

DEFINITIONS THAT WORKED:
3 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the EM Cap-Weight Large-Mid benchmark beginning 6/2002.

RAFI Dynamic Multi-Factor

RA Momentum Factor

Global

DEFINITIONS THAT WORKED:
3 of 3

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the Cap-Weight 500 benchmark beginning 6/2002.

US

DEFINITIONS THAT WORKED:
3 of 3

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the US Cap-Weight 500 benchmark beginning 6/1968.

DEV

DEFINITIONS THAT WORKED:
3 of 3

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the Dev Cap-Weight Large+Mid benchmark beginning 7/1968.

DEV exUS

DEFINITIONS THAT WORKED:
3 of 3

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the DevxUS Cap-Weight Large+Mid benchmark beginning 6/1989.

EM

DEFINITIONS THAT WORKED:
3 of 3

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the EM Cap-Weight Large-Mid benchmark beginning 6/2002.

RAFI Value Factor

Global

DEFINITIONS THAT WORKED:
3 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the Cap-Weight 500 benchmark beginning 6/2002.

US

DEFINITIONS THAT WORKED:
4 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the US Cap-Weight 500 benchmark beginning 6/1968.

DEV

DEFINITIONS THAT WORKED:
4 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the Dev Cap-Weight Large+Mid benchmark beginning 7/1968.

DEV exUS

DEFINITIONS THAT WORKED:
4 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the DevxUS Cap-Weight Large+Mid benchmark beginning 6/1989.

EM

DEFINITIONS THAT WORKED:
4 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the EM Cap-Weight Large-Mid benchmark beginning 6/2002.

RAFI Low Volatility Factor

Global

DEFINITIONS THAT WORKED:
4 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the Cap-Weight 500 benchmark beginning 6/2002.

US

DEFINITIONS THAT WORKED:
4 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the US Cap-Weight 500 benchmark beginning 6/1968.

DEV

DEFINITIONS THAT WORKED:
4 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the Dev Cap-Weight Large+Mid benchmark beginning 7/1968.

DEV exUS

DEFINITIONS THAT WORKED:
4 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the DevxUS Cap-Weight Large+Mid benchmark beginning 6/1989.

EM

DEFINITIONS THAT WORKED:
1 of 4

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the EM Cap-Weight Large-Mid benchmark beginning 6/2002.

RAFI Quality Factor

Global

DEFINITIONS THAT WORKED:
5 of 5

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the Cap-Weight 500 benchmark beginning 6/2002.

US

DEFINITIONS THAT WORKED:
4 of 5

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the US Cap-Weight 500 benchmark beginning 6/1968.

DEV

DEFINITIONS THAT WORKED:
5 of 5

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the Dev Cap-Weight Large+Mid benchmark beginning 7/1968.

DEV exUS

DEFINITIONS THAT WORKED:
5 of 5

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the DevxUS Cap-Weight Large+Mid benchmark beginning 6/1989.

EM

DEFINITIONS THAT WORKED:
3 of 5

Sources: CRSP/Compustat and Worldscope/Datastream. Data as of 12/31/2017. Simulated performance is compared against the EM Cap-Weight Large-Mid benchmark beginning 6/2002.

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RAFI Indices is built with the research, insights, and strategies of our sister company: Research Affiliates, LLC