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RAFI Dynamic Multi-Factor Developed ex-US Index

DATA AS OF: 2018-03-31  ASSET CLASS: Equity

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Commentary

The RAFI Dynamic Multi-Factor Developed ex US Index outperformed the MSCI World ex USA All Cap Index by 12bps for the quarter ending March 2018. Low Volatility and Momentum, which accounted for approximately 40% of the index, outperformed by 114bps and 94bps, respectively.

Trailing Returns

Source: FactSet | Data: As of 12/31/2017 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.

** 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 Allocation

Source: FactSet | Data: As of 12/31/2017

Top 10 Holdings

Source: FactSet | Data: From 1/1/1986 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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RAFI Indices is built with the research, insights, and strategies of our sister company: Research Affiliates, LLC