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 (1/2020)

Data sources from Factset
Please see factor definitions 

Attribution (09/30/19 -1/31/20)

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)100-9.08-9.08100-3.97-3.97-2.71-2.68-5.39
Total (Net)100-9.1-9.1100-3.97-3.97-2.72-2.69-5.41
Communication Services3.079.870.
Consumer Discretionary13.77-1.69-0.3313.71-3.26-0.46-
Consumer Staples11.14-14.32-1.553.93-8.46-0.33-0.34-0.7-1.04
Health Care8.013.790.2211.870.130-
Information Technology12.31-4.42-0.6214.24-2.65-0.39-0.04-0.24-0.28
Real Estate1.885.310.097.65-0.47-0.05-0.210.11-0.1

Data sources from Factset