Updates
February 2009 RAFI Fundamentals Newsletter
Research Affiliates publishes a monthly newsletter called RAFI Fundamentals. February 2009’s edition discusses than when the price-to-book discount of the FTSE RAFI index is greater than 27%, the 3 year annualized outperformance of the Fundamental Index is 3.6% over the cap-weighted return in the US market. As of December 31st, 2008 the FTSE RAFI price-to-book [...]
3Mar2009 | admin | 0 comments | Continued
Can Traders Front-Run a Fundamental Index?
An advisor asked us to address the concern about the possibility of front-running a FTSE RAFI Fundamental Index. I passed the question directly to the research team at Research Affiliates and the following excerpt is the answer from Shane Shepherd, Ph.D - Senior Researcher with Research Affiliates LLC:
“The inclusion effect has been well documented in [...]
Credit Crisis Explained In A Client Friendly Video
Getting inundated with conversations revolving around explaining the complexities of the Credit Crisis? I found this video by Jonathan Jarvis which explains it from A to B for non-industry professionals. It is one of the most watched videos on the internet these days (pertaining to finance). If you are web-savvy, you can embed the video [...]
28Feb2009 | admin | 0 comments | Continued
VIDEO: Rob Arnott on Fundamental Indexing
Rob Arnott is the founder and chairman of Research Affiliates. In this video produced by Morningstar, Arnott very eloquently explains the argument behind Fundamental Indexation
Rob established Research Affiliates® in 2002 as a research-intensive asset management firm, focused on building cutting-edge new products, and bringing them to the marketplace through affiliations wherever possible. Pro-Financial Asset Management [...]
Press Release: Pro-Financial Index Funds Fire Warning Shot to ETFs
2008 marked a potential turning point for investors in Canada as long term mutual fund assets declined while passive investment vehicle assets increased. The message that active management has a tough time keeping up to benchmarks on an after-fee basis is gaining traction. But why not get the best of all worlds?
Pro-Financial Asset Management’s Fundamental [...]
Fund Codes and Commissions
For easy reference, you can click here to download the Dealer Sheet which includes the various fund codes, commission structures, and redemption schedules (if applicable) for all unit classes of the PRO FTSE RAFI funds.
18Jan2009 | admin | 0 comments | Continued
True Costs of Currency Hedging Far Outweigh Benefits
Larry MacDonald (from Canadian Business magazine and The Globe and Mail) wrote an excellent article indicating that the costs behind currency hedging are larger than you might surmise. Adding a currency hedge for 15bps might seem like a deal, but after factoring in the large tracking error introduced by applying a constant hedge seems to [...]
13Jan2009 | admin | 0 comments | Continued
December 2008 Monthly Fact Sheets
Pro FTSE RAFI Canada Index (F-Class) December 2008
Pro FTSE RAFI US Index (F-Class) December 2008
Pro FTSE RAFI Global ex-US Index (F-Class) December 2008
Pro FTSE RAFI Emerging Markets Index (F-Class) December 2008
Pro FTSE RAFI Hong Kong China Index (F-Class) December 2008
The Capital Asset Pricing Model Part II: What is Alpha?
Continuing from Part I in our discussion where we saw the formula for CAPM (the Capital Asset Pricing Model), we found that the model suggests that, given a diversified portfolio, your sensitivity (β, or “beta”) to the market factor (also known as the “equity factor”) should explain your expected return.
As a refresher, here is the [...]
The Capital Asset Pricing Model Part I: What is Beta?
CAPM stands for Capital Asset Pricing Model and the acronym is pronounced “Cap-ehm”. Basically CAPM is model that predicts what your expected return should be in your portfolio based on a few factors (actually just one factor). First let’s begin with some logic…
The “risk free” rate is equivalent to the T-bill rate (or the high [...]
