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 Correlation (1/31/20 – 1/31/21)

Data sources from Factset
Please see factor definitions 

Attribution (12/31/20 – 1/29/21)

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)100.008.308.30100.
Total (Net)
Communication Services4.6320.480.852.558.700.210.060.480.54
Consumer Discretionary18.349.791.6514.8926.313.450.73-2.73-2.02
Consumer Staples13.1937.764.143.7810.110.350.472.943.42
Health Care6.048.840.5612.186.450.78-
Information Technology16.053.950.8014.574.210.66-0.01-0.02-0.03
Real Estate3.10-1.58-0.047.620.11-0.010.27-0.050.22

Data sources from Factset