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 (08/2019)


Data sources from Factset
Please see factor definitions 

Attribution (06/28/19 – 08/30/19)


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
Total100.002.722.72100.00-0.17-0.171.301.572.89
Communication Services5.032.890.1510.391.790.17-0.100.06-0.04
Consumer Discretionary13.184.070.5410.20-0.34-0.030.570.57
Consumer Staples8.9610.130.887.444.350.320.080.490.57
Energy1.441.060.024.74-9.71-0.490.330.160.50
Financials1.28-3.99-0.0512.98-2.51-0.340.28-0.020.26
Health Care21.29-4.00-0.8713.98-2.08-0.28-0.13-0.41-0.54
Industrials7.70-3.31-0.259.22-1.97-0.190.03-0.10-0.06
Information Technology16.194.440.7421.831.810.38-0.100.410.31
Materials1.387.670.102.74-3.18-0.090.040.150.19
Real Estate7.819.470.723.136.700.210.320.200.53
Utilities14.005.210.733.364.870.170.540.050.59
[Unassigned]1.750.010.01