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Russell RAFI Indexes

Published in Strategy Indices

The Russell RAFI™ Index Series is designed to capture the beta of a fundamental index strategy. Combining the transparency, objectivity and broad diversification that plan sponsors expect from Russell Indexes with the advantages of the Research Affiliates‘ Fundamental Index® Strategy. The Russell RAFI™ Index Series offers a cost-efficient index-based solution for investors seeking a complement to traditional passive strategies. Using publicly available data, the Russell RAFI™ Index Series methodology selects and weights securities using the average of three fundamental measures of company size including adjusted sales, retained operating cash flow and dividends plus buybacks.

Key Features and Coverage on RIMES

For this data source, RIMES provides data for approximately 7200 companies and 225 indices. Index coverage includes: FTSE JSE RAFI All Share, FTSE RAFI All World, FTSE RAFI Developed, FTSE RAFI Emerging, FTSE 4Good RAFI, and FTSE RAFI (various countries):

  • Australia, Belgium, Brazil, Canada, China, Denmark, Finland, France, Germany, Hong Kong, India, Indonesia, Italy, Japan, Korea, Malaysia, Netherlands, Norway, Russia, Singapore, Spain, Sweden, Switzerland, Taiwan, Thailand, United Kingdom, etc.

Some of the data items available include:

  • Index Items: Dividend Amount Gross/Net, Dividend Yield, ESP Growth, ESP Variability, Gross Index, Industry Classification Code, Long Term Growth Forecast, Market Capitalization, Net Index, Number of Constituents, Opening Market Capitalization, Price Index, Price to Book Value, Price to Cash Flow per Share, Price to Earnings, Price to Sales, Region Flag, Return on Equity, Total Assets US Dollar Average Natural Log, etc.
  • Company Indices: Adjustment Factor, Cap Range Flag, Corporate Action Type, Daily Net Return, Daily Price Return, Daily Total Return, Date of Portfolio, Dividend Amount Gross, Exchange Code, Growth Factor, Industry Code, Investable Market Value, Investable Shares Outstanding, Investable Weight, Last Price Date, Market Value, Next Date of Portfolio, Opening investable Market Value , Opening Investable Weight in Index, Opening Market Value in Local Currency, Russell Global Sub Industry Code, Sector Code, Security Traded Flag, Sedol Code, Shares Outstanding, Total Return, Unadjusted Price, Value Factor, Weight in Index, etc.

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