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 first removes companies with the highest price to forward earnings multiple within the S&P 500. We then identify the 100 securities in the S&P 500 with the greatest increase in revenues year over year for the most recent quarter. We use their market capitalization float to weight each of the 100 securities. We identify each of the securities’ current market capitalization, then sum all 100 securities’ market capitalization for the period, then divide each security’s market capitalization by the total market capitalization, which becomes the security’s weighting. To manage concentration risk, Global Beta Advisors imposes a 10% security issuer cap on the portfolio.

Factor Correlation (12/31/19 – 12/31/2020)

Data sources from Factset
Please see factor definitions 

Attribution (9/30/20 – 12/31/20)

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
Total (Gross)100.008.568.56100.0012.1412.14-0.02-3.18-3.20
Total (Net)100.008.518.51100.0012.1412.14-0.05-3.20-3.25
Communication Services10.177.920.7110.9413.821.52-0.10-0.49-0.59
Consumer Discretionary7.23-0.75-0.0611.628.040.930.17-0.62-0.45
Consumer Staples2.873.630.106.836.350.440.21-0.080.13
Health Care12.025.210.6913.868.021.150.07-0.32-0.25
Information Technology51.5110.535.4527.6811.803.17-0.09-0.38-0.47
Real Estate0.737.790.062.564.830.

Data sources from Factset