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.

Factor Attribution (06/2019)

Data sources from Factset
Please see factor definitions 

Attribution (03/29/19 – 6/28/19)

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
Communication Services2.70-42.37-1.372.05-8.72-0.19-0.07-1.18-1.24
Consumer Discretionary6.447.100.4713.88-1.33-
Consumer Staples1.72-3.97-0.073.46-2.38-0.090.07-0.020.05
Health Care3.195.120.1811.222.170.29-
Information Technology11.228.320.9114.804.020.57-0.060.470.41
Real Estate0.712.850.027.17-0.43-