INVESTMENT STRATEGY INDEX GUIDE
MARCH 2014
INTRODUCTION
Research Affiliates, LLC is a global leader in innovative indexing and
asset allocation strategies.
Leveraging its strong research focus, Research Affiliates distributes
products in partnership with some of the world’s leading financial
institutions. These affiliations take the form of licensing agreements,
sub-advisory services, and direct asset management.
This guide offers a comprehensive list of indices created by Research
Affiliates and its index partners. Indices span the globe and cover
a variety of asset classes, including equity, bonds, REITs and low
volatility. Ticker symbols, return data, and index characteristics versus
the respective capitalization-weighted benchmark also are included.
For information on how to license these indices, please contact us at
+1 949.325.8700 or [email protected].
COMPLETE
INDEX LIST
FTSE
RAFI® PERFORMANCE
CHARACTERISTICS
FTSE RAFI Index Series
FTSE RAFI Portugal Index
GLOBAL & REGIONAL INDICES
FTSE RAFI All World 3000 Index
FTSE RAFI Singapore Index
FTSE RAFI BRIC Index
FTSE RAFI Sweden 100 Index
FTSE RAFI Developed 1000 ex Korea ex Israel
Index
FTSE RAFI Sweden Index
FTSE RAFI Developed 1000 Index
FTSE RAFI UK 100 Index
FTSE RAFI Developed Asia Pacific ex Japan
Index
FTSE RAFI Developed Asia Pacific ex Japan
Mid Small Index
FTSE RAFI Spain Index
FTSE RAFI Switzerland Index
FTSE RAFI UK 300 Index
FTSE RAFI UK Index
FTSE RAFI US 1000 Index
FTSE RAFI Developed 1000 ex Korea ex Israel
Index - QSR
FTSE RAFI Developed 1000 Index - QSR
FTSE RAFI Developed Asia Pacific ex Japan
Index - QSR
FTSE RAFI Developed Europe Mid/Small
Index - QSR
FTSE RAFI Developed ex US 1000 Index QSR
FTSE RAFI Developed ex US Mid/Small 1500
Index - QSR
FTSE RAFI Developed Europe Mid Small Index
FTSE RAFI US 2000 Index
FTSE RAFI Developed Mid/Small 1500 Index
- QSR
FTSE RAFI Developed ex US 1000 Index
FTSE RAFI US 2500 Index
FTSE RAFI Emerging Markets Index - QSR
FTSE RAFI Developed ex US Mid Small 1500
Index
FTSE RAFI US 3000 Index
FTSE RAFI Europe Index - QSR
FTSE RAFI Eurozone Index - QSR
FTSE RAFI Developed Mid Small 1500 Index
FTSE RAFI US Mid Small 1500 Index
FTSE RAFI US Small 500 Index
FTSE RAFI Hong Kong, China 80 Index - QSR
FTSE/JSE RAFI 40 Index
FTSE RAFI Italy 30 Index - QSR
FTSE/JSE RAFI All Share Capped Index
FTSE RAFI Japan 350 Index - QSR
FTSE/JSE RAFI All Share Index
FTSE RAFI Japan Index - QSR
FTSE RAFI US INDUSTRY INDICES
FTSE RAFI US 1000 Index
Basic Materials
FTSE RAFI North America Index - QSR
FTSE RAFI Emerging Markets + Korea Index
FTSE RAFI Emerging Markets Index
FTSE RAFI Europe ex UK + Switzerland Index
FTSE RAFI Europe ex UK Index
FTSE RAFI Europe Index
FTSE RAFI Eurozone Index
FTSE RAFI Kaigai 1000 Index
FTSE RAFI Nordic Index
FTSE RAFI North America Index
COUNTRY INDICES
FTSE RAFI Australia 200 Index
FTSE RAFI Australia Index
FTSE RAFI Austria Index
FTSE RAFI Belgium/Luxembourg Index
FTSE RAFI Brazil Index
FTSE RAFI Brazil 50 Index
FTSE RAFI Canada Index
FTSE RAFI Denmark Index
FTSE RAFI Finland Index
FTSE RAFI France Index
FTSE RAFI UK 100 Index - QSR
FTSE RAFI US 1000 Index
Consumer Services
FTSE RAFI US 1000 Index - QSR
FTSE RAFI US 1500 Mid Small Index - QSR
FTSE RAFI US 1000 Index
Health Care
FTSE/JSE RAFI 40 Index - QSR
FTSE RAFI US 1000 Index
Industrials
FTSE RAFI US 1000 Index
Oil & Gas
FTSE RAFI US 1000 Index
Telecommunications & Technology
FTSE RAFI US 1000 Index
Utilities
FTSE RAFI Greece Index
FTSE RAFI US 100 Real Estate Index
FTSE RAFI India 50 Index
FTSE RAFI Ireland Index
FTSE RAFI Israel Index
FTSE RAFI Italy 30 Index
QUARTERLY STAGGERED REBALANCING
(QSR) INDICES
FTSE RAFI All World 3000 Dev Europe ex UK
Index - QSR
FTSE RAFI All World 3000 Developed Europe
Index - QSR
FTSE RAFI Italy Index
FTSE RAFI All World 3000 Eurobloc Index
- QSR
FTSE RAFI Japan 350 Index
FTSE RAFI All World 3000 Index - QSR
FTSE RAFI Japan Index
FTSE RAFI All World 3000 North America
Index - QSR
FTSE RAFI Mexico Index
FTSE RAFI Netherlands Index
FTSE RAFI New Zealand Index
FTSE RAFI Norway Index
FTSE RAFI UK 300 Index - QSR
FTSE RAFI US 1000 Index
Financials
FTSE RAFI Germany Index
FTSE RAFI Hong Kong, China Index
FTSE RAFI Switzerland Index - QSR
FTSE RAFI US 1000 Index
Consumer Goods
FTSE RAFI REIT INDICES
FTSE RAFI Global ex US Real Estate Index
FTSE RAFI Hong Kong, China 80 Index
FTSE RAFI Korea 200 Index - QSR
FTSE RAFI Canada Index - QSR
FTSE RAFI China 50 Index - QSR
FTSE RAFI China 70 Index - QSR
4
FTSE RAFI US 3000 Index - QSR
FTSE/JSE RAFI All Share Index - QSR
Russell Fundamental Index Series
GLOBAL INDICES
Russell Fundamental Global ex US Index
Russell Fundamental Global ex US Large Company Index
Russell Fundamental Global ex US Small Company Index
Russell Fundamental Global Index
Russell Fundamental Global Large
Company Index
Russell Fundamental Global Small
Company Index
DEVELOPED MARKET INDICES
Russell Fundamental Developed ex North
America Large Company Index
Russell Fundamental Developed ex US Index
Russell Fundamental Developed ex US Large Company Index
Russell Fundamental Developed ex US Small Company Index
Russell Fundamental Developed Index
Russell Fundamental Developed Large
Company Index
Russell Fundamental Developed Small
Company Index
EMERGING MARKET INDICES
Russell Fundamental BRIC Index
Russell Fundamental Germany
FnGuide (Korea)
Russell Fundamental Hong Kong
Russell Fundamental BRIC Index
Large Company
FnGuide RAFI Korea 200 Index
Russell Fundamental India
FnGuide RAFI Korea Large Index
Russell Fundamental BRIC Index
Small Company
Russell Fundamental Indonesia
FnGuide RAFI Korea Mid Index
Russell Fundamental Italy
FnGuide RAFI Korea Small Index
Russell Fundamental Emerging Markets Index
Russell Fundamental Japan
Russell Fundamental Emerging Markets
Large Company Index
Russell Fundamental Korea
Research Affiliates
Russell Fundamental Emerging Markets
Small Company Index
Russell Fundamental Malaysia
Russell Fundamental Netherlands
RAFI BONDS US CORPORATE INDEX SERIES
RAFI Bonds US Investment Grade
Master Index
US INDICES
Russell Fundamental US Index
Russell Fundamental US Large Company Index
Russell Fundamental US Small Company Index
Russell Fundamental US Top 200 Index
Russell Fundamental US Top 100 Volatility
Control 7% Index
ASIA PACIFIC INDICES
Russell Fundamental Asia Pacific ex Japan Index
Russell Fundamental Asia Pacific ex Japan Index Large Company
Russell Fundamental Asia Pacific ex Japan Index Small Company
Russell Fundamental Asia Pacific Index
Russell Fundamental Asia Pacific Large
Company Index
Russell Fundamental Asia Pacific Small Company Index
EUROPEAN INDICES
Russell Fundamental Developed Europe Index
Russell Fundamental Developed Europe Index Large Company
Russell Fundamental Developed Europe Index Small Company
Russell Fundamental Norway
Russell Fundamental Russia
Russell Fundamental Singapore
Russell Fundamental Spain
Russell Fundamental Sweden
Russell Fundamental Switzerland
Russell Fundamental Taiwan
Russell Fundamental Thailand
Citi RAFI Sovereign Developed Markets
Bond Index Master
Citi RAFI Sovereign Developed Markets
Bond Index Liquid
Citi RAFI Sovereign Emerging Markets
Local Currency Bond Index Master
Citi RAFI Sovereign Emerging Markets
Local Currency Bond Index Liquid
Citi RAFI World Corporate Investment Grade
Bond Index
FTSE / Taiwan Stock Exchange (TWSE)
FTSE TWSE RAFI Taiwan 50 Index
Russell Fundamental Europe Small
Company Index
China Securities Index Co. (CSI)
Russell Fundamental Eurozone Index
CSI RAFI 50 Index
Russell Fundamental Eurozone Index
Large Company
CSI RAFI 200 Index
CSI RAFI 400 Index
Russell Fundamental Eurozone Index
Small Company
CSI RAFI 600 Index
Russell Fundamental Canada
Russell Fundamental China
Russell Fundamental Denmark
Russell Fundamental Finland
Russell Fundamental France
RAFI Bonds US High Yield 1-5 Index
RAFI Bonds US High Yield 1-10 Index
RAFI Bonds US High Yield 1-30 Index
LONG/SHORT INDICES
RAFI US Equity Long/Short Index
Taiwan RAFI Employer Creation 99 Index
Russell Fundamental Brazil
RAFI Bonds US High Yield Master Index
Citi RAFI Bonds Index Series
Russell Fundamental Europe Large
Company Index
Russell Fundamental Belgium
RAFI Bonds US Investment Grade 1-30 Index
RAFI Bonds US High Yield 1-10 CAD
Hedged Index
FTSE TWSE RAFI Taiwan 100 Index
Russell Fundamental Australia
RAFI Bonds US Investment Grade 1-10 Index
Russell Fundamental United Kingdom
Russell Fundamental Europe Index
COUNTRY INDICES
RAFI Bonds US Investment Grade 1-5 Index
RAFI FUNDAMENTAL US STYLE SERIES
INDICES
RAFI Fundamental Large Growth Index
RAFI Fundamental Large Core Index
RAFI Fundamental Large Value Index
RAFI Fundamental Mid Growth Index
RAFI Fundamental Mid Core Index
RAFI Fundamental Mid Value Index
RAFI Fundamental Small Growth Index
RAFI Fundamental Small Core Index
RAFI Fundamental Small Value Index
LOW VOLATILITY INDICES
RAFI Low Volatility US Unconstrained Index
RAFI Low Volatility US Index
RAFI Low Volatility Developed Markets Index
RAFI Low Volatility Developed ex US Index
RAFI Low Volatility Emerging Markets Index
CSI RAFI Hong Kong 50 Index
Shanghai Stock Exchange (SSE)
SSE Fundamental 200 Index
SSE Fundamental 300 Index
SSE Fundamental 500 Index
Shenzen Stock Exchange (SZSE)
SZSE Fundamentals 60 Index
SZSE Fundamentals 120 Index
SZSE Fundamentals 200 Index
5
AFFILIATES
BY DOMICILE | AS OF MARCH 2014
FTSE
RAFI® PERFORMANCE
CHARACTERISTICS
CANADA
Blackrock Canada
Invesco Powershares
Pro-Financial Asset Management
Cidel Bank & Trust
UNITED STATES
PIMCO
Charles Schwab
Columbia Management
Invesco Powershares
Parametric Portfolio Associates
EUROPE & UNITED KINGDOM
JAPAN
Henderson Rowe
Invesco Powershares
Informed Portfolio Management (IPM)
Kempen Capital Management
Legal & General
Lyxor Asset Management
Nomura Asset Management Deutschland
Scottish Widows Investment Partnership
Nomura Asset Management
Nissay Asset Management
Resona Trust & Banking
CHINA
Harvest Fund Management
INDEX CALCULATION PARTNERS
China Securities Index Company (CSI)
Citigroup Index LLC
FnGuide
FTSE Group
Russell Investments
Ryan ALM
S&P Dow Jones Indices
Taiwan Stock Exchange (TWSE)
SOUTH AFRICA
Grindrod Asset Management
Dibanisa Fund Managers
Satrix
AUSTRALIA
RealIndex/Colonial First State
BetaShares
The list of affiliates provided includes all clients of Research Affiliates which have agreed to be listed within
this publication. We have not ascertained whether or not each of the clients listed approves or disapproves of
the services that have been provided. This list is not intended as an offer or solicitation for the purchase or sale
of any security or financial instrument, nor is it advice or a recommendation to enter into any transaction.
6
7
FTSE RAFI® PERFORMANCE CHARACTERISTICS
AS OF MARCH 2014
FTSE RAFI PERFORMANCE VS. CAP-WEIGHTED BENCHMARK
Bloomberg
Ticker
YTD
1-Yr
3-Yr
5-Yr
10-Yr
FTSE RAFI CHARACTERISTICS VS. CAP-WEIGHTED BENCHMARK
Index
10-Yr
Launch Date Standard
Return* Deviation**
Number of
Companies
P/E
P/S
Dividend
Yield
Beta1
Weighted
Avg Market
Cap ($B)
Annualized
Tracking Error
Since Launch2
Annualized Info Annualized
Ratio Since
Sharpe Ratio
Launch2
Since Launch2
Index Launch Date
GLOBAL/EMERGING
FTSE RAFI All World 3000 Index
TFRAW3
1.97%
21.39%
9.11%
21.33%
9.70%
15.71%
18.60%
3,037
13.88
0.81
2.73%
1.12
69.2
4.80%
0.36
0.76
10/6/2008
FTS5ALWR
1.20%
17.21%
9.08%
18.47%
7.72%
13.95%
16.71%
2,949
16.01
1.26
2.35%
—
80.1
—
—
0.79
10/6/2008
FTSE RAFI Developed 1000 Index
TFRDU
1.96%
23.80%
10.36%
21.16%
8.35%
4.15%
18.33%
1,014
14.36
0.84
2.80%
1.13
84.0
4.93%
0.06
0.17
8/6/2007
FTSE All World Developed Index
FTS5DEV
1.32%
19.45%
10.61%
18.86%
7.51%
3.87%
16.17%
2,060
16.54
1.28
2.32%
—
85.1
—
—
0.17
8/6/2007
FTSE RAFI Developed Ex US 1000 Index
FRX1XTR
1.73%
24.05%
6.38%
18.18%
8.15%
6.56%
20.31%
1,016
13.70
0.68
3.17%
1.09
55.5
4.13%
0.17
0.24
11/28/2005
FTSE All World Series Developed Ex US
FTS5DXUS
0.70%
16.43%
6.48%
16.51%
7.42%
5.85%
18.42%
1,431
15.10
0.99
2.88%
—
57.0
—
—
0.23
11/28/2005
TFRDXUSU
2.74%
18.45%
7.26%
21.86%
10.31%
5.25%
18.77%
1,511
14.80
0.62
2.16%
0.97
2.9
4.83%
0.48
0.21
8/6/2007
FTSE All World Series All World Index
FTSE RAFI Developed ex US Mid Small Index
FTSE Global Smallcap Series Developed ex US
FTSE RAFI Emerging Markets Index
FTSE All Emerging
FSZUDXUS
4.86%
22.39%
6.87%
21.49%
9.53%
2.90%
20.48%
2,210
15.70
0.74
2.24%
—
2.3
—
—
0.10
8/6/2007
TFREMU
-1.63%
-5.11%
-5.51%
13.33%
12.69%
1.20%
24.40%
360
8.77
0.72
3.36%
1.07
34.8
3.40%
0.08
0.02
7/9/2007
FTS5ALEM
-0.09%
-2.05%
-3.06%
14.75%
10.66%
0.94%
23.94%
889
12.09
1.14
2.66%
—
29.4
—
—
0.01
7/9/2007
FTSE RAFI Global ex US Real Estate Index
TFRXRUSD
-2.61%
2.04%
4.61%
21.67%
—
4.78%
—
152
9.98
2.69
3.66%
1.11
12.5
5.29%
0.34
0.17
6/11/2008
FTSE EPRA/NAREIT Global ex US Index
TENHEU
-0.32%
-2.58%
5.45%
18.49%
—
2.96%
—
340
11.39
3.60
3.42%
—
10.0
—
—
0.11
6/11/2008
FR10XTR
2.49%
23.25%
15.38%
26.41%
9.06%
17.18%
1,020
16.04
1.12
2.12%
1.13
98.7
4.93%
0.32
0.41
11/28/2005
102.8
NORTH AMERICA
FTSE RAFI US 1000 Index
Russell 1000
FTSE RAFI US Mid/Small 1500 Index
Russell 2000
FTSE RAFI US 100 Real Estate Index
FTSE EPRA/NAREIT United States Index
FTSE RAFI Canada Index
FTSE All World Series Canada
9.33%
RU10INTR
2.05%
22.41%
14.75%
21.73%
7.80%
7.50%
15.01%
1,016
18.09
1.69
1.80%
—
—
—
0.38
11/28/2005
FR15USTR
1.61%
28.91%
14.41%
30.86%
11.33%
10.56%
21.78%
1,511
19.45
0.86
1.46%
1.13
2.0
5.46%
0.49
0.40
5/4/2006
RU20INTR
1.12%
24.90%
13.18%
24.31%
8.53%
7.88%
19.74%
1,976
21.29
1.28
1.27%
—
1.9
—
—
0.32
5/4/2006
TFRURUSD
8.15%
2.27%
10.08%
33.19%
10.53%
-
100
18.14
4.63
4.80%
0.96
12.5
6.41%
0.52
0.31
6/11/2008
FNCOTR
10.15%
4.58%
10.52%
28.69%
8.12%
7.18%
26.34%
119
40.63
6.56
3.65%
—
14.4
—
—
0.23
6/11/2008
FRCANTR
1.55%
7.76%
1.61%
19.75%
11.45%
8.59%
21.16%
90
16.19
1.49
3.16%
1.00
33.7
4.51%
0.39
0.33
11/28/2005
FTS1CA
1.73%
6.78%
-0.95%
14.96%
9.97%
6.84%
21.53%
75
16.68
1.82
2.80%
—
38.0
—
—
0.24
11/28/2005
TRDAPXJU
1.45%
1.52%
3.34%
20.51%
12.87%
9.00%
22.10%
176
13.47
0.75
3.21%
1.06
46.5
5.38%
0.45
0.33
11/20/2006
FTS5APXJ
1.09%
2.66%
2.08%
17.89%
10.99%
6.59%
22.36%
354
13.60
1.13
3.08%
—
45.3
—
—
0.23
11/20/2006
-
AUSTRALIA/ASIA
FTSE RAFI Developed Asia Pacific ex Japan Index
FTSE All World Series Developed Asia Pacific Ex Japan
FTSE RAFI Australia Index
FTSE All World Series Australia
FTSE RAFI Japan Index
FTSE All World Series Japan
FRAUSTR
5.90%
1.03%
7.17%
21.52%
12.28%
10.74%
23.98%
67
16.42
1.39
4.35%
1.04
54.6
3.47%
0.37
0.36
11/28/2005
FTS5APXJ
5.87%
1.52%
4.73%
20.03%
11.82%
9.47%
24.26%
101
16.48
1.77
4.18%
—
53.9
—
—
0.31
11/28/2005
FRJPNTR
-5.44%
9.81%
4.95%
11.17%
3.29%
1.96%
16.24%
267
12.60
0.50
2.10%
1.05
31.2
2.90%
0.39
0.03
11/28/2005
FTS1JN
-5.37%
8.08%
5.71%
10.45%
2.16%
0.82%
15.67%
461
13.83
0.73
1.90%
—
32.3
—
—
-0.04
11/28/2005
EUROPE
FTSE RAFI Europe Index
FTSE All World Developed Europe
FTSE RAFI Developed Europe Mid Small Index
FTSE Global Smallcap Series Developed Europe
FTSE RAFI Eurozone Index
TFREUU
3.97%
35.36%
7.94%
19.54%
8.85%
5.13%
22.87%
478
13.91
0.70
3.51%
1.11
68.0
5.14%
0.05
0.15
5/4/2006
FTS5DEUR
2.27%
25.48%
8.90%
18.26%
8.17%
4.89%
20.20%
510
15.80
1.00
3.14%
—
70.7
—
—
0.17
5/4/2006
TFRDEUSU
7.04%
40.20%
11.54%
26.37%
12.13%
8.28%
24.43%
554
16.22
0.74
2.24%
1.08
3.5
4.12%
0.14
0.27
5/4/2006
FSMUDE
6.57%
40.93%
13.33%
26.04%
12.09%
7.69%
22.74%
721
15.93
0.78
2.23%
—
2.7
—
—
0.26
5/4/2006
FREZTR
5.86%
47.96%
5.73%
17.62%
8.68%
4.52%
25.96%
253
15.65
0.61
3.18%
1.12
55.7
5.79%
0.13
0.11
5/4/2006
FTSEurofirst 300 Eurozone
ETOPE300
2.55%
33.60%
7.27%
15.82%
7.41%
3.76%
22.96%
170
16.88
0.84
2.92%
—
62.4
—
—
0.10
5/4/2006
FTSE RAFI Switzerland Index
FRCHETR
5.24%
21.13%
12.54%
22.36%
10.63%
9.43%
18.93%
35
16.72
1.46
3.22%
1.07
126.3
5.28%
-0.03
0.40
11/28/2005
FTS1SZ
5.12%
20.04%
14.44%
20.96%
10.93%
9.60%
16.65%
44
18.70
1.94
2.87%
—
136.2
—
—
0.46
11/28/2005
FRGBRTR
-0.65%
20.16%
10.68%
20.51%
7.95%
1.99%
20.65%
101
10.87
0.74
4.17%
1.07
81.0
5.47%
-0.01
0.05
3/19/2007
TUKXG
-0.61%
17.10%
9.04%
18.57%
6.94%
2.05%
17.82%
101
13.29
0.97
3.66%
—
73.3
—
—
0.06
3/19/2007
FTSE All World Series Switzerland
FTSE RAFI UK 100 Index
FTSE 100 Index
Note: Performance Summary Returns are derived from Bloomberg and FactSet. All returns are total returns reported in USD. All returns greater than one year are annualized. Index returns prior to
inception date are simulated. *Index Launch Date returns are calculated using the first full month of returns following index launch. **Annualized sample standard deviation using monthly returns.
8
Historical Beta is calculated from monthly returns with respect to cap-weighted benchmark on a rolling five-year basis.
Calculated using the first full month of returns following index launch relative to the cap-weighted benchmark. Minimum one year return history.
1
2
9
RUSSELL FUNDAMENTAL PERFORMANCE CHARACTERISTICS
AS OF MARCH 2014
RUSSELL FUNDAMENTAL PERFORMANCE VS. CAP-WEIGHTED BENCHMARK
RUSSELL FUNDAMENTAL CHARACTERISTICS VS. CAP-WEIGHTED BENCHMARK
Index
10-Yr
Launch Date Standard
Return* Deviation**
Bloomberg
Ticker
YTD
1-Yr
3-Yr
5-Yr
10-Yr
Number of
Companies
RUFGBLTU
1.93%
21.46%
10.24%
21.18%
10.12%
9.86%
17.13%
4,462
—
1.56%
18.05%
9.32%
19.35%
7.90%
9.15%
17.01%
9,848
RUFGXUTU
1.74%
20.68%
6.12%
18.12%
9.94%
5.61%
18.91%
3,015
—
1.17%
13.99%
5.04%
17.20%
8.08%
4.94%
19.24%
6,856
RUFGDTU
2.38%
24.12%
11.68%
21.43%
9.56%
11.03%
16.65%
3,458
Weighted
Avg Market
Cap ($B)
Annualized
Tracking Error
Since Launch2
1.08
68.9
1.73%
—
70.1
—
1.07
46.9
2.51%
—
46.3
—
1.08
73.7
1.75%
P/S
Dividend
Yield
Beta1
14.37
0.76
2.61%
16.13
1.23
2.27%
13.20
0.63
3.01%
14.49
0.99
2.76%
15.26
0.80
2.60%
P/E
Annualized Info
Ratio Since
Launch2
Annualized
Sharpe Ratio
Since Launch2
Index Launch Date
0.40
0.67
2/24/2011
—
0.63
2/24/2011
0.27
0.32
2/24/2011
—
0.29
2/24/2011
0.27
0.76
2/24/2011
GLOBAL/EMERGING
Russell Fundamental Global Index
Russell Global Index
Russell Fundamental Global ex US Index
Russell Global ex US Index Index
Russell Fundamental Developed Index
Russell Developed Index
Russell Fundamental Developed ex US Index
Russell Developed ex US Index
Russell Fundamental Emerging Markets Index
Russell Emerging Markets Index
—
1.79%
20.67%
11.07%
19.84%
7.78%
10.55%
16.44%
6,906
16.94
1.28
2.25%
—
75.4
—
—
0.75
2/24/2011
RUFDXUTU
2.54%
25.67%
7.96%
18.12%
8.95%
6.93%
18.28%
2,011
14.44
0.65
3.08%
1.08
51.0
2.63%
0.15
0.40
2/24/2011
7.70%
—
1.56%
18.35%
7.27%
17.58%
6.52%
18.49%
3,914
15.54
1.00
2.86%
—
51.4
—
RUFGETRU
-1.84%
-0.09%
-2.05%
16.49%
13.83% -0.20%
23.94%
—
—
—
—
—
—
2.28%
—
-0.20%
0.78%
-1.70%
16.43%
10.71%
0.06%
24.24%
2,942
11.77
0.95
2.38%
—
28.5
—
RUFUSTU
2.19%
22.50%
15.46%
24.84%
9.97%
15.25%
16.02%
1,447
16.22
1.07
2.08%
1.07
98.4
1.64%
—
0.40
2/24/2011
-0.01
2/24/2011
—
0.00
2/24/2011
0.53
1.18
2/24/2011
-0.11
NORTH AMERICA
Russell Fundamental US Index
Russell 3000 Index
Russell Fundamental US Index Large Company
Russell 1000 Index
Russell Fundamental US Index Small Company
Russell 2000 Index
Russell Fundamental Canada Index
Russell Canada Index
RU30INTR
1.97%
22.61%
14.61%
21.93%
7.86%
14.36%
15.30%
2,992
18.27
1.65
1.76%
—
94.8
—
—
1.13
2/24/2011
RUFUSLTU
2.15%
22.04%
15.55%
24.20%
9.69%
15.27%
15.57%
603
15.90
1.08
2.15%
1.06
108.0
1.80%
0.47
1.21
2/24/2011
RU10INTR
2.05%
22.41%
14.75%
21.73%
7.80%
14.42%
15.01%
1,016
18.09
1.69
1.80%
—
102.8
—
—
1.15
2/24/2011
RUFUSSTU
2.62%
26.95%
14.62%
30.22%
12.33%
15.00%
20.78%
844
20.96
0.99
1.34%
1.09
4.4
2.41%
0.52
0.88
2/24/2011
RU20INTR
1.12%
24.90%
13.18%
24.31%
8.53%
13.75%
19.74%
1,976
21.29
1.28
1.27%
—
1.9
—
—
0.84
2/24/2011
RUFUSSTU
2.36%
8.96%
1.85%
19.82%
10.93%
9.37%
20.21%
172
16.83
1.34
2.91%
0.97
27.4
2.97%
1.40
0.77
10/4/2011
RU20INTR
2.32%
7.32%
-1.15%
16.92%
9.86%
5.13%
21.98%
400
16.99
1.73
2.72%
-
30.1
—
—
0.40
10/4/2011
RUFAPTU
-1.64%
8.25%
4.81%
15.83%
8.63%
3.73%
16.55%
1,545
13.23
0.51
2.46%
0.97
29.7
3.65%
0.03
0.27
2/24/2011
—
-1.03%
5.38%
3.79%
15.42%
6.74%
3.61%
18.25%
3,981
13.37
0.92
2.45%
—
32.8
—
—
0.24
2/24/2011
RUFUSSTU
5.59%
1.47%
7.28%
22.93%
14.37%
11.83%
24.02%
115
16.38
1.11
4.14%
1.01
46.4
1.71%
1.24
0.62
10/4/2011
RU20INTR
6.31%
1.61%
5.33%
21.79%
12.74%
9.66%
24.77%
250
16.21
1.69
4.15%
—
50.2
—
—
0.50
10/4/2011
RUFUSSTU
-3.68%
12.04%
6.18%
12.05%
4.43%
10.11%
14.70%
693
13.78
0.45
1.95%
1.01
24.6
2.88%
0.74
10/4/2011
RU20INTR
-4.76%
7.99%
6.18%
10.97%
2.31%
10.26%
15.51%
1,241
14.08
0.71
1.90%
—
29.0
—
0.75
10/4/2011
RUFEUTU
3.68%
32.73%
8.20%
19.70%
10.03%
7.78%
21.29%
1,016
12.89
0.66
3.35%
1.10
61.4
2.86%
—
2.43%
25.51%
8.54%
19.11%
8.36%
8.23%
20.53%
1,869
15.01
0.96
3.01%
—
61.7
—
RUFUSSTU
5.89%
45.00%
6.87%
17.71%
9.29%
27.19%
23.52%
486
15.20
0.57
3.13%
1.08
57.1
AUSTRALIA/ASIA
Russell Fundamental Asia Pacific Index
Russell Asia Pacific Index
Russell Fundamental Australia Index
Russell Australia Index
Russell Fundamental Japan Index
Russell Japan Index
-0.05
—
EUROPE
Russell Fundamental Europe Index
Russell Europe Index
Russell Fundamental Eurozone Index
Russell Developed Eurozone Index
Russell Fundamental Switzerland Index
Russell Switzerland Index
Russell Fundamental United Kingdom Index
Russell UK Index
3.52%
RU20INTR
3.57%
35.14%
7.83%
17.42%
8.05%
24.68%
22.92%
797
16.91
0.78
2.86%
—
55.2
—
RUFUSSTU
4.52%
20.64%
11.92%
22.12%
11.73%
18.59%
17.50%
78
18.07
1.16
3.09%
1.01
111.0
1.68%
-0.15
0.37
2/24/2011
—
0.43
2/24/2011
0.70
1.34
4/2/2012
—
-0.11
1.38
4/2/2012
1.29
10/4/2011
RU20INTR
5.01%
20.79%
12.26%
20.20%
10.82%
18.77%
16.91%
146
18.88
1.56
2.81%
—
121.6
—
—
1.37
10/4/2011
RUFUSSTU
-0.06%
22.18%
12.95%
20.72%
9.12%
17.54%
18.43%
250
10.39
0.83
4.04%
1.07
69.7
1.47%
1.09
1.26
10/4/2011
RU20INTR
-0.46%
19.36%
11.14%
20.12%
7.55%
15.91%
17.90%
425
13.40
1.16
3.42%
—
58.0
—
—
1.15
10/4/2011
Note: performance summary returns are derived from Bloomberg and FacSet. All returns are total returns reported in USD. All returns greater than one year are annualized. Index returns prior to
inception date are simulated. *Index launch date returns are calculated using the first full month of returns following index launch. **Annualized sample standard deviation using monthly returns.
10
Historical Beta is calculated from monthly returns with respect to cap-weighted benchmark on a rolling five-year basis.
Calculated using the first full month of returns following index launch relative to the cap-weighted benchmark. Minimum one year return history.
1
2
11
RAFI® PERFORMANCE CHARACTERISTICS
AS OF MARCH 2014
RAFI PERFORMANCE VS. CAP-WEIGHTED BENCHMARK
Bloomberg Ticker
5-Yr
RAFI CHARACTERISTICS VS. CAP-WEIGHTED BENCHMARK
10-Yr
10-Yr
Index Launch Standard
Date Return* Deviation**
Number of
Companies
P/E
P/S
Dividend
Yield
Beta
Weighted
Avg Market
Cap ($B)
Annualized
Tracking Error
Since Launch2
Annualized Info
Ratio Since
Launch2
Annualized
Sharpe Ratio
Since Launch2
—
0.74
11/1/2010
Index Launch Date
YTD
1-Yr
3-Yr
RAFILSTR
1.19%
7.83%
3.29%
11.80%
4.93%
4.76%
11.26%
457
—
—
—
—
—
—
RAFI US Equity Long/Short Long Sub Index
RAFILSLT
2.73%
28.83%
16.71%
32.59%
10.01%
20.90%
22.46%
228
14.98
0.57
1.89%
1.42
51.3
6.36%
0.79
1.34
11/1/2010
RAFI US Equity Long/Short Short Sub Index
RAFILSST
1.48%
19.27%
13.38%
19.75%
7.25%
15.84%
15.47%
229
23.24
3.17
1.32%
1.09
54.5
3.00%
-0.55
1.22
11/1/2010
RU10INTR
2.05%
22.41%
14.75%
21.73%
7.80%
17.51%
15.01%
1,016
18.09
1.69
1.80%
—
102.8
—
—
1.41
11/1/2010
RALVSUST
2.83%
16.48%
15.45%
19.94%
9.85%
19.00%
11.56%
242
16.22
1.32
2.65%
0.64
124.8
3.87%
-0.94
2.07
9/21/2012
1
LONG/SHORT
RAFI US Equity Long/Short Index
Russell 1000 Index
LOW VOLATILITY
RAFI Low Volatility US Index
Russell 1000
RAFI Low Volatility Developed Markets Index
FTSE All World Developed Index
RAFI Low Volatility Developed Markets ex US Index
FTSE All World Series Developed Ex US
RAFI Low Volatility Emerging Markets Index
FTSE All Emerging
RU10INTR
2.05%
22.41%
14.75%
21.73%
7.80%
22.75%
15.01%
1,016
18.09
1.69
1.80%
—
102.8
—
—
2.52
9/21/2012
RALVDEVT
0.79%
14.92%
10.96%
16.11%
10.25%
18.78%
12.34%
395
14.41
0.93
3.00%
0.63
99.1
5.31%
-0.30
1.92
9/13/2012
FTS5DEV
1.32%
19.45%
10.61%
18.86%
7.51%
20.41%
16.17%
2,060
16.54
1.28
2.32%
—
85.1
—
—
2.23
9/13/2012
RALVDXUT
0.63%
14.79%
7.86%
15.35%
10.47%
20.27%
14.07%
368
13.72
0.79
3.16%
0.65
57.1
6.64%
0.17
1.83
10/31/2012
FTS5DXUS
0.70%
16.43%
6.48%
16.51%
7.42%
19.09%
18.42%
1,431
15.10
0.99
2.88%
—
57.0
—
—
1.73
10/31/2012
RALVEMT
-0.33%
-1.16%
3.08%
19.84%
16.58%
4.94%
18.03%
316
12.45
0.72
3.17%
0.77
29.9
3.85%
0.08
0.43
7/3/2012
FTS5ALEM
-0.09%
-2.05%
-3.06%
14.75%
10.66%
4.62%
23.94%
889
12.09
1.14
2.66%
—
29.4
—
—
0.35
7/3/2012
YTD
1-Yr
3-Yr
5-Yr
10-Yr
Index Launch
Date Return*
10-Yr
Standard
Deviation
Bloomberg Ticker
Consituents
Weighted
Average
Coupon
Weighted
Average
Maturity
Yield to
Maturity
Modified
Duration
Weighted
Average
Credit Rating3
Annualized
Tracking Error
Since Launch2
Annualized
Annualized Info Ratio Sharpe Ratio
Since Launch2
Since Launch2
Index Launch Date
FIXED INCOME
RAFI Bonds US Investment Grade Master Index
ML Corporate Master
RAFI Bonds US Investment Grade 1-10 Index
ML US Corporate 1-10 Year
RAFI Bonds US High Yield Master Index
ML Corporate Master II High Yield BB-B
RAFI Bonds US High Yield 1-10 Index
ML Corporate Master II High Yield BB-B 1-10Yr
—
2.97%
0.93%
5.96%
9.34%
5.57%
6.49%
5.82%
2,008
4.25
10.23
2.74%
6.90
A3
0.71%
C0A0
2.97%
1.42%
6.04%
9.89%
5.28%
6.73%
5.95%
6,114
4.77
10.03
3.22%
6.67
—
—
RAFIIG
2.05%
0.62%
4.92%
8.12%
5.33%
5.73%
4.63%
508
4.34
5.67
2.46%
4.88
Baa1
1.01%
C5A0
1.85%
1.31%
5.04%
8.77%
4.86%
5.89%
4.91%
4,460
4.31
5.08
2.62%
4.37
—
—
—
2.61%
5.42%
8.60%
17.82%
9.15%
10.24%
9.45%
457
6.45
6.69
0.53%
4.02
Ba3
1.37%
HOA4
2.98%
6.92%
8.51%
15.80%
7.86%
10.29%
9.15%
1,760
6.90
6.76
5.39%
5.08
—
—
RAFIHY
2.70%
5.67%
8.27%
14.85%
8.02%
9.76%
8.26%
256
6.32
6.27
0.46%
3.82
Ba3
1.14%
-0.33
—
-0.16
—
-0.03
—
-0.09
1.56
12/31/2009
1.61
12/31/2009
1.74
12/31/2009
1.78
12/31/2009
1.89
12/31/2009
1.78
12/31/2009
1.85
12/31/2009
H5A4
2.80%
6.87%
8.21%
15.01%
7.47%
9.86%
8.97%
1,623
6.87
5.96
5.30%
4.76
—
—
—
1.75
12/31/2009
Citi RAFI Sovereign Developed Markets Bond Index
Master
CRFDMU
2.49%
2.98%
3.82%
5.41%
5.31%
2.51%
7.32%
923
3.27
7.92
1.75%
6.17
Aa2
3.19%
0.98
0.48
1/23/2012
Merrill Lynch Global Governments Bond Index II
W0G1
2.68%
1.04%
2.00%
3.92%
4.28%
-0.68%
6.70%
943
2.71
8.68
1.42%
6.76
—
—
—
-0.18
1/23/2012
Citi RAFI Sovereign Developed Markets Bond Index
Liquid
CRFDU
2.32%
2.77%
3.46%
5.20%
5.21%
2.25%
7.30%
58
2.33
7.99
1.62%
5.98
Aa2
3.19%
0.90
0.43
1/23/2012
Merrill Lynch Global Governments Bond Index II
W0G1
2.68%
1.04%
2.00%
3.92%
4.28%
-0.68%
6.70%
943
2.71
8.68
1.42%
6.76
—
—
—
-0.18
1/23/2012
CRFELMU
1.62%
-9.69%
—
—
—
-0.15%
—
251
7.17
7.82
6.83%
5.11
Baa2
1.56%
-0.33
-0.02
1/23/2012
JGENVUUG
1.90%
-7.14%
—
—
—
0.38%
—
—
—
—
—
—
—
—
—
0.03
1/23/2012
CRFEMLU
1.67%
-9.53%
—
—
—
0.04%
—
33
6.50
7.35
6.82%
5.03
Baa2
1.63%
-0.20
0.00
1/23/2012
JGENVUUG
1.90%
-7.14%
—
—
—
0.38%
—
—
—
—
—
—
—
—
—
0.03
1/23/2012
Citi RAFI Sovereign Emerging Markets Local Currency
Bond Index Master
JPMorgan GBI-EM Global Diversified Index
Citi RAFI Sovereign Emerging Markets Local Currency
Bond Index Liquid
JPMorgan GBI-EM Global Diversified Index
Note: performance summary returns are derived from Bloomberg and FacSet. All returns are total returns reported in USD. All returns greater than one year are annualized. Index returns prior to
inception date are simulated. *Index launch date returns are calculated using the first full month of returns following index launch. **Annualized sample standard deviation using monthly returns.
12
Historical Beta is calculated from monthly returns with respect to cap-weighted benchmark on a rolling five-year basis.
Calculated using the first full month of returns following index launch relative to the cap-weighted benchmark. Minimum one year return history.
3
Ratings data from Moody’s Investors Service, Inc.
1
2
13
Disclosures
The material contained in this document is for general information purposes only. It is not intended as an offer or a solicitation for the purchase and/or sale of
any security or financial instrument, nor is it advice or a recommendation to enter into any transaction. Research results relate only to a hypothetical model of
past performance (i.e., a simulation) and not to an asset management product. No allowance has been made for trading costs or management fees, which
would reduce investment performance. Actual results may differ. Index returns represent back-tested performance based on rules used in the creation of the
index, are not a guarantee of future performance, and are not indicative of any specific investment. Indexes are not managed investment products and cannot
be invested in directly. This material is based on information that is considered to be reliable, but Research Affiliates® and its related entities (collectively
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