RADMFEMT
RAFI Dynamic Multi-Factor Emerging Markets Index
DATA AS OF: 2018-06-30 ASSET CLASS: Equity
Commentary
The RAFI Dynamic Multi-Factor Emerging Markets Index underperformed the MSCI Emerging Markets Index by 102bps for the quarter ending March 2018. While the Value and Quality factor strategies both significantly outperformed the benchmark, their performance could not make up for the poor performance of Low Volatility and Momentum, which accounted for approximately 60% of the portfolio and underperformed by 256bps.
Trailing Returns
SOURCE: FactSet | Data: As of 06/30/2018 in USD | INCEPTION DATE: 01/31/2017
* 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.
** Annualized Tracking error 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 06/30/2018 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.
Factor Sleeve Allocations
DATA: As of 06/30/2018 in USD | SOURCE: FactSet
Top 10 Holdings
SOURCE: FactSet | DATA: As of 06/30/2018 in USD
Sectors
SOURCE: FactSet | DATA: As of 06/30/2018 in USD
Regions
SOURCE: FactSet | DATA: As of 06/30/2018 in USD
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