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 (10/30/19 – 10/30/2020)

Data sources from Factset
Please see factor definitions 

Attribution (9/30/20 – 10/30/20)

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)100.000.500.50100.002.582.580.60-2.61-2.01
Total (Net)100.000.480.48100.002.582.580.59-2.62-2.03
Communication Services3.31-14.27-0.452.48-3.13-0.07-0.05-0.38-0.43
Consumer Discretionary16.78-8.50-1.2715.283.260.490.06-1.99-1.94
Consumer Staples11.714.780.423.642.600.
Health Care9.402.900.2512.
Information Technology17.02-0.73-0.1113.794.310.550.06-0.83-0.78
Real Estate3.68-6.56-0.218.01-4.31-0.290.30-0.090.22

Data sources from Factset