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.
Attribution (03/31/19 – 06/28/19)
| Global Beta Value-Quality Factor Index | S&P 500 | 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 | 100.00 | 3.63 | 3.63 | 100.00 | 4.30 | 4.30 | -1.36 | 0.72 | -0.65 |
| Communication Services | 1.65 | 8.93 | 0.15 | 10.29 | 4.49 | 0.42 | -0.01 | 0.07 | 0.06 |
| Consumer Discretionary | 14.55 | 3.51 | 0.54 | 10.25 | 5.28 | 0.53 | 0.05 | -0.23 | -0.19 |
| Consumer Staples | 17.04 | 2.46 | 0.43 | 7.31 | 3.72 | 0.27 | -0.03 | -0.20 | -0.24 |
| Energy | 13.68 | -3.08 | -0.41 | 5.15 | -2.83 | -0.16 | -0.56 | -0.02 | -0.58 |
| Financials | 7.30 | 13.81 | 0.99 | 13.09 | 8.00 | 1.02 | -0.19 | 0.39 | 0.20 |
| Health Care | 28.75 | 4.12 | 1.26 | 14.02 | 1.38 | 0.20 | -0.37 | 0.82 | 0.45 |
| Industrials | 11.22 | 5.43 | 0.63 | 9.42 | 3.57 | 0.35 | — | 0.21 | 0.21 |
| Information Technology | 2.35 | 3.20 | 0.08 | 21.42 | 6.06 | 1.29 | -0.32 | -0.06 | -0.38 |
| Materials | 2.79 | -1.99 | -0.05 | 2.69 | 6.21 | 0.19 | — | -0.22 | -0.22 |
| Real Estate | 0.45 | 3.74 | 0.02 | 3.06 | 2.46 | 0.08 | 0.05 | 0.01 | 0.05 |
| Utilities | 0.23 | -6.56 | -0.02 | 3.30 | 3.48 | 0.12 | 0.03 | -0.02 | — |