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 (03/29/19 – 6/28/19)
| 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 | -2.55 | -2.55 | 100.00 | 1.87 | 1.87 | -1.80 | -2.58 | -4.36 |
| Communication Services | 2.70 | -42.37 | -1.37 | 2.05 | -8.72 | -0.19 | -0.07 | -1.18 | -1.24 |
| Consumer Discretionary | 6.44 | 7.10 | 0.47 | 13.88 | -1.33 | -0.17 | 0.23 | 0.54 | 0.78 |
| Consumer Staples | 1.72 | -3.97 | -0.07 | 3.46 | -2.38 | -0.09 | 0.07 | -0.02 | 0.05 |
| Energy | 17.21 | -15.56 | -2.76 | 4.11 | -16.09 | -0.75 | -2.32 | 0.17 | -2.15 |
| Financials | 11.53 | 5.13 | 0.54 | 17.89 | 5.78 | 0.96 | -0.23 | -0.07 | -0.30 |
| Health Care | 3.19 | 5.12 | 0.18 | 11.22 | 2.17 | 0.29 | -0.03 | 0.10 | 0.06 |
| Industrials | 34.27 | 3.56 | 1.27 | 19.06 | 6.74 | 1.25 | 0.73 | -1.02 | -0.30 |
| Information Technology | 11.22 | 8.32 | 0.91 | 14.80 | 4.02 | 0.57 | -0.06 | 0.47 | 0.41 |
| Materials | 9.70 | -18.23 | -1.83 | 4.27 | -2.82 | -0.11 | -0.24 | -1.60 | -1.83 |
| Real Estate | 0.71 | 2.85 | 0.02 | 7.17 | -0.43 | -0.02 | 0.16 | 0.02 | 0.19 |
| Utilities | 1.32 | 6.11 | 0.08 | 2.09 | 5.73 | 0.12 | -0.03 | 0.01 | -0.02 |