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 (09/30/19 -12/31/19)
| 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 | 3.05 | 3.05 | 100 | 8.19 | 8.19 | -0.07 | -4.68 | -4.75 |
| Total (Net) | 100 | 3 | 3 | 100 | 8.19 | 8.19 | -0.1 | -4.7 | -4.8 |
| Communication Services | 2.66 | 61.52 | 1.31 | 2.04 | 2.82 | 0.06 | -0.02 | 1.21 | 1.19 |
| Consumer Discretionary | 11.66 | -3.43 | -0.4 | 14.03 | 6.85 | 0.98 | 0.04 | -1.16 | -1.12 |
| Consumer Staples | 8.44 | -4.75 | -0.67 | 4.15 | 8.52 | 0.33 | 0.07 | -1.17 | -1.1 |
| Energy | 17.43 | -12.15 | -1.92 | 3.6 | 6.61 | 0.22 | -0.28 | -2.93 | -3.2 |
| Financials | 15.05 | 9.78 | 1.45 | 17.71 | 7.87 | 1.38 | -0.01 | 0.27 | 0.27 |
| Health Care | 8.33 | 15.72 | 1.24 | 12.62 | 13.76 | 1.73 | -0.2 | 0.1 | -0.1 |
| Industrials | 15.16 | 5.09 | 0.8 | 17.6 | 7.27 | 1.28 | 0.02 | -0.33 | -0.31 |
| Information Technology | 13.51 | 6.71 | 0.92 | 13.97 | 11.7 | 1.61 | -0.01 | -0.63 | -0.64 |
| Materials | 4.52 | 3.3 | 0.18 | 4.89 | 7.44 | 0.37 | -0.02 | -0.17 | -0.19 |
| Real Estate | 1.63 | 7.39 | 0.13 | 7.18 | 2.77 | 0.21 | 0.29 | 0.07 | 0.37 |
| Utilities | 1.62 | 1.18 | 0.01 | 2.21 | 0.07 | 0 | 0.05 | 0.01 | 0.06 |
Data sources from Factset