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RAFI Multi-Factor Developed Index

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

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Commentary

The RAFI Multi-Factor Developed Index underperformed the MSCI World All Cap Index by 62 bps 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. The RAFI Value Factor Developed Index was the worst performing single-factor strategy.

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 Allocation

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

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