Click the link below for historical returns of Global Beta indexes, calculated by S&P Dow Jones.
The Strategy
The Global Beta Low Index strategy identifies the 100 securities in the S&P 500 with a beta that ranks in the lowest quintile in the S&P 500. We identify each of the securities’ 12-month trailing revenue, then sum all 100 securities’ revenues for the period, then divide each security’s revenue by that sum, which becomes the security’s weighting. To manage concentration risk, Global Beta Advisors imposes a 5% security issuer cap on the portfolio.
Attribution (09/30/19 – 1/31/20)
| 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 | 1.41 | 1.41 | 100 | -0.04 | -0.04 | 1.69 | -0.24 | 1.45 |
| Total (Net) | 100 | 1.39 | 1.39 | 100 | -0.04 | -0.04 | 1.68 | -0.25 | 1.43 |
| Communication Services | 9.74 | -2.31 | -0.23 | 10.54 | 0.92 | 0.1 | 0 | -0.34 | -0.33 |
| Consumer Discretionary | 10.2 | 4.69 | 0.47 | 9.69 | 0.63 | 0.06 | 0.01 | 0.4 | 0.41 |
| Consumer Staples | 45.67 | -1.35 | -0.61 | 7.13 | 0.36 | 0.02 | 0.15 | -0.78 | -0.63 |
| Energy | — | — | — | 4.18 | -11.07 | -0.46 | 0.48 | — | 0.48 |
| Financials | 2.17 | 4.78 | 0.1 | 12.72 | -2.58 | -0.32 | 0.27 | 0.16 | 0.43 |
| Health Care | — | — | — | 14.1 | -2.7 | -0.37 | 0.38 | — | 0.38 |
| Industrials | 2.87 | 8.25 | 0.23 | 9.09 | -0.45 | -0.04 | 0.02 | 0.24 | 0.27 |
| Information Technology | 0.23 | 9.31 | 0.02 | 23.73 | 3.96 | 0.89 | -0.92 | 0.01 | -0.9 |
| Materials | 2.21 | 2.95 | 0.06 | 2.56 | -6.17 | -0.16 | 0.02 | 0.2 | 0.23 |
| Real Estate | 5.02 | 1.15 | 0.06 | 2.92 | 1.42 | 0.04 | 0.03 | -0.01 | 0.02 |
| Utilities | 21.9 | 6.1 | 1.3 | 3.34 | 6.65 | 0.21 | 1.24 | -0.11 | 1.13 |
Data sources from Factset