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FTSE RAFI Low Volatility Indexes

FTSE partners with Research Affiliates® on the innovative FTSE RAFI® Index Series. Index constituents are weighted using a composite of fundamental factors, including total cash dividends, free cash flow, total sales and book equity value. Prices and market values are not determinants of the index weights. Consequently the indices are less prone to excessive concentration arising from market fads, which can result in over-exposure to individual companies, sectors or countries.

The FTSE RAFI Low Volatility Index Series represents a complementary offering to the existing FTSE RAFI Index Series by applying the FTSE RAFI index methodology to a universe of low volatility securities. Global, Developed, Emerging and single country indices are available. This series is part of FTSE’s range of alternatively weighted indices, designed to measure the performance of a basket of low volatility stocks screened for value. It employs a fundamental weighting methodology whereby constituent weights are determined using fundamental measures of company size rather than market capitalization.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 1370 companies and 8 indexes. History is available from 2003. Index coverage includes FTSE RAFI Volatility Indexes. Some of the data items available include:

  • Index Items – Gross Index, Market Capitalization, Net Index, Number of Constituents, Price Index, Year to Date Ex Dividend Adjustment, etc.
  • Company Items – Adjustment Factor, Cap Range Flag, Capping Factor, Closing Market Capitalization in US Dollars, Country Code, Country Description, Currency Code, Dividend Per Share Gross, Exchange Identification Code, Flag Developed Universe, Flag Secondary Emerging Universe, Free Float Factor, Gross Adjustment Factor, Index Map Symbol, Industry Level , Investable Factor, Investable Market Value, Investable Shares Outstanding, Investable Weight, Large, Medium, Small Classification, Market Identifier Code, Market Value, Net Investible Weight, Next Date of Portfolio, Raw Adjustment Factor (Source), Sedol Code, Shares Outstanding, Total Return Investible Weight, Unadjusted Price, Weight in Index, etc.

FTSE Russell

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