Global Beta Value-Quality Factor Index

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

The Strategy

The Global Beta Value/Quality Index strategy takes the 100 securities with price-to-sales ratios that fall into the lowest quintile in the S&P 500.  We use their 12-month trailing revenue, relative to each other, to weight the 100 securities. To manage concentration risk, Global Beta Advisors imposes a 5% security issuer cap on the portfolio.

Factor Attribution (10/2019)

Data sources from Factset
Please see factor definitions 

Attribution (09/30/19 – 10/31/19)

Global Beta Value-Quality Factor 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
Communication Services1.99-0.66-0.0210.453.020.32-0.07-0.08-0.14
Consumer Discretionary15.35-0.16-0.0210.170.340.04-0.09-0.08-0.16
Consumer Staples11.41-1.46-0.187.54-0.15-0.01-0.09-0.15-0.24
Health Care31.328.392.5813.755.120.690.500.961.47
Information Technology3.11-3.72-0.1422.103.890.86-0.32-0.25-0.56
Real Estate0.461.020.003.23-0.11-

Data sources from Factset