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.
Risk Characteristics (01/1997 – 04/2019)
Data sources from Factset
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points Please see important disclosures.
Calendar Year Performance
Data sources from Factset
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points Please see important disclosures.
YTD – 04/2019
Multihorizon (04/2019)
Data sources from Factset
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points Please see important disclosures.
Factor Attribution (04/2019)
Data sources from Factset
Please see factor definitions
Attribution (03/31/19 – 04/30/19)
| 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 (Gross) | 100.00 | 2.27 | 2.27 | 100.00 | 4.05 | 4.05 | -1.19 | -0.53 | -1.71 |
| Total (Net) | 100.00 | 2.25 | 2.25 | 100.00 | 4.05 | 4.05 | -1.20 | -0.54 | -1.73 |
| Communication Services | 11.05 | -0.00 | 0.01 | 10.31 | 6.53 | 0.67 | 0.03 | -0.70 | -0.67 |
| Consumer Discretionary | 5.26 | 1.92 | 0.10 | 10.30 | 5.71 | 0.58 | -0.08 | -0.19 | -0.27 |
| Consumer Staples | 48.01 | 3.84 | 1.84 | 7.17 | 2.52 | 0.18 | -0.59 | 0.62 | 0.03 |
| Energy | — | — | — | 5.39 | 0.07 | 0.01 | 0.21 | — | 0.21 |
| Financials | 3.18 | 5.11 | 0.16 | 12.98 | 9.00 | 1.14 | -0.45 | -0.12 | -0.57 |
| Health Care | — | — | — | 13.89 | -2.63 | -0.39 | 0.94 | — | 0.94 |
| Industrials | 1.67 | 3.21 | 0.05 | 9.51 | 4.11 | 0.39 | -0.00 | -0.01 | -0.02 |
| Information Technology | 0.59 | 3.29 | 0.02 | 21.53 | 6.43 | 1.37 | -0.47 | -0.02 | -0.49 |
| Materials | 0.46 | -10.97 | -0.05 | 2.69 | 3.62 | 0.10 | 0.01 | -0.07 | -0.06 |
| Real Estate | 4.98 | -1.34 | -0.06 | 3.01 | -0.47 | -0.01 | -0.08 | -0.04 | -0.13 |
| Utilities | 20.56 | 0.98 | 0.21 | 3.23 | 0.93 | 0.03 | -0.51 | 0.01 | -0.50 |