Global Beta Low Beta Index

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.

Factor Attribution (06/2019)


Data sources from Factset
Please see factor definitions 

Attribution (03/29/19 – 06/28/19)


Global Beta Low Beta 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
Total100.003.183.18100.004.304.30-0.42-0.67-1.12
Communication Services11.053.950.4510.294.490.420.02-0.07-0.05
Consumer Discretionary5.264.290.2310.255.280.53-0.04-0.05-0.10
Consumer Staples48.012.541.257.313.720.27-0.18-0.55-0.73
Energy5.15-2.83-0.160.370.37
Financials3.188.460.2713.098.001.02-0.340.01-0.32
Health Care14.021.380.200.410.41
Industrials1.6710.230.179.423.570.350.060.100.16
Information Technology0.596.630.0421.426.061.29-0.35-0.35
Materials0.4610.720.052.696.210.19-0.040.02-0.02
Real Estate4.981.620.093.062.460.08-0.02-0.04-0.06
Utilities20.562.980.633.303.480.12-0.08-0.10-0.17