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 Attribution (4/2020)


Data sources from Factset
Please see factor definitions 

Attribution (3/31/20 – 4/30/20)


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)10013.4713.4710012.712.71.47-0.770.7
Total (Net)10013.4513.4510012.712.71.46-0.780.68
Communication Services2.380.1-0.22.838.10.260.06-0.26-0.2
Consumer Discretionary12.8136.284.6812.2928.033.410.041.011.06
Consumer Staples10.043.810.653.97.590.32-0.33-0.3-0.63
Energy8.4230.62.252.0853.8612.01-1.310.67
Financials29.467.38216.615.780.77-0.790.43-0.37
Health Care8.915.391.4213.7212.111.68-0.010.260.25
Industrials15.114.20.4917.619.251.640.07-0.72-0.65
Information Technology9.6718.341.9315.6714.892.43-0.120.30.18
Materials0.7620.810.174.7811.650.580.040.060.1
Real Estate2.453.160.087.668.680.550.2-0.130.07
Utilities2.850.910.050.30.3

Data sources from Factset