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 (08/2019)


Data sources from Factset
Please see factor definitions 

Attribution (6/28/19 – 08/30/19)


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
Total100.00-9.97-9.97100.00-3.42-3.42-4.06-2.83-6.78
Communication Services2.70-5.84-0.092.012.860.060.05-0.19-0.14
Consumer Discretionary6.445.440.3313.74-3.53-0.480.010.590.60
Consumer Staples1.72-7.54-0.123.65-1.63-0.06-0.04-0.10-0.13
Energy16.64-18.05-2.933.45-22.66-0.87-2.721.06-1.69
Financials11.53-1.68-0.2018.01-3.53-0.650.010.220.24
Health Care3.19-10.93-0.3412.39-2.65-0.34-0.08-0.27-0.35
Industrials34.27-12.01-4.1418.62-4.15-0.75-0.11-2.89-2.99
Information Technology11.221.070.1014.88-0.34-0.06-0.110.170.06
Materials9.70-22.99-2.314.10-11.05-0.46-0.45-1.33-1.77
Real Estate0.7113.530.096.890.820.05-0.260.09-0.17
Utilities1.32-4.12-0.052.256.930.15-0.09-0.14-0.24
[Unassigned]0.57-49.39-0.32-0.31-0.30

Data sources from Factset