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 1110 companies and 8 indices. History is available from 2003.
Index coverage includes:
- FTSE RAFI All-World Low Volatility Index
- FTSE RAFI US Low Volatility Index
Some of the data items available include Total Return, Volatility and currencies (e.g. USD, GBP, JPY, EUR, AUD, CAD, HKD, Local).