Global Beta Size Factor Index

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 (06/2019)


Data sources from Factset
Please see factor definitions 

Attribution (03/29/19 – 6/28/19)


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
Total100.00-2.55-2.55100.001.871.87-1.80-2.58-4.36
Communication Services2.70-42.37-1.372.05-8.72-0.19-0.07-1.18-1.24
Consumer Discretionary6.447.100.4713.88-1.33-0.170.230.540.78
Consumer Staples1.72-3.97-0.073.46-2.38-0.090.07-0.020.05
Energy17.21-15.56-2.764.11-16.09-0.75-2.320.17-2.15
Financials11.535.130.5417.895.780.96-0.23-0.07-0.30
Health Care3.195.120.1811.222.170.29-0.030.100.06
Industrials34.273.561.2719.066.741.250.73-1.02-0.30
Information Technology11.228.320.9114.804.020.57-0.060.470.41
Materials9.70-18.23-1.834.27-2.82-0.11-0.24-1.60-1.83
Real Estate0.712.850.027.17-0.43-0.020.160.020.19
Utilities1.326.110.082.095.730.12-0.030.01-0.02