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RADMFEMT

RAFI Dynamic Multi-Factor Emerging Markets Index

DATA AS OF: 09-30-2018 ASSET CLASS: Equity

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Commentary

The RAFI Dynamic Multi-Factor Emerging Markets Index outperformed the MSCI Emerging Markets Index by 315bps for the quarter ending September 2018. The RA Momentum Factor EM Index was the only single-factor index to underperform, while RAFI Low Volatility Factor EM Index and RAFI Value Factor EM Index outperformed by 519bps and 502bps, respectively. From a stock-level perspective, the five largest contributors and to excess return were Tencent, Vale, Alibaba, China Petroleum & Chemical, and Lukoil. Taiwan Semiconductor was the single largest detractor to excess returns. A 2.1% underweight detracted 41bps as the stock rose 21% for the quarter.

Trailing Returns

SOURCE: FactSet | Data: As of 09/30/2018 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 09/30/2018 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 09/30/2018 in USD  |  SOURCE: FactSet

Top 10 Holdings

SOURCE: FactSet  |  DATA: As of 09/30/2018 in USD

Sectors

SOURCE: FactSet  |  DATA: As of 09/30/2018 in USD

Regions

SOURCE: FactSet  |  DATA: As of 09/30/2018 in USD

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