Global Beta Value-Quality Factor Index Strategy

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 (06/2019)


Data sources from Factset
Please see factor definitions 

Attribution (03/31/19 – 06/28/19)


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
Total100.003.633.63100.004.304.30-1.360.72-0.65
Communication Services1.658.930.1510.294.490.42-0.010.070.06
Consumer Discretionary14.553.510.5410.255.280.530.05-0.23-0.19
Consumer Staples17.042.460.437.313.720.27-0.03-0.20-0.24
Energy13.68-3.08-0.415.15-2.83-0.16-0.56-0.02-0.58
Financials7.3013.810.9913.098.001.02-0.190.390.20
Health Care28.754.121.2614.021.380.20-0.370.820.45
Industrials11.225.430.639.423.570.350.210.21
Information Technology2.353.200.0821.426.061.29-0.32-0.06-0.38
Materials2.79-1.99-0.052.696.210.19-0.22-0.22
Real Estate0.453.740.023.062.460.080.050.010.05
Utilities0.23-6.56-0.023.303.480.120.03-0.02