Global Beta Smart Income Index Strategy

The Strategy

The Global Beta Smart Income Index tracks the components of the S&P 900 with the highest average 12 month trailing dividend yield over the prior 4 quarters on a diversified basis.

Factor Attribution (08/2019)


Data sources from Factset
Please see factor definitionsĀ 

AttributionĀ (06/28/19 – 08/30/19)


Global Beta Smart Income IndexS&P 500Attribution Analysis
Port. Average WeightPort. Total ReturnPort. Contrib. To ReturnBench. Average WeightBench. Total ReturnBench. Contrib. To ReturnGeometric Allocation EffectGeometric Selection EffectGeometric Total Effect
Total100.00-4.18-4.18100.00-0.36-0.36-0.49-3.36-3.84
Communication Services10.294.130.429.891.710.160.020.250.27
Consumer Discretionary16.37-11.07-1.8510.36-0.59-0.06-0.01-1.77-1.78
Consumer Staples8.25-1.20-0.107.134.210.300.06-0.41-0.36
Energy14.26-10.87-1.594.60-10.42-0.51-1.00-0.07-1.08
Financials6.61-8.92-0.5913.19-2.56-0.350.15-0.44-0.29
Health Care8.98-9.45-0.8513.71-2.06-0.280.09-0.68-0.59
Industrials4.41-5.85-0.259.65-2.28-0.220.11-0.16-0.05
Information Technology8.595.700.4821.431.650.34-0.250.350.10
Materials6.11-7.88-0.442.97-3.51-0.11-0.10-0.26-0.36
Real Estate4.170.160.023.626.010.220.04-0.24-0.20
Utilities11.964.880.573.454.470.160.420.050.47

Data sources from Factset