RADMFEMT
RAFI Dynamic Multi-Factor Emerging Markets Index
DATA AS OF: 2017-12-31 ASSET CLASS: Equity
Commentary
The RAFI Dynamic Multi-Factor Emerging Markets Index underperformed the MSCI Emerging Markets Index by 175bps for the quarter ending September 2017. Three of the four underlying single-factor indices underperformed the market, with Low Volatility underperforming by 653bps. The RA Momentum Factor EM strategy was the lone bright spot, outperforming the market by 89bps.
Trailing Returns
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. One-way turnover data is historical average based on simulated history. Capacity is estimated at 50 basis point market impact level.
*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.
** Tracking Error (TE) calculated against each section’s appropriate benchmark using the first full month of returns following index inception. Index returns prior to inception are simulated.
Characteristics
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 are simulated. One-way turnover data are historical average data based on simulated history. Capacity is estimated at 50-basis-point market impact level.
Factor Sleeve Allocations
Source: FactSet | Data: As of 12/31/2017
Top 10 Holdings
Source: FactSet | Data: From 1/1/2002 to 12/31/2017 in USD
Sectors
Source: FactSet | Data: As of 12/31/2017 in USD
Regions
Source: FactSet | Data: As of 12/31/2017 in USD
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