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.
Attribution (06/28/19 – 08/30/19)
| 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 | 100.00 | 3.71 | 3.71 | 100.00 | -0.17 | -0.17 | 3.69 | 0.19 | 3.89 |
| Communication Services | 11.05 | 3.70 | 0.42 | 10.39 | 1.79 | 0.17 | 0.02 | 0.20 | 0.23 |
| Consumer Discretionary | 5.26 | -2.78 | -0.15 | 10.20 | -0.34 | -0.03 | 0.01 | -0.13 | -0.12 |
| Consumer Staples | 48.01 | 4.12 | 1.99 | 7.44 | 4.35 | 0.32 | 1.84 | -0.10 | 1.73 |
| Energy | — | — | — | 4.74 | -9.71 | -0.49 | 0.48 | — | 0.48 |
| Financials | 3.18 | 5.51 | 0.18 | 12.98 | -2.51 | -0.34 | 0.23 | 0.25 | 0.49 |
| Health Care | — | — | — | 13.98 | -2.08 | -0.28 | 0.27 | — | 0.27 |
| Industrials | 1.67 | 3.29 | 0.06 | 9.22 | -1.97 | -0.19 | 0.14 | 0.09 | 0.23 |
| Information Technology | 0.59 | 7.06 | 0.04 | 21.83 | 1.81 | 0.38 | -0.41 | 0.03 | -0.38 |
| Materials | 0.46 | 3.69 | 0.02 | 2.74 | -3.18 | -0.09 | 0.07 | 0.03 | 0.11 |
| Real Estate | 4.98 | 6.27 | 0.31 | 3.13 | 6.70 | 0.21 | 0.13 | -0.02 | 0.11 |
| Utilities | 20.56 | 4.09 | 0.84 | 3.36 | 4.87 | 0.17 | 0.88 | -0.15 | 0.72 |
| [Unassigned] | 4.23 | — | — | — | — | — | 0.02 | — | 0.02 |
Data sources from Factset