RAFI recently came out with a US fundamental pure value series http://www.researchaffiliates.com/Our%2 ... _Style.pdf
This is now tracked by the Powershares Fundamental Pure Value Series (PXSV) starting June 16, 2011 (note that PXSV tracked a different index before June 2011, so any historical analysis of the fund before this date is a bit meaningless. We need to look at the underlying RAFI index to get a sense of the longer term characteristics).
Interesting that the value sorts use by the RAFI pure value series, like their size sorts, use 5 year averages, rather than one year observations. This seems to have kept portfolio turnover in check, and has maintained a fairly high value and size load of the series (at least in the back test).
Using the earlier data series generously share by Rick, here is the FF size and value loads
Monthly data – Jan. 1976 – Sept 2013.
Here are the long-term annual returns compared to DFA Targeted Value, DFA Small Value (Research), and FF Small Value xU (which I understand is the benchmark for the DFA Small Value Fund, its live annual returns were used from 1994).
Source: Earlier RAFI data shared by Rick, DFA matrix book 2013 (for DFA Targeted Value and FF Small Value research), and Small Value ex. U shared by Jeff Troutner (now many years ago). http://www.ifa.com/pdf/DFA/matrix_book_us_2013.pdf
Historical returns track fairly closely the DFA series.
And RAFI has made a reasonable start at tracking the index - 1 year index return = 35.9, fund NAV return = 35.52, a difference of 0.38, close to the expense ratio of 0.39.
A few caveats:
- - The expense ratio is 0.39, as “The Advisor has contractually agreed to waive fees and/or pay certain fund expenses through at least August 31, 2014”. Without the fee waiver, operating expenses were 0.70, its not certain what will happen after August 31, 2014.
- AMU = 58.6m. If it remains low there is a risk that the fund could close or change its benchmark (as in the past with some of the powershares funds – however its seems that RAFI has stuck with the other RAFI funds with relatively low assets).