Global Beta All Cap Multi-Factor Strategy

 

The Strategy

The Global Beta All Cap Multi Factor index strategy rotates the Global Beta Value-Quality Factor Index, the Global Beta Momentum-Growth Factor Index, the Global Beta Low Beta Factor Index, and the Global Beta Size Factor index tactically.  The rotation is based on each indexes’ current price to sales relative to its historical moving average. If the current price to sales is one standard deviation above the historical average, that index is assigned as underweight.   If the current price to sales is one standard deviation below the historical average, that index is assigned as overweight. If the current price to sales falls within the mean (i.e.: between 1 standard deviation below and above the historical average), then it is assigned an equal weight.  The strategy is a fully invested strategy; therefore, any excess weight that is not invested based on the aforementioned parameters are then prorated amongst the 4 indexes.

Risk Characteristics (01/1997 – 04/2019)


Data sources from Factset
This strategy was seeded by Global Beta Advisors on 12/14/18, which currently holds a market value of $224,260 as of 4/30/19
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points  Please see important disclosures.

 

Calendar Year Performance


Data sources from Factset
This strategy was seeded by Global Beta Advisors on 12/14/18, which currently holds a market value of $224,260 as of 4/30/19
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points  Please see important disclosures.
YTD – 03/2019

 

MultiHorizon (04/2019)


Data sources from Factset
This strategy was seeded by Global Beta Advisors on 12/14/18, which currently holds a market value of $224,260 as of 4/30/19
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points  Please see important disclosures.

 

Factor Attribution (04/2019)


Data sources from Factset
Please see factor definitions 

Attribution (03/31/19 – 04/30/19)

Global Beta All Cap Multi-Factor Index S&P 1500 Attribution Analysis
Port. Average Weight Port. Total Return Port. Contrib. To Return Bench. Average Weight Bench. Total Return Bench. Contrib. To Return Geometric Allocation Effect Geometric Selection Effect Geometric Total Effect
Total (Gross) 100.00 2.46 2.46 100.00 4.04 4.04 -1.26 -0.27 -1.52
Total (Net) 100.00 2.44 2.44 100.00 4.04 4.04 -1.27 -0.28 -1.54
Communication Services 4.96 -1.61 -0.07 9.58 6.44 0.61 -0.10 -0.39 -0.49
Consumer Discretionary 14.66 6.37 0.90 10.51 5.70 0.59 0.06 0.09 0.15
Consumer Staples 16.57 2.86 0.46 6.78 2.51 0.17 -0.15 0.05 -0.09
Energy 8.93 -0.29 -0.02 5.26 -0.09 0.00 -0.15 -0.01 -0.17
Financials 5.64 9.39 0.51 13.33 8.83 1.15 -0.35 0.03 -0.32
Health Care 17.76 -2.13 -0.39 13.51 -2.58 -0.37 -0.27 0.07 -0.20
Industrials 9.80 4.86 0.46 10.17 4.48 0.46 -0.00 0.03 0.03
Information Technology 9.55 6.46 0.60 21.00 6.45 1.34 -0.26 0.00 -0.26
Materials 3.54 -0.06 -0.00 3.00 3.13 0.09 -0.00 -0.11 -0.12
Real Estate 2.32 -1.15 -0.03 3.58 -0.43 -0.02 0.06 -0.02 0.04
Utilities 6.27 0.78 0.05 3.28 0.86 0.03 -0.10 -0.01 -0.10