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.
Attribution (09/30/19 – 10/31/19)
| 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 | 3.26 | 3.26 | 100.00 | 2.17 | 2.17 | -0.40 | 1.47 | 1.07 |
| Communication Services | 1.99 | -0.66 | -0.02 | 10.45 | 3.02 | 0.32 | -0.07 | -0.08 | -0.14 |
| Consumer Discretionary | 15.35 | -0.16 | -0.02 | 10.17 | 0.34 | 0.04 | -0.09 | -0.08 | -0.16 |
| Consumer Staples | 11.41 | -1.46 | -0.18 | 7.54 | -0.15 | -0.01 | -0.09 | -0.15 | -0.24 |
| Energy | 14.73 | 3.90 | 0.60 | 4.42 | -2.29 | -0.10 | -0.45 | 0.91 | 0.45 |
| Financials | 7.51 | -3.23 | -0.25 | 12.88 | 2.41 | 0.31 | -0.01 | -0.42 | -0.44 |
| Health Care | 31.32 | 8.39 | 2.58 | 13.75 | 5.12 | 0.69 | 0.50 | 0.96 | 1.47 |
| Industrials | 10.95 | 5.59 | 0.60 | 9.24 | 1.08 | 0.10 | -0.02 | 0.48 | 0.47 |
| Information Technology | 3.11 | -3.72 | -0.14 | 22.10 | 3.89 | 0.86 | -0.32 | -0.25 | -0.56 |
| Materials | 2.91 | 2.90 | 0.08 | 2.68 | 0.04 | -0.00 | -0.00 | 0.08 | 0.08 |
| Real Estate | 0.46 | 1.02 | 0.00 | 3.23 | -0.11 | -0.00 | 0.06 | 0.00 | 0.07 |
| Utilities | 0.25 | 5.18 | 0.01 | 3.55 | -0.76 | -0.03 | 0.10 | 0.01 | 0.11 |
Data sources from Factset