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 (12/31/20 – 1/29/21)
| 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) | 100.00 | 8.30 | 8.30 | 100.00 | 6.29 | 6.29 | 1.87 | 0.02 | 1.89 |
| Total (Net) | 100.00 | 8.28 | 8.28 | 100.00 | 6.29 | 6.29 | 1.86 | 0.01 | 1.87 |
| Communication Services | 4.63 | 20.48 | 0.85 | 2.55 | 8.70 | 0.21 | 0.06 | 0.48 | 0.54 |
| Consumer Discretionary | 18.34 | 9.79 | 1.65 | 14.89 | 26.31 | 3.45 | 0.73 | -2.73 | -2.02 |
| Consumer Staples | 13.19 | 37.76 | 4.14 | 3.78 | 10.11 | 0.35 | 0.47 | 2.94 | 3.42 |
| Energy | 2.99 | 18.89 | 0.54 | 3.41 | 15.93 | 0.51 | -0.03 | 0.07 | 0.04 |
| Financials | 20.45 | -4.00 | -0.59 | 16.43 | 0.42 | 0.15 | -0.18 | -0.92 | -1.10 |
| Health Care | 6.04 | 8.84 | 0.56 | 12.18 | 6.45 | 0.78 | -0.01 | 0.14 | 0.12 |
| Industrials | 10.66 | -0.04 | 0.11 | 17.23 | 0.58 | 0.19 | 0.37 | -0.06 | 0.31 |
| Information Technology | 16.05 | 3.95 | 0.80 | 14.57 | 4.21 | 0.66 | -0.01 | -0.02 | -0.03 |
| Materials | 4.01 | 4.88 | 0.28 | 5.86 | -1.05 | 0.01 | 0.13 | 0.24 | 0.36 |
| Real Estate | 3.10 | -1.58 | -0.04 | 7.62 | 0.11 | -0.01 | 0.27 | -0.05 | 0.22 |
| Utilities | 0.53 | 1.13 | 0.01 | 1.49 | -1.16 | -0.02 | 0.07 | 0.01 | 0.08 |
Data sources from Factset