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 Correlation (6/30/19 – 6/30/2020)

Data sources from Factset
Please see factor definitions 

Attribution (3/31/20 – 6/30/20)

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)10028.7528.7510021.9421.940.075.55.58
Total (Net)10028.728.710021.9421.940.045.485.52
Communication Services2.62.79-0.372.7612.360.380.06-0.43-0.36
Consumer Discretionary13.9665.768.7513.9353.836.640.071.251.32
Consumer Staples10.4535.044.113.7816.270.66-0.621.861.23
Health Care8.8934.313.313.2517.052.490.061.281.36
Information Technology9.7221.92.5415.3322.643.64-0.01-0.04-0.04
Real Estate2.315.670.087.5613.380.850.38-0.180.21

Data sources from Factset