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.
Attribution (6/30/20 – 8/31/20)
| Global Beta Size Factor Index | S&P Smallcap 600 | Attribution Analysis | |||||||
|---|---|---|---|---|---|---|---|---|---|
| Port. Average Weight | Port. Total Return | Port. Contrib. To Return | Bench. Average Weight | Bench. Total Return | Bench. Contrib. To Return | Geometric Allocation Effect | Geometric Selection Effect | Geometric Total Effect | |
| Total (Gross) | 100.00 | 11.75 | 11.75 | 100.00 | 8.27 | 8.27 | -0.43 | 3.66 | 3.23 |
| Total (Net) | 100.00 | 11.72 | 11.72 | 100.00 | 8.27 | 8.27 | -0.45 | 3.65 | 3.20 |
| Communication Services | 3.54 | 24.72 | 0.83 | 2.69 | 4.07 | 0.14 | -0.04 | 0.64 | 0.60 |
| Consumer Discretionary | 10.81 | 25.48 | 2.60 | 15.42 | 17.87 | 2.59 | -0.40 | 0.67 | 0.27 |
| Consumer Staples | 11.59 | 13.82 | 1.64 | 3.67 | 7.01 | 0.26 | -0.10 | 0.72 | 0.62 |
| Energy | 9.82 | -2.68 | -0.25 | 3.06 | 4.64 | 0.16 | -0.20 | -0.72 | -0.91 |
| Financials | 19.00 | 5.37 | 0.97 | 14.93 | 3.07 | 0.43 | -0.20 | 0.41 | 0.21 |
| Health Care | 8.61 | 17.73 | 1.50 | 12.98 | 9.64 | 1.26 | -0.05 | 0.60 | 0.55 |
| Industrials | 19.48 | 13.77 | 2.69 | 18.16 | 12.15 | 2.17 | 0.06 | 0.28 | 0.34 |
| Information Technology | 13.41 | 12.31 | 1.57 | 14.00 | 4.20 | 0.65 | 0.02 | 1.00 | 1.02 |
| Materials | 1.14 | 2.54 | 0.05 | 5.09 | 8.92 | 0.47 | -0.02 | -0.07 | -0.09 |
| Real Estate | 2.61 | 5.66 | 0.14 | 8.07 | 2.92 | 0.21 | 0.28 | 0.07 | 0.35 |
| Utilities | — | — | — | 1.93 | -3.60 | -0.07 | 0.22 | — | 0.22 |
Data sources from Factset