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RAFI Dynamic Multi-Factor Developed ex US Index

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

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Commentary

The RAFI Dynamic Multi-Factor Developed Index underperformed the MSCI World All Cap Index by 75bps for the quarter. All single-factor strategies underperformed their benchmarks for the quarter except for the RAFI Low Volatility Factor Developed Index which matched its benchmarks performance. From a stock-level perspective, the five biggest contributors to excess return were Facebook, CVS, Target, Express Scripts, and Bayer. When examining the bottom five contributors to excess return, as in past quarters, the list continues to be driven by technology companies. Many of these companies exhibit the traditional characteristics of growth-oriented tech companies: high investment, trading at lofty multiples, and having volatile price movements. These characteristics make for poor companies from the quality, value, and low volatility perspectives, and typically fail to make it into those indices, resulting in a low overall index weight.

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.

** 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 09/30/2018 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 09/30/2018

Top 10 Holdings

Source: FactSet | Data: As of 09/30/2018

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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