Click the link below for historical returns of Global Beta indexes, calculated by S&P Dow Jones.
The Strategy
The Global Beta Size Index strategy takes the 120 securities with 12-month trailing revenue growth rates that rank in the highest quintile in the S&P 600. We use their 12-month trailing revenue, relative to each other, to weight those 120 securities. To manage concentration risk, Global Beta Advisors imposes a 5% security issuer cap on the portfolio.
Attribution (12/31/19 – 2/28/20)
| Global Beta Size Factor Index | S&P Smallcap 600 | 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 (Gross) | 100 | -20.25 | -20.25 | 100 | -13.2 | -13.2 | -3.3 | -4.99 | -8.29 |
| Total (Net) | 100 | -20.28 | -20.28 | 100 | -13.2 | -13.2 | -3.31 | -5.01 | -8.32 |
| Communication Services | 3.24 | 5.44 | 0.13 | 2.24 | 2.41 | 0.02 | 0.17 | 0.11 | 0.28 |
| Consumer Discretionary | 14.39 | -8.19 | -1.35 | 13.68 | -14.01 | -1.94 | -0.03 | 0.96 | 0.93 |
| Consumer Staples | 10.94 | -26.54 | -2.8 | 3.58 | -17.5 | -0.6 | -0.37 | -1.22 | -1.59 |
| Energy | 10.96 | -50.18 | -6.23 | 3.57 | -37.45 | -1.42 | -2.65 | -2.34 | -4.92 |
| Financials | 17.18 | -14.21 | -2.57 | 17.66 | -13.53 | -2.45 | 0.02 | -0.15 | -0.12 |
| Health Care | 8.51 | -8.52 | -0.91 | 12.01 | -6.88 | -0.89 | -0.25 | -0.19 | -0.44 |
| Industrials | 17.86 | -16.57 | -3.1 | 18.1 | -13.4 | -2.42 | -0.01 | -0.66 | -0.67 |
| Information Technology | 12.05 | -21.26 | -2.57 | 14.12 | -12.26 | -1.66 | -0.04 | -1.31 | -1.35 |
| Materials | 1.39 | -27.97 | -0.4 | 4.79 | -19.34 | -0.9 | 0.25 | -0.16 | 0.09 |
| Real Estate | 2 | -4.03 | -0.13 | 8.02 | -7.87 | -0.74 | -0.36 | 0.08 | -0.29 |
| Utilities | 1.5 | -17.98 | -0.3 | 2.23 | -7.92 | -0.2 | -0.04 | -0.18 | -0.22 |
Data sources from Factset