The Strategy
This strategy takes the 100 securities with a beta, relative to the S&P 500 Index, that rank in the lowest quintile in the S&P 500. We use their 12-month trailing revenue, relative to each other, to weight the 100 securities. To manage concentration risk, Global Beta Advisor imposes a 5% security issuer cap on the portfolio.
Attribution (03/29/19 – 06/28/19)
| Global Beta Low Beta Factor Index | S&P 500 | 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 | 100.00 | 3.18 | 3.18 | 100.00 | 4.30 | 4.30 | -0.42 | -0.67 | -1.12 |
| Communication Services | 11.05 | 3.95 | 0.45 | 10.29 | 4.49 | 0.42 | 0.02 | -0.07 | -0.05 |
| Consumer Discretionary | 5.26 | 4.29 | 0.23 | 10.25 | 5.28 | 0.53 | -0.04 | -0.05 | -0.10 |
| Consumer Staples | 48.01 | 2.54 | 1.25 | 7.31 | 3.72 | 0.27 | -0.18 | -0.55 | -0.73 |
| Energy | — | — | — | 5.15 | -2.83 | -0.16 | 0.37 | — | 0.37 |
| Financials | 3.18 | 8.46 | 0.27 | 13.09 | 8.00 | 1.02 | -0.34 | 0.01 | -0.32 |
| Health Care | — | — | — | 14.02 | 1.38 | 0.20 | 0.41 | — | 0.41 |
| Industrials | 1.67 | 10.23 | 0.17 | 9.42 | 3.57 | 0.35 | 0.06 | 0.10 | 0.16 |
| Information Technology | 0.59 | 6.63 | 0.04 | 21.42 | 6.06 | 1.29 | -0.35 | — | -0.35 |
| Materials | 0.46 | 10.72 | 0.05 | 2.69 | 6.21 | 0.19 | -0.04 | 0.02 | -0.02 |
| Real Estate | 4.98 | 1.62 | 0.09 | 3.06 | 2.46 | 0.08 | -0.02 | -0.04 | -0.06 |
| Utilities | 20.56 | 2.98 | 0.63 | 3.30 | 3.48 | 0.12 | -0.08 | -0.10 | -0.17 |