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RAFI Dynamic Multi-Factor U.S. Index

DATA AS OF: 2017-12-31  ASSET CLASS: Equity

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Commentary

The RAFI Dynamic Multi-Factor U.S. Index outperformed the Russell 3000 Index by 19bps for the quarter ending September 2017. The biggest driver of return from a factor level was Momentum and Value, outperforming by 212bps and 130bps, respectively. While Low Volatility significantly underperformed the market (263bps vs. the Russell 1000 Index), its fairly small allocation muted its effect.

Trailing Returns

SOURCE: FactSet | Data: As of 03/31/2018 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 03/31/2018 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 Allocation

DATA: As of 03/31/2018 in USD  |  SOURCE: FactSet

Top 10 Holdings

SOURCE: FactSet  |  DATA: As of 03/31/2018 in USD

Sectors

SOURCE: FactSet  |  DATA: As of 03/31/2018 in USD

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