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 (3/31/20 – 4/30/20)
| 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 | 13.47 | 13.47 | 100 | 12.7 | 12.7 | 1.47 | -0.77 | 0.7 |
| Total (Net) | 100 | 13.45 | 13.45 | 100 | 12.7 | 12.7 | 1.46 | -0.78 | 0.68 |
| Communication Services | 2.38 | 0.1 | -0.2 | 2.83 | 8.1 | 0.26 | 0.06 | -0.26 | -0.2 |
| Consumer Discretionary | 12.81 | 36.28 | 4.68 | 12.29 | 28.03 | 3.41 | 0.04 | 1.01 | 1.06 |
| Consumer Staples | 10.04 | 3.81 | 0.65 | 3.9 | 7.59 | 0.32 | -0.33 | -0.3 | -0.63 |
| Energy | 8.42 | 30.6 | 2.25 | 2.08 | 53.86 | 1 | 2.01 | -1.31 | 0.67 |
| Financials | 29.46 | 7.38 | 2 | 16.61 | 5.78 | 0.77 | -0.79 | 0.43 | -0.37 |
| Health Care | 8.9 | 15.39 | 1.42 | 13.72 | 12.11 | 1.68 | -0.01 | 0.26 | 0.25 |
| Industrials | 15.11 | 4.2 | 0.49 | 17.61 | 9.25 | 1.64 | 0.07 | -0.72 | -0.65 |
| Information Technology | 9.67 | 18.34 | 1.93 | 15.67 | 14.89 | 2.43 | -0.12 | 0.3 | 0.18 |
| Materials | 0.76 | 20.81 | 0.17 | 4.78 | 11.65 | 0.58 | 0.04 | 0.06 | 0.1 |
| Real Estate | 2.45 | 3.16 | 0.08 | 7.66 | 8.68 | 0.55 | 0.2 | -0.13 | 0.07 |
| Utilities | — | — | — | 2.85 | 0.91 | 0.05 | 0.3 | — | 0.3 |
Data sources from Factset