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 Attribution (12/2019)


Data sources from Factset
Please see factor definitions 

Attribution (09/30/19 -12/31/19)


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)1003.053.051008.198.19-0.07-4.68-4.75
Total (Net)100331008.198.19-0.1-4.7-4.8
Communication Services2.6661.521.312.042.820.06-0.021.211.19
Consumer Discretionary11.66-3.43-0.414.036.850.980.04-1.16-1.12
Consumer Staples8.44-4.75-0.674.158.520.330.07-1.17-1.1
Energy17.43-12.15-1.923.66.610.22-0.28-2.93-3.2
Financials15.059.781.4517.717.871.38-0.010.270.27
Health Care8.3315.721.2412.6213.761.73-0.20.1-0.1
Industrials15.165.090.817.67.271.280.02-0.33-0.31
Information Technology13.516.710.9213.9711.71.61-0.01-0.63-0.64
Materials4.523.30.184.897.440.37-0.02-0.17-0.19
Real Estate1.637.390.137.182.770.210.290.070.37
Utilities1.621.180.012.210.0700.050.010.06

Data sources from Factset