Global Beta Size Factor Index

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.

Factor Attribution (11/2019)


Data sources from Factset
Please see factor definitions 

Attribution (09/30/19 -11/30/19)


Global Beta Size Factor IndexS&P Smallcap 600Attribution Analysis
Port. Average WeightPort. Total ReturnPort. Contrib. To ReturnBench. Average WeightBench. Total ReturnBench. Contrib. To ReturnGeometric Allocation EffectGeometric Selection EffectGeometric Total Effect
Total (Gross)100.000.660.66100.005.045.04-2.84-1.37-4.22
Total (Net)100.000.630.63100.005.045.04-2.85-1.39-4.25
Communication Services2.5220.260.502.04-1.82-0.04-0.040.540.51
Consumer Discretionary11.66-2.27-0.2514.064.200.600.02-0.75-0.72
Consumer Staples8.00-9.98-1.204.121.230.04-0.11-1.14-1.24
Energy17.64-10.16-1.843.52-12.50-0.50-2.500.47-2.04
Financials14.866.450.9617.754.900.860.220.22
Health Care8.3713.271.0612.5013.931.70-0.34-0.07-0.41
Industrials14.988.061.2217.684.840.850.010.450.46
Information Technology13.800.410.0814.098.161.14-0.01-1.02-1.03
Materials4.901.250.074.873.430.17-0.10-0.11
Real Estate1.628.690.147.143.830.280.070.070.14
Utilities1.66-5.07-0.092.25-2.70-0.060.05-0.04

Data sources from Factset