Global Beta Smart Income Index Strategy

Click the link below for historical returns of Global Beta indexes, calculated by S&P Dow Jones.

The Strategy

The Global Beta Smart Income Index strategy identifies the securities of the S&P 900 with the highest average 12-month trailing dividend yield over the prior 4 quarters.  From that universe, we select the top half of companies within each GICs sector by yield. We then sum those selected securities’ revenues for the period and divide each security’s revenue by that sum, which becomes the security’s weighting.  To manage concentration risk, Global Beta Advisors imposes a 5% security issuer cap on the portfolio.

Factor Correlation (8/31/19 – 8/31/20)


Data sources from Factset
Please see factor definitions 

Attribution (6/30/20 – 8/31/20)


Global Beta Smart Income IndexS&P 900Attribution Analysis
Port. Average WeightPort. Total ReturnPort. Contrib. To ReturnBench. Average WeightBench. Total ReturnBench. Contrib. To ReturnGeometric Allocation EffectGeometric Selection EffectGeometric Total Effect
Total (Gross)100.006.216.21100.0012.9512.95-3.96-2.09-6.05
Total (Net)100.006.186.18100.0012.9512.95-3.97-2.11-6.05
Communication Services7.558.550.6410.4416.361.69-0.07-0.53-0.60
Consumer Discretionary2.446.800.1811.3818.902.10-0.45-0.26-0.70
Consumer Staples13.084.470.586.8112.040.83-0.05-0.91-0.94
Energy19.14-5.74-1.062.53-5.62-0.15-2.82-0.01-2.82
Financials11.171.730.1810.187.780.81-0.00-0.65-0.64
Health Care7.106.370.4514.318.141.210.30-0.130.17
Industrials12.9825.253.018.4913.211.110.061.291.35
Information Technology11.117.900.9026.8718.014.73-0.69-1.00-1.68
Materials6.6711.220.772.7711.680.33-0.040.01-0.02
Real Estate2.326.490.153.133.760.130.070.060.15
Utilities6.455.940.393.104.690.17-0.260.09-0.16

Data sources from Factset