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 (8/31/19 – 8/31/2020)

Data sources from Factset
Please see factor definitions 

Attribution (6/30/20 – 8/31/20)

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)100.0011.7511.75100.008.278.27-0.433.663.23
Total (Net)100.0011.7211.72100.008.278.27-0.453.653.20
Communication Services3.5424.720.832.694.070.14-0.040.640.60
Consumer Discretionary10.8125.482.6015.4217.872.59-0.400.670.27
Consumer Staples11.5913.821.643.677.010.26-0.100.720.62
Health Care8.6117.731.5012.989.641.26-0.050.600.55
Information Technology13.4112.311.5714.004.200.650.021.001.02
Real Estate2.615.660.148.072.920.

Data sources from Factset