Global Beta Low Beta Index

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.

Factor Correlation (12/31/19 – 12/31/2020)

Data sources from Factset
Please see factor definitions 

Attribution (9/30/20 – 12/31/20)

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)100.005.475.47100.0012.1412.14-2.69-3.35-6.04
Total (Net)100.005.425.42100.0012.1412.14-2.72-3.37-6.09
Communication Services11.505.790.5910.9413.821.52-0.03-0.87-0.89
Consumer Discretionary12.386.760.7911.628.040.93-0.04-0.14-0.18
Consumer Staples34.334.081.436.836.350.44-1.43-0.72-2.14
Health Care25.888.542.2413.868.021.15-0.440.15-0.29
Information Technology1.259.150.1127.6811.803.170.07-0.030.05
Real Estate0.331.710.012.564.830.140.15-0.010.14

Data sources from Factset