Global Beta Size Factor Index

 

The Strategy

The Global Beta Size Index strategy takes the 120 securities with 12-month trailing revenue growth rates that rank in the highest quintile in the S&P 600.  We use their 12-month trailing revenue, relative to each other, to weight those 120 securities. To manage concentration risk, Global Beta Advisors imposes a 5% security issuer cap on the portfolio.

Risk Characteristics (01/1997 – 02/2019)


Data sources from Factset
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
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 – 02/2019

 

Multihorizon (02/2019)


Data sources from Factset
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 (02/2019)


Data sources from Factset
Please see factor definitions 

Attribution (12/31/18 – 02/28/19)

Global Beta Size Factor Index S&P Smallcap 600 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 25.25 25.25 100.00 15.45 15.45 1.57 6.81 8.38
Total (Net) 100.00 25.22 25.22 100.00 15.45 15.45 1.55 6.80 8.35
Communication Services 3.46 16.19 0.62 2.07 13.32 0.29 -0.02 0.10 0.08
Consumer Discretionary 18.17 31.00 5.52 13.95 12.86 1.86 -0.09 2.76 2.68
Consumer Staples 1.72 4.45 0.09 3.50 11.11 0.40 0.07 -0.10 -0.03
Energy 20.02 26.57 5.64 3.73 21.08 0.78 0.88 0.93 1.82
Financials 7.94 17.43 1.40 18.57 14.04 2.64 0.14 0.23 0.37
Health Care 9.00 17.32 1.59 11.58 12.51 1.48 0.07 0.40 0.48
Industrials 21.46 28.77 5.99 18.65 16.86 3.09 0.04 2.11 2.15
Information Technology 8.66 21.01 1.83 14.49 19.90 2.76 -0.22 0.10 -0.12
Materials 8.64 28.04 2.45 4.39 26.21 1.07 0.39 0.15 0.54
Real Estate 0.93 12.91 0.13 6.74 14.46 0.99 0.05 -0.01 0.04
Utilities 2.35 4.02 0.09 0.26 0.26