Click the link below for historical returns of Global Beta indexes, calculated by S&P Dow Jones.
The FactSet Rising Stars strategy first navigates the top 3000 securities by market capitalization that are listed on the NYSE and Nasdaq exchanges and vets them for liquidity standards. Next, we look at the securities recent year over year revenue growth rate vs the average annual revenue growth rate they need to achieve over the next decade to justify their current price-to-sales ratios. We then look at the market share growth rate each company has demonstrated year over year within each subindustry, according to “RBICS” classifications, in technology. We then look at the growth rate for each subindustry as a whole for which each company participates in. Lastly, we look at each company’s year over year growth rate of their operating margins. We score each company by each aforementioned pillar, based on those growth rates. The top 100 are selected into the final index and are weighted by those scores relative to each other.
FactSet Rising Stars Index | S&P Composite 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 | 38.39 | 38.39 | 100.00 | 13.24 | 13.24 | 1.45 | 20.47 | 21.91 |
Total (Net) | 100.00 | 38.34 | 38.34 | 100.00 | 13.24 | 13.24 | 1.42 | 20.45 | 21.86 |
Software | 54.07 | 35.09 | 18.64 | 8.98 | 7.38 | 0.65 | -2.26 | 13.02 | 10.47 |
Internet and Data Services | 11.50 | 33.06 | 4.19 | 6.60 | 11.90 | 0.83 | 0.02 | 2.19 | 2.21 |
Semiconductor Equipment and Services | 10.34 | 49.14 | 5.50 | 0.64 | 43.54 | 0.25 | 2.54 | 0.46 | 3.01 |
Semiconductor Manufacturing | 5.83 | 39.47 | 2.32 | 4.36 | 13.28 | 0.58 | 0.02 | 1.24 | 1.27 |
Communications Equipment | 5.56 | 52.31 | 2.96 | 6.83 | 15.08 | 0.96 | 0.03 | 1.65 | 1.67 |
Computer Hardware and Storage | 2.94 | 42.02 | 1.26 | 0.26 | 35.47 | 0.08 | 0.53 | 0.14 | 0.67 |
Electronic Components | 2.64 | 17.11 | 0.43 | 0.32 | 29.75 | 0.09 | 0.27 | -0.22 | 0.05 |
Manufacturing Equipment and Services | 2.15 | 37.73 | 0.84 | 0.04 | 21.32 | 0.01 | 0.14 | 0.27 | 0.41 |
Technology Consulting Services | 1.58 | 35.68 | 0.54 | 0.97 | 12.90 | 0.13 | -0.01 | 0.27 | 0.26 |
Consumer Electronics | 1.22 | 41.12 | 0.51 | 0.00 | 39.00 | 0.00 | 0.27 | -0.04 | 0.24 |
Commercial Electronics | 1.19 | 63.40 | 0.61 | 0.18 | 40.49 | 0.06 | 0.21 | 0.17 | 0.38 |
Other Telecommunications Services | 0.60 | 105.59 | 0.50 | 1.37 | 8.65 | 0.12 | 0.03 | 0.39 | 0.43 |
Information Technology Distribution | 0.38 | 20.42 | 0.10 | 0.12 | 17.71 | 0.02 | 0.02 | 0.01 | 0.03 |
Other | — | — | — | 69.33 | 16.74 | 9.47 | -9.47 | — | -9.47 |
Data sources from Factset