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Research Affiliates launches RAFI Multi-Factor and Single-Factor indices


Research Affiliates has launched the RAFI Multi-Factor and Single-Factor indices, based on their latest research on equity factors. The new suite aims to provide diversified exposures through allocations to the empirically robust factor strategies of value, low volatility, quality, momentum, and size.

RAFI Multi-Factor Indices combine five single-factor strategies. Four of these factor strategies—RAFI Value Factor Index, RAFI Low Volatility Factor Index, RAFI Quality Factor Index, and RAFI Size Factor Index—and fundamental indices will also be available in a variety of geographic categories.
The RA Momentum Factor Index will not be available outside the RAFI Multi-Factor index suite due to the high turnover and high trading costs of the strategy as a stand-alone index.

These indices will be published through RAFI Indices, LLC, a subsidiary of Research Affiliates Global Holdings, LLC, and calculated by Solactive AG. Founded in 2007 and based in Frankfurt, Germany, Solactive focuses on tailor-made indices across all asset classes, currently calculating over 3,500 indices.

Rob Arnott, Chairman and CEO, Research Affiliates says: “Our new RAFI Dynamic Multi-Factor strategy addresses two critical weaknesses in many existing multi-factor portfolios: first, they may hold too much in a factor that is trading at high valuations relative to its history, and second, they work well only on paper, without regard to turnover, trading costs, and or capacity. In a series of publications last year, we shared our insights on why we believe emphasizing factors or strategies that are trading cheap relative to their own historical norms, and deemphasizing the more expensive factors or strategies, can improve performance. Now we offer a product that reflects these insights.”

Chris Brightman, (pictured) Chief Investment Officer, Research Affiliates says: “From the hundreds of published factors purporting to predict equity returns, we have identified the few we believe can provide market-beating performance. Our new multi-factor strategies, along with the new single-factor RAFI indices, provide a comprehensive suite that we have conviction will benefit investors.”

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