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 (2/2020)

Data sources from Factset
Please see factor definitions 

Attribution (12/31/19 – 2/28/20)

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)100-20.25-20.25100-13.2-13.2-3.3-4.99-8.29
Total (Net)100-20.28-20.28100-13.2-13.2-3.31-5.01-8.32
Communication Services3.245.440.132.242.410.
Consumer Discretionary14.39-8.19-1.3513.68-14.01-1.94-0.030.960.93
Consumer Staples10.94-26.54-2.83.58-17.5-0.6-0.37-1.22-1.59
Health Care8.51-8.52-0.9112.01-6.88-0.89-0.25-0.19-0.44
Information Technology12.05-21.26-2.5714.12-12.26-1.66-0.04-1.31-1.35
Real Estate2-4.03-0.138.02-7.87-0.74-0.360.08-0.29

Data sources from Factset