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RAFI Multi-Factor Developed Index

DATA AS OF: 2018-06-30  ASSET CLASS: Equity

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Commentary

RAFI Multi-Factor Developed Index underperformed the MSCI World All Cap Index by 35bps for Q1, 2018. The RA Momentum Factor Developed Index was the only index that outperformed the benchmark in Q1, outperforming the MSCI World Index by 148bps. The RAFI Low Volatility Factor Developed Index was the worst performer, underperforming the MSCI World Index by 144bps.

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 Allocation

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

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