Global Beta Momentum-Growth Factor Index

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 (06/2019)

Data sources from Factset
Please see factor definitions 

Attribution (03/31/19 – 06/28/19)

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
Communication Services5.03-2.39-0.1110.294.490.42-0.33-0.33
Consumer Discretionary13.184.980.6610.255.280.530.03-0.04-0.01
Consumer Staples8.965.260.487.313.720.270.140.14
Health Care21.291.830.4014.021.380.20-0.160.11-0.06
Information Technology16.199.191.4921.426.061.29-0.070.470.40
Real Estate7.813.