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RAFI Dynamic Multi-Factor Indices

DATA AS OF: 2017-12-31

The RAFI Multi-Factor Index suite aims to provide diversified exposures through allocations to value, low volatility, quality, momentum, and size. In addition, the Index Series uses the Research Affiliates’ Fundamental Index™ methodology, which weights companies based on fundamental measures of company size (as measured by accounting variables) rather than their market capitalization. 

Rulebook

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Available Indexes

Click the links highlighted in green to learn about the expected and historical index performance available as of January 2018. Expected and historical index performance for indices not highlighted in green will be made available at a later date.

AT A GLANCE

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Uses theoretically and empirically robust single-factor strategies

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Diversifies factor exposures for a smoother ride

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Implements a rules-based and transparent index construct

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Offers a dynamic allocation process for potentially improved returns

Investment Process

investment process

Index Construction

index construction

For investors seeking a rules-based, transparent multi-factor strategy, RAFI Dynamic Multi-Factor is designed to offer the following benefits:

  • • Combines theoretically sound and empirically robust single-factor strategies—value, low volatility, quality, momentum, and size—that allow for straightforward performance measurement and governance.
  • • Diversifies exposures to factors expected to produce long-term positive excess returns.
  • • Offers a dynamic allocation process that can potentially improve excess returns.

The RAFI Dynamic Multi-Factor strategy dynamically allocates to value, low volatility, quality, momentum, and size based on long-term reversal and short-term momentum. This strategy is designed for investors who are concerned with the rising valuations of certain factors.

Most of the underlying strategies—RAFI Value Factor Index, RAFI Low Volatility Factor Index, RAFI Quality Factor Index, and RAFI Size Factor Index—are also available on a stand-alone basis to provide investors with a range of choices to meet their unique preferences.

The RA Momentum Factor Index is not available on a stand-alone basis due to its high turnover, high trading costs, and low capacity when implemented outside a multi-factor framework.

Performance

Source: FactSet | Data: As of 12/31/2017 in USD | Inception Date: 01/31/2017

Note: Portfolio characteristics derived from FactSet. Data prior to launch is simulated.

*Inception to Date (ITD) uses the first full month of returns after inception date. All returns prior to inception are simulated. Please see disclosures for important information regarding simulated performance.

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