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.

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 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
Total (Gross)100.002.272.27100.004.054.05-1.19-0.53-1.71
Total (Net)100.002.252.25100.004.054.05-1.20-0.54-1.73
Communication Services11.05-0.000.0110.316.530.670.03-0.70-0.67
Consumer Discretionary5.261.920.1010.305.710.58-0.08-0.19-0.27
Consumer Staples48.013.841.847.172.520.18-0.590.620.03
Energy5.390.070.010.210.21
Financials3.185.110.1612.989.001.14-0.45-0.12-0.57
Health Care13.89-2.63-0.390.940.94
Industrials1.673.210.059.514.110.39-0.00-0.01-0.02
Information Technology0.593.290.0221.536.431.37-0.47-0.02-0.49
Materials0.46-10.97-0.052.693.620.100.01-0.07-0.06
Real Estate4.98-1.34-0.063.01-0.47-0.01-0.08-0.04-0.13
Utilities20.560.980.213.230.930.03-0.510.01-0.50