<< RAFI Fundamental Index Series

RAFIUST

RAFI Fundamental U.S. Index

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

rafi-roadmap-banner-bg-color-01-6line

Commentary

The RAFI Fundamental US Index underperformed its benchmark, the Russell 1000, by 47 bps for the quarter driven by continued headwinds in value (7.4% for Russell 1000 vs. 5.7% for Russell 1000 Value). The consumer cyclical and energy sectors were the biggest detractors to return at -27 bps and -24 bps, respectively. Meanwhile, the financial and consumer non-cyclical sectors were the biggest contributors to excess return at 12 bps and 8 bps, respectively. From a stock level perspective, the biggest detractors were Amazon (-24 bps), General Electric (-14 bps), and Chevron Corporation (-12 bps). Facebook (33 bps), Pfizer (9 bps), and CVS Health (9 bps) were the largest contributors to returns.

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.

Top 10 Holdings

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

Sectors

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

Explore Expected Returns with Research Affiliates' Smart Beta Interactive

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