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The RAFI® US Equity Long/Short Index offers an absolute-return option in the RAFI series of indices. The index has produced equity-like returns that are uncorrelated to equities, fixed income, and even other absolute-return strategies, at somewhat lower risk levels, based on simulations.
The RAFI® long/short index is designed to generate an absolute return over a full market cycle. The index takes long positions in companies with large RAFI weights relative to their capitalization weights and short positions in companies with small RAFI weights relative to their capitalization weights. The universe is limited to U.S. domiciled publicly traded companies listed on major exchanges.
The index is reconstituted annually at which time new long and short positions are selected and weighted. Sector neutrality is achieved during this annual reconstitution. The index is rebalanced monthly such that it has equal dollar investments in both long and short positions. At any time, the index may have significant positive or negative correlations with long-only market capitalization-weighted indices.
More information on the RAFI US Equity Long/Short Index methodology can be found on these pages:
Overview | Equities | Bonds | Style | Long/Short | Performance | RAFI®
FAQ | Awards
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