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 (6/28/19 – 08/30/19)
| 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 | 100.00 | -9.97 | -9.97 | 100.00 | -3.42 | -3.42 | -4.06 | -2.83 | -6.78 |
| Communication Services | 2.70 | -5.84 | -0.09 | 2.01 | 2.86 | 0.06 | 0.05 | -0.19 | -0.14 |
| Consumer Discretionary | 6.44 | 5.44 | 0.33 | 13.74 | -3.53 | -0.48 | 0.01 | 0.59 | 0.60 |
| Consumer Staples | 1.72 | -7.54 | -0.12 | 3.65 | -1.63 | -0.06 | -0.04 | -0.10 | -0.13 |
| Energy | 16.64 | -18.05 | -2.93 | 3.45 | -22.66 | -0.87 | -2.72 | 1.06 | -1.69 |
| Financials | 11.53 | -1.68 | -0.20 | 18.01 | -3.53 | -0.65 | 0.01 | 0.22 | 0.24 |
| Health Care | 3.19 | -10.93 | -0.34 | 12.39 | -2.65 | -0.34 | -0.08 | -0.27 | -0.35 |
| Industrials | 34.27 | -12.01 | -4.14 | 18.62 | -4.15 | -0.75 | -0.11 | -2.89 | -2.99 |
| Information Technology | 11.22 | 1.07 | 0.10 | 14.88 | -0.34 | -0.06 | -0.11 | 0.17 | 0.06 |
| Materials | 9.70 | -22.99 | -2.31 | 4.10 | -11.05 | -0.46 | -0.45 | -1.33 | -1.77 |
| Real Estate | 0.71 | 13.53 | 0.09 | 6.89 | 0.82 | 0.05 | -0.26 | 0.09 | -0.17 |
| Utilities | 1.32 | -4.12 | -0.05 | 2.25 | 6.93 | 0.15 | -0.09 | -0.14 | -0.24 |
| [Unassigned] | 0.57 | -49.39 | -0.32 | — | — | — | -0.31 | — | -0.30 |
Data sources from Factset