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 (09/30/19 -11/30/19)
| 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 | 0.66 | 0.66 | 100.00 | 5.04 | 5.04 | -2.84 | -1.37 | -4.22 |
| Total (Net) | 100.00 | 0.63 | 0.63 | 100.00 | 5.04 | 5.04 | -2.85 | -1.39 | -4.25 |
| Communication Services | 2.52 | 20.26 | 0.50 | 2.04 | -1.82 | -0.04 | -0.04 | 0.54 | 0.51 |
| Consumer Discretionary | 11.66 | -2.27 | -0.25 | 14.06 | 4.20 | 0.60 | 0.02 | -0.75 | -0.72 |
| Consumer Staples | 8.00 | -9.98 | -1.20 | 4.12 | 1.23 | 0.04 | -0.11 | -1.14 | -1.24 |
| Energy | 17.64 | -10.16 | -1.84 | 3.52 | -12.50 | -0.50 | -2.50 | 0.47 | -2.04 |
| Financials | 14.86 | 6.45 | 0.96 | 17.75 | 4.90 | 0.86 | — | 0.22 | 0.22 |
| Health Care | 8.37 | 13.27 | 1.06 | 12.50 | 13.93 | 1.70 | -0.34 | -0.07 | -0.41 |
| Industrials | 14.98 | 8.06 | 1.22 | 17.68 | 4.84 | 0.85 | 0.01 | 0.45 | 0.46 |
| Information Technology | 13.80 | 0.41 | 0.08 | 14.09 | 8.16 | 1.14 | -0.01 | -1.02 | -1.03 |
| Materials | 4.90 | 1.25 | 0.07 | 4.87 | 3.43 | 0.17 | — | -0.10 | -0.11 |
| Real Estate | 1.62 | 8.69 | 0.14 | 7.14 | 3.83 | 0.28 | 0.07 | 0.07 | 0.14 |
| Utilities | 1.66 | -5.07 | -0.09 | 2.25 | -2.70 | -0.06 | 0.05 | -0.04 | — |
Data sources from Factset