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 (09/30/19 -1/31/20)
| 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 | -9.08 | -9.08 | 100 | -3.97 | -3.97 | -2.71 | -2.68 | -5.39 |
| Total (Net) | 100 | -9.1 | -9.1 | 100 | -3.97 | -3.97 | -2.72 | -2.69 | -5.41 |
| Communication Services | 3.07 | 9.87 | 0.26 | 2.17 | 1.28 | 0.02 | 0.04 | 0.27 | 0.32 |
| Consumer Discretionary | 13.77 | -1.69 | -0.33 | 13.71 | -3.26 | -0.46 | -0.01 | 0.22 | 0.21 |
| Consumer Staples | 11.14 | -14.32 | -1.55 | 3.93 | -8.46 | -0.33 | -0.34 | -0.7 | -1.04 |
| Energy | 12.9 | -38.14 | -5.18 | 3.88 | -23.13 | -0.95 | -2.11 | -2.21 | -4.27 |
| Financials | 16.65 | -3.49 | -0.59 | 17.49 | -4.76 | -0.83 | 0.02 | 0.23 | 0.25 |
| Health Care | 8.01 | 3.79 | 0.22 | 11.87 | 0.13 | 0 | -0.16 | 0.29 | 0.14 |
| Industrials | 17.4 | -6.21 | -1.12 | 18.05 | -3.59 | -0.65 | 0 | -0.48 | -0.48 |
| Information Technology | 12.31 | -4.42 | -0.62 | 14.24 | -2.65 | -0.39 | -0.04 | -0.24 | -0.28 |
| Materials | 1.43 | -10.49 | -0.17 | 4.85 | -7.28 | -0.35 | 0.12 | -0.05 | 0.07 |
| Real Estate | 1.88 | 5.31 | 0.09 | 7.65 | -0.47 | -0.05 | -0.21 | 0.11 | -0.1 |
| Utilities | 1.43 | -6.61 | -0.09 | 2.17 | 0.67 | 0.01 | -0.04 | -0.11 | -0.14 |
Data sources from Factset