Global Beta Value-Quality Factor Index Strategy

 

The Strategy

The Global Beta Value/Quality Index strategy takes the 100 securities with price-to-sales ratios that fall into the lowest quintile in the S&P 500.  We use their 12-month trailing revenue, relative to each other, to weight the 100 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  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 Value-Quality Factor Index S&P 500 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 9.74 9.74 100.00 11.48 11.48 -1.42 -0.15 -1.57
Total (Net) 100.00 9.71 9.71 100.00 11.48 11.48 -1.44 -0.16 -1.60
Communication Services 2.21 6.74 0.16 10.22 11.27 1.18 0.02 -0.09 -0.07
Consumer Discretionary 18.27 13.36 2.41 10.04 11.16 1.15 -0.01 0.38 0.36
Consumer Staples 18.14 7.70 1.40 7.22 7.61 0.56 -0.37 0.02 -0.35
Energy 8.43 10.56 0.92 5.47 14.01 0.77 0.08 -0.25 -0.18
Financials 7.99 15.47 1.20 13.44 11.47 1.55 0.01 0.28 0.29
Health Care 29.65 5.48 1.73 15.12 6.07 0.94 -0.70 -0.15 -0.85
Industrials 8.26 11.13 0.92 9.49 18.56 1.69 -0.07 -0.53 -0.60
Information Technology 3.12 16.08 0.50 20.11 14.34 2.78 -0.43 0.06 -0.38
Materials 1.87 12.55 0.24 2.70 8.96 0.25 0.02 0.06 0.08
Real Estate 0.46 24.28 0.10 2.98 12.02 0.36 -0.01 0.05 0.04
Utilities 1.62 9.99 0.16 3.21 7.73 0.24 0.06 0.03 0.09