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.

Risk Characteristics (01/1997 – 04/2019)


Data sources from Factset
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points  Please see important disclosures.

 

Calendar Year Performance


Data sources from Factset
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points  Please see important disclosures.
YTD – 04/2019

 

Multihorizon (04/2019)


Data sources from Factset
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points  Please see important disclosures.

 

Factor Attribution (04/2019)


Data sources from Factset
Please see factor definitions 

Attribution (03/31/19 – 4/30/19)


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
Total (Gross)100.003.243.24100.003.873.870.24-0.84-0.60
Total (Net)100.003.223.22100.003.873.870.23-0.85-0.62
Communication Services2.70-26.41-0.772.10-1.95-0.04-0.03-0.73-0.76
Consumer Discretionary6.444.690.3013.963.720.520.010.060.07
Consumer Staples1.72-2.25-0.043.422.690.090.02-0.08-0.06
Energy17.211.150.274.530.300.02-0.390.16-0.23
Financials11.538.690.9717.526.471.11-0.150.240.10
Health Care3.19-1.52-0.0410.89-0.88-0.090.37-0.020.35
Industrials34.274.311.4618.716.161.130.34-0.59-0.25
Information Technology11.228.710.9415.036.741.00-0.100.210.11
Materials9.701.200.154.442.110.09-0.09-0.08-0.16
Real Estate0.710.340.007.400.340.030.240.000.24
Utilities1.320.160.002.000.810.010.02-0.010.01