Global Beta Momentum-Growth Factor Index

Click the link below for historical returns of Global Beta indexes, calculated by S&P Dow Jones.

The Strategy

The Global Beta Growth/Momentum Index strategy takes the 100 securities with Sharpe Ratios (i.e.: risk adjusted return) that rank in the highest quintile in the S&P 500.  We use their market cap float, 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.

Factor Attribution (10/2019)


Data sources from Factset
Please see factor definitions 

Attribution (09/30/19 – 10/31/19)


Global Beta Momentum-Growth Factor IndexS&P 500Attribution Analysis
Port. Average WeightPort. Total ReturnPort. Contrib. To ReturnBench. Average WeightBench. Total ReturnBench. Contrib. To ReturnGeometric Allocation EffectGeometric Selection EffectGeometric Total Effect
Total100.000.390.39100.002.172.17-0.43-1.32-1.74
Communication Services8.541.730.1410.453.020.32-0.02-0.11-0.13
Consumer Discretionary7.10-4.97-0.3710.170.340.040.06-0.39-0.33
Consumer Staples20.74-0.61-0.137.54-0.15-0.01-0.30-0.09-0.39
Energy4.42-2.29-0.100.200.20
Financials5.950.870.0512.882.410.31-0.01-0.09-0.11
Health Care11.151.240.1413.755.120.69-0.07-0.42-0.49
Industrials3.11-1.18-0.049.241.080.100.07-0.07-0.00
Information Technology21.222.990.6422.103.890.86-0.02-0.18-0.20
Materials2.56-1.86-0.052.680.04-0.000.00-0.05-0.05
Real Estate9.83-0.18-0.023.23-0.11-0.00-0.15-0.01-0.16
Utilities9.810.130.013.55-0.76-0.03-0.180.09-0.09

Data sources from Factset