The RAFI Multi-Factor index series offers diversified factor exposures through allocations to value, low volatility, quality, momentum, and size. The index uses recent and historical metrics to tilt toward factor portfolios which are particularly attractive on a forward looking basis.
Rulebook
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Available Indexes
RAFI Multi-Factor Global Index — RAQMFGLT
RAFI Multi-Factor Global AUD Hedged Index — RAMGADHN
RAFI Multi-Factor Global ex-Switzerland Index — RAMFGXST
RAFI Multi-Factor Developed Index — RAQMFDLT
RAFI Multi-Factor Developed ex-US Index — RAQMFXUT
RAFI Multi-Factor Emerging Markets Index — RAQMFEMT
RAFI Multi-Factor ex-Momentum Emerging Markets Index — RAMFEXMT
RAFI Multi-Factor US Index — RAQMFUST
AT A GLANCE
Uses theoretically and empirically robust single-factor strategies
Diversifies factor exposures for a smoother ride
Implements a rules-based and transparent index construct
Investment Process
Investment Process
For investors seeking a rules-based, transparent multi-factor strategy, RAFI 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.
The RAFI Multi-Factor strategy uses an equally weighted blend of five factors: value, low volatility, quality, momentum, and size.
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.
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