Smart beta specialist Research Affiliates has launched a new range of multi-factor and single-factor indices.
The Rafi Multi-factor indices will combine five single-factor strategies offering exposure to: size, value, low volatility, quality and momentum.
The indices will be available in a wide variety of geographies.
The indices combine five single factor strategies:
- the Rafi Value Factor index;
- the Rafi Low Volatility Factor index;
- the Rafi Quality Factor Index;
- the Rafi Size Factor Index;
- and the RA Momentum Factor index.
These will all be available as single indices except the Momentum Factor index, which can only be accessed via the Multi-Factor Index suite.
The firm said it strongly advised against using it as a standalone strategy due to high turnover and high trading cost.
Rob Arnott, chairman and chief executive of Research Affiliates, said the new indices were the result of research conducted and published by the firm last year.
‘In a series of publications last year, we shared our insights on why we believe emphasizing factors or strategies that are trading cheap to their own historical norms, and de-emphasizing the more expensive factors or strategies, can improve performance,’ he said.
Research Affiliates was founded in 2002 and offers fundamental indices, asset allocation strategies and factor-based indices.