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Research Affiliates Launches Factor Index Suite: Top Portfolio Products

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Research Affiliates announced the launch of new RAFI Multi-Factor and Single-Factor Indices.

Building on Research Affiliates’ latest research on equity factors, the RAFI Multi-Factor index suite aims to provide diversified exposures through allocations to the factor strategies of value, low volatility, quality, momentum and size. 

“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,” Rob Arnott, Chairman and CEO, Research Affiliates, said in a statement.

In a series of publications last year, Research Affiliates shared its insights on why it believes “emphasizing factors or strategies that are trading cheap relative to their own historical norms” and “de-emphasizing the more expensive factors or strategies” can improve performance.

Now, with the new RAFI Multi-Factor and Single-Factor Indices, Research Affiliates offers a product that reflects these insights.

The indices combine five single-factor strategies — RAFI Value Factor Index, RAFI Low Volatility Factor Index, RAFI Quality Factor Index, RAFI Size Factor Index and RA Momentum Factor Index.

“From the hundreds of published factors purporting to predict equity returns, we have identified the few we believe can provide market-beating performance,” Chris Brightman, chief investment officer at Research Affiliates, said in a statement. “Our new multi-factor strategies, along with the new single-factor RAFI indices, provide a comprehensive suite that we have conviction will benefit investors.”

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. The other four single-factor strategies will be available in a variety of geographic categories, providing investors a wide range of choices to meet their unique preferences.

These indices will be published through RAFI Indices LLC, a subsidiary of Research Affiliates Global Holdings LLC, and calculated by Solactive AG.

CBOE Launches S&P 500 Range-Bound Premium Income Index

Chicago Board Options Exchange (CBOE) launched the CBOE S&P 500 Range-Bound Premium Income Index (SPRI). This new index is designed to serve as a benchmark for investors aiming for consistent income distributions while taking the view that short-term equity returns will be range-bound.

The SPRI measures the performance of a hypothetical portfolio of short-term Treasury bills and exchange-traded Flexible Exchange (FLEX) options based on the S&P 500 Index (SPX). The index strategy is designed to deliver consistent monthly income distributions that have low correlations to returns from U.S. domestic fixed income markets and are neutral to the performance of the U.S. equity markets.

The CBOE S&P 500 Range-Bound Premium Income Index is designed to track the returns of an investment that, over a period of approximately one month, seeks to provide a target level of premium income while at the same time minimizing the risk of loss through the use of options positions.

Prudential Investments Launches iPad App to Analyze Retirement Plan Wellness

Prudential Investments has launched a proprietary app called Plan Power, designed to help financial advisors serve defined contribution clients.

Available through the Apple App Store, the new iPad app helps plan sponsors evaluate their plan wellness and explore how modifying plan design could boost participants’ retirement readiness and overall financial wellness. The Plan Power app analyzes plan characteristics, including matching, auto-enrollment and escalation, which influence positive employee participation. It also looks at investment selections, including the plan’s qualified default investment allternatives and lifetime income options. The app also analyzes projected employee account balances at retirement and cost efficiency, in terms of money spent on plan design and results achieved for participants.

By analyzing a full range of plan design factors, Plan Power provides a score. This score measures how well the plan is balancing optimal retirement outcomes for participants with how much sponsors are spending to achieve those outcomes.

Beaumont Capital Management Launches ETF-based, Smart Beta Fixed Income Strategy

Beaumont Capital Management launched a new smart beta fixed income solution, the BCM Dynamic Global Fixed Income strategy.

The Dynamic Global Fixed Income process seeks risk-adjusted returns and downside protection through rules-based analysis, primarily focusing on volatility. The strategy uses a set of quantitative models seeking to identify patterns in the volatility of domestic and international fixed income markets as a whole to either take advantage of opportunities or avoid negative volatility by reallocating to defensive positioning.

— Read last week’s roundup here: LendingRobot Launches Alternative ‘Robo-Fund’: Top Portfolio Products


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