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 identifies the 100 securities with price-to-sales ratios that fall into the lowest quintile in the S&P 500.  We identify each of 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 the security’s weighting. To manage concentration risk, Global Beta Advisors imposes a 5% security issuer cap on the portfolio.

Factor Correlation (6/30/19 – 6/30/2020)

Data sources from Factset
Please see factor definitions 

Attribution (3/31/20 – 6/30/20)

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
Total (Gross)10017.6617.6610020.5420.54-1.78-0.62-2.4
Total (Net)10017.6117.6110020.5420.54-1.81-0.64-2.45
Communication Services1.5834.180.4810.8720.
Consumer Discretionary13.0233.414.0410.4232.863.
Consumer Staples16.976.221.367.358.120.73-1.07-0.26-1.33
Health Care31.112.654.0615.1613.552.26-0.92-0.26-1.18
Information Technology2.97.660.2126.1430.537.47-1.86-0.56-2.41
Real Estate0.4319.920.082.8913.

Data sources from Factset