Global Beta Value-Quality Factor Index

The Strategy

The Global Beta Value/Quality Index strategy first identifies securities with a quick ratio that falls within the top half of the S&P 500. We then identify the securities that fall in the bottom half of that subset by their current price to sales ratio. Finally, we look at the securities’ 12-month trailing revenue, then sum all 100 securities’ revenues for the period, then divide each security’s revenue by the sum of all 100 securities revenue for the period, which becomes each security’s weighting. To manage concentration risk, Global Beta Advisors imposes a 5% security issuer cap on the portfolio.