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 (08/2019)


Data sources from Factset
Please see factor definitions 

Attribution (06/28/19 – 08/30/19)


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
Total100.003.713.71100.00-0.17-0.173.690.193.89
Communication Services11.053.700.4210.391.790.170.020.200.23
Consumer Discretionary5.26-2.78-0.1510.20-0.34-0.030.01-0.13-0.12
Consumer Staples48.014.121.997.444.350.321.84-0.101.73
Energy4.74-9.71-0.490.480.48
Financials3.185.510.1812.98-2.51-0.340.230.250.49
Health Care13.98-2.08-0.280.270.27
Industrials1.673.290.069.22-1.97-0.190.140.090.23
Information Technology0.597.060.0421.831.810.38-0.410.03-0.38
Materials0.463.690.022.74-3.18-0.090.070.030.11
Real Estate4.986.270.313.136.700.210.13-0.020.11
Utilities20.564.090.843.364.870.170.88-0.150.72
[Unassigned]4.230.020.02

Data sources from Factset