Global Beta Size Factor Index

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.

Risk Characteristics (01/1997 – 04/2019)

Data sources from Factset
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points Please see important disclosures.

Calendar Year Performance

Multihorizon (04/2019)

Factor Attribution (04/2019)

Data sources from Factset
Please see factor definitions

Attribution (03/31/19 – 4/30/19)

	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	3.24	3.24	100.00	3.87	3.87	0.24	-0.84	-0.60
Total (Net)	100.00	3.22	3.22	100.00	3.87	3.87	0.23	-0.85	-0.62
Communication Services	2.70	-26.41	-0.77	2.10	-1.95	-0.04	-0.03	-0.73	-0.76
Consumer Discretionary	6.44	4.69	0.30	13.96	3.72	0.52	0.01	0.06	0.07
Consumer Staples	1.72	-2.25	-0.04	3.42	2.69	0.09	0.02	-0.08	-0.06
Energy	17.21	1.15	0.27	4.53	0.30	0.02	-0.39	0.16	-0.23
Financials	11.53	8.69	0.97	17.52	6.47	1.11	-0.15	0.24	0.10
Health Care	3.19	-1.52	-0.04	10.89	-0.88	-0.09	0.37	-0.02	0.35
Industrials	34.27	4.31	1.46	18.71	6.16	1.13	0.34	-0.59	-0.25
Information Technology	11.22	8.71	0.94	15.03	6.74	1.00	-0.10	0.21	0.11
Materials	9.70	1.20	0.15	4.44	2.11	0.09	-0.09	-0.08	-0.16
Real Estate	0.71	0.34	0.00	7.40	0.34	0.03	0.24	0.00	0.24
Utilities	1.32	0.16	0.00	2.00	0.81	0.01	0.02	-0.01	0.01