FTSE Russell Factsheet

FTSE RAFI™ US 500 Index

Data as at: 31 January 2024
bmkTitle1

FTSE partners with Research Affiliates on the innovative FTSE RAFI Index Series. Index FEATURES
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 Coverage
determinants of the index weights. Consequently the indices are less prone to excessive Companies with the top 500 RAFI™
concentration arising from market fads, which can result in over-exposure to individual fundamental scores, selected from common
companies, sectors or countries.
stocks from the New York Stock Exchange
and NASDAQ National Market System that
The FTSE RAFI™ US 500 Index comprises the 500 US-listed companies with the largest RAFI™
meet the FTSE Global Equity Index Series
fundamental scores selected from a constituent universe of all common stocks on the New York
Stock Exchange (NYSE) and NASDAQ National Market System. The universe is screened for screening criteria are eligible for
nationality, free float, liquidity and multiple line rules according to the FTSE Global Equity Index consideration for the indexes.
Series Ground Rules. Objective
5-Year Performance - Total Return The index is designed for the creation of
(USD)
index tracking funds, derivatives and as a
200
performance benchmark.
180
Liquidity
160
Stocks are screened to ensure that the index
140
is tradable.
120

100
Transparency

80 Index methodologies are freely available on

Jan-2019 Jan-2020 Jan-2021 Jan-2022 Jan-2023 Jan-2024 the FTSE Russell website.
Data as at month end

Availability
FTSE RAFI US 500 Index FTSE Global Equity Index Series wi USA All Cap Index
The index is calculated based on price and
total return methodologies, both real time
Performance and Volatility - Total Return and end-of-day.

Index (USD) Return % Return pa %* Volatility %** Industry Classification Benchmark

3M 6M YTD 12M 3YR 5YR 3YR 5YR 1YR 3YR 5YR (ICB)
FTSE RAFI US 500 Index 14.8 5.9 1.2 11.5 39.4 83.9 11.7 13.0 11.7 15.6 18.9 Index constituents are categorized in
FTSE Global Equity Index Series wi USA
16.4 6.0 1.2 19.6 30.6 90.0 9.3 13.7 12.8 17.8 18.9 accordance with the Industry Classification
All Cap Index
Benchmark (ICB), the global standard for
* Compound annual returns measured over 3 and 5 years respectively industry sector analysis.
** Volatility – 1YR based on 12 months daily data. 3YR based on weekly data (Wednesday to Wednesday). 5YR based on monthly data

Year-on-Year Performance - Total Return

Index % (USD) 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023
FTSE RAFI US 500 Index 13 -2.2 17.1 16.7 -7.8 28.3 7.6 31.6 -6.7 15.8

FTSE Global Equity Index Series

12.5 0.5 12.5 21.5 -5.2 31.3 21.1 25.7 -19.2 26.3
wi USA All Cap Index

Source: FTSE Russell as at 31 January 2024. Past performance is no guarantee of future results. 1 of 3
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.
FTSE RAFI™ US 500 Index Data as at: 31 January 2024

Return/Risk Ratio and Drawdown - Total Return INFORMATION

Index (USD) Return/Risk Ratio Drawdown (%)
Index Universe
1YR 3YR 5YR 10YR 1YR 3YR 5YR 10YR
All common stocks from the New York Stock
FTSE RAFI US 500 Index 1.0 0.7 0.7 0.7 -9.6 -19.2 -37.5 -37.5
Exchange American Stock Exchange (NYSE
FTSE Global Equity Index Series wi USA All
1.5 0.5 0.7 0.8 -10.6 -25.2 -34.9 -34.9
Cap Index AMEX) and NASDAQ National Market System

Return/Risk Ratio – based on compound annual returns and volatility in Performance and Volatility table
Base Date
Drawdown - based on daily data
30 September 2005
Top 10 Constituents - FTSE RAFI™ US 500 Base Value
Constituent ICB Sector FTSE RAFI US 500 (Wgt %) LMSUSA (Wgt %) Diff %
5000
Microsoft Corp Software and Computer Services 2.92 6.37 -3.45
Index Calculation
Apple Inc. Technology Hardware and Equipment 2.58 5.86 -3.28

JPMorgan Chase & Co Banks 2.33 1.08 1.25

Real-time and end-of-day indices available

Amazon.Com Retailers 2.31 3.01 -0.70 End-of-Day Distribution

Berkshire Hathaway B Investment Banking and Brokerage Services 2.31 1.07 1.24 Via FTP and email
Meta Platforms Inc Software and Computer Services 2.00 1.86 0.14
Currency
Exxon Mobil Corporation Oil, Gas and Coal 1.76 0.90 0.86
USD, EUR, GBP, JPY, AUD
Intel Corp Technology Hardware and Equipment 1.50 0.39 1.11

Verizon Communications Telecommunications Service Providers 1.50 0.38 1.12 Review Dates

AT&T Telecommunications Service Providers 1.32 0.27 1.05 Annually in March

Totals 20.53 21.19

ICB Supersector Breakdown

FTSE RAFI US 500 LMSUSA

ICB Code ICB Supersector No. of Cons Wgt % No. of Cons Wgt % Diff %

1010 Technology 48 18.64 233 32.25 -13.61

1510 Telecommunications 12 5.38 32 2.20 3.19

2010 Health Care 49 10.87 219 12.05 -1.18

3010 Banks 19 7.72 99 3.50 4.22

3020 Financial Services 30 6.79 91 5.01 1.79

3030 Insurance 31 4.31 62 2.31 2.00

3510 Real Estate 33 2.34 125 2.82 -0.49

4010 Automobiles and Parts 12 1.66 25 1.59 0.07

4020 Consumer Products and Services 18 1.26 106 2.24 -0.98

4030 Media 14 1.17 32 1.34 -0.17

4040 Retailers 24 6.70 60 6.65 0.05

4050 Travel and Leisure 13 1.31 66 2.25 -0.95

4510 Food, Beverage and Tobacco 26 3.79 54 2.78 1.02

Personal Care, Drug and Grocery

4520 13 3.83 26 1.86 1.98
Stores

5010 Construction and Materials 11 0.74 49 1.03 -0.29

5020 Industrial Goods and Services 71 10.47 257 11.79 -1.32

5510 Basic Resources 11 0.94 36 0.75 0.18

5520 Chemicals 12 1.33 32 1.13 0.20

6010 Energy 27 6.63 88 4.00 2.64

6510 Utilities 35 4.12 65 2.45 1.67

Totals 509 100.00 1757 100.00

Source: FTSE Russell as at 31 January 2024. Past performance is no guarantee of future results. 2 of 3
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.
FTSE RAFI™ US 500 Index Data as at: 31 January 2024

Index Characteristics
Attributes FTSE RAFI US 500 LMSUSA
Number of constituents 509 1757

Dividend Yield % 2.22 1.43

Constituent (Wgt %)

Average 0.20 0.06

Largest 2.92 6.37

Median 0.08 0.01

Top 10 Holdings (Wgt %) 20.52 26.96

31 January 2024

bmkImage2 bmkImage3

© 2024 London Stock Exchange Group plc and its applicable group undertakings (“LSEG”). LSEG includes (1) FTSE International Limited (“FTSE”), (2) Frank
Russell Company (“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) FTSE
Fixed Income Europe Limited (“FTSE FI Europe”), (5) FTSE Fixed Income LLC (“FTSE FI”), (6) FTSE (Beijing) Consulting Limited (“WOFE”) (7) Refinitiv
Benchmark Services (UK) Limited (“RBSL”), (8) Refinitiv Limited (“RL”) and (9) Beyond Ratings S.A.S. (“BR”). All rights reserved.

FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, WOFE, RBSL, RL, and BR. “FTSE ®”, “Russell®”, “FTSE Russell®”,
“FTSE4Good®”, “ICB®”, “Refinitiv” , “Beyond Ratings®”, “WMR™” , “FR™” and all other trademarks and service marks used herein (whether registered or
unregistered) are trademarks and/or service marks owned or licensed by the applicable member of LSEG or their respective licensors and are owned, or
used under licence, by FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, WOFE, RBSL, RL or BR. FTSE International Limited is authorised and regulated
by the Financial Conduct Authority as a benchmark administrator. Refinitiv Benchmark Services (UK) Limited is authorised and regulated by the Financial
Conduct Authority as a benchmark administrator.
Research Affiliates® and Fundamental Index® are trade marks of RA. "Fundamental Index®" and/or "Research Affiliates Fundamental Index®" and/or "RAFI"
and/or all other RA trademarks, trade names, patented and patent-pending concepts are the exclusive property of Research Affiliates, LLC.

The FTSE Research Affiliates Fundamental Indexes ("FTSE Russell RAFI Indexes") are calculated by FTSE RA. All rights in and to the FTSE Russell RAFI
Indexes vest in FTSE Russell® and/or its relevant Partner(s).

All information is provided for information purposes only. All information and data contained in this publication is obtained by the LSE Group, from sources
believed by it to be accurate and reliable. Because of the possibility of human and mechanical error as well as other factors, however, such information and
Data definitions available from
data is provided "as is" without warranty of any kind. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors
make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the accuracy, timeliness, completeness, [email protected]
merchantability of any information or of results to be obtained from the use of FTSE Russell products, including but not limited to indexes, data and
analytics, or the fitness or suitability of the FTSE Russell products for any particular purpose to which they might be put. Any representation of historical data To learn more, visit lseg.com/ftse-russell;
accessible through FTSE Russell products is provided for information purposes only and is not a reliable indicator of future performance.
email [email protected]; or
No responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for (a) call your regional Client Services Team office:
any loss or damage in whole or in part caused by, resulting from, or relating to any error (negligent or otherwise) or other circumstance involved in
procuring, collecting, compiling, interpreting, analysing, editing, transcribing, transmitting, communicating or delivering any such information or data or from
EMEA
use of this document or links to this document or (b) any direct, indirect, special, consequential or incidental damages whatsoever, even if any member of
the LSE Group is advised in advance of the possibility of such damages, resulting from the use of, or inability to use, such information.
+44 (0) 20 7866 1810
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing contained
herein or accessible through FTSE Russell products, including statistical data and industry reports, should be taken as constituting financial or investment North America
advice or a financial promotion.
+1 877 503 6437
Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent
the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the Asia-Pacific
index inception date is back-tested performance. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are
based on the same methodology that was in effect when the index was officially launched. However, back-tested data may reflect the application of the Hong Kong +852 2164 3333
index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month based on revisions to the
Tokyo +81 3 6441 1430
underlying economic data used in the calculation of the index.
Sydney +61 (0) 2 7228 5659
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical,
photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSE Group
data requires a licence from FTSE, Russell, FTSE Canada, MTSNext, Mergent, FTSE FI, YB, BR and/or their respective licensors.

Source: FTSE Russell as at 31 January 2024. Past performance is no guarantee of future results. 3 of 3
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.