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 (3/31/20 – 6/30/20)
| 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 | 28.75 | 28.75 | 100 | 21.94 | 21.94 | 0.07 | 5.5 | 5.58 |
| Total (Net) | 100 | 28.7 | 28.7 | 100 | 21.94 | 21.94 | 0.04 | 5.48 | 5.52 |
| Communication Services | 2.6 | 2.79 | -0.37 | 2.76 | 12.36 | 0.38 | 0.06 | -0.43 | -0.36 |
| Consumer Discretionary | 13.96 | 65.76 | 8.75 | 13.93 | 53.83 | 6.64 | 0.07 | 1.25 | 1.32 |
| Consumer Staples | 10.45 | 35.04 | 4.11 | 3.78 | 16.27 | 0.66 | -0.62 | 1.86 | 1.23 |
| Energy | 9.19 | 36.7 | 1.93 | 2.67 | 54.99 | 1.02 | 1.04 | -0.65 | 0.39 |
| Financials | 27.06 | 19 | 4.81 | 15.76 | 9.06 | 1.11 | -1.37 | 2.45 | 1.05 |
| Health Care | 8.89 | 34.31 | 3.3 | 13.25 | 17.05 | 2.49 | 0.06 | 1.28 | 1.36 |
| Industrials | 15.01 | 21.03 | 3.21 | 17.57 | 22.37 | 3.94 | 0 | -0.08 | -0.07 |
| Information Technology | 9.72 | 21.9 | 2.54 | 15.33 | 22.64 | 3.64 | -0.01 | -0.04 | -0.04 |
| Materials | 0.82 | 47.44 | 0.4 | 4.85 | 27.39 | 1.32 | -0.17 | 0.14 | -0.03 |
| Real Estate | 2.31 | 5.67 | 0.08 | 7.56 | 13.38 | 0.85 | 0.38 | -0.18 | 0.21 |
| Utilities | — | — | — | 2.55 | -5.03 | -0.1 | 0.64 | — | 0.65 |
Data sources from Factset