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 (9/30/20 – 10/30/20)
| 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 | 0.50 | 0.50 | 100.00 | 2.58 | 2.58 | 0.60 | -2.61 | -2.01 |
| Total (Net) | 100.00 | 0.48 | 0.48 | 100.00 | 2.58 | 2.58 | 0.59 | -2.62 | -2.03 |
| Communication Services | 3.31 | -14.27 | -0.45 | 2.48 | -3.13 | -0.07 | -0.05 | -0.38 | -0.43 |
| Consumer Discretionary | 16.78 | -8.50 | -1.27 | 15.28 | 3.26 | 0.49 | 0.06 | -1.99 | -1.94 |
| Consumer Staples | 11.71 | 4.78 | 0.42 | 3.64 | 2.60 | 0.08 | 0.02 | 0.19 | 0.22 |
| Energy | 3.34 | 5.82 | 0.19 | 2.84 | -0.08 | 0.00 | -0.01 | 0.19 | 0.18 |
| Financials | 21.55 | 6.98 | 1.34 | 16.91 | 7.61 | 1.17 | 0.24 | -0.14 | 0.10 |
| Health Care | 9.40 | 2.90 | 0.25 | 12.00 | 1.24 | 0.14 | 0.05 | 0.16 | 0.21 |
| Industrials | 12.16 | 2.52 | 0.28 | 17.90 | 0.14 | 0.08 | 0.14 | 0.28 | 0.42 |
| Information Technology | 17.02 | -0.73 | -0.11 | 13.79 | 4.31 | 0.55 | 0.06 | -0.83 | -0.78 |
| Materials | 1.05 | 6.38 | 0.06 | 5.38 | 7.87 | 0.40 | -0.22 | -0.01 | -0.23 |
| Real Estate | 3.68 | -6.56 | -0.21 | 8.01 | -4.31 | -0.29 | 0.30 | -0.09 | 0.22 |
| Utilities | — | — | — | 1.75 | 1.53 | 0.02 | 0.02 | — | 0.02 |
Data sources from Factset