The Strategy
The Global Beta Large Cap Multi Factor index strategy rotates the Global Beta Value-Quality Factor Index, the Global Beta Momentum-Growth Factor Index, and the Global Beta Low Beta Factor Index tactically. The rotation is based on each indexes’ current price to sales relative to its historical moving average. If the current price to sales is one standard deviation above the historical average, that index is assigned as underweight. If the current price to sales is one standard deviation below the historical average, that index is assigned as overweight. If the current price to sales falls within the mean (i.e.: between 1 standard deviation below and above the historical average), then it is assigned an equal weight. The strategy is a fully invested strategy; therefore, any excess weight that is not invested based on the aforementioned parameters are then prorated amongst the 3 indexes.
Attribution (6/28/19 – 08/30/19)
| Global Beta Large Cap Multi-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 | 1.77 | 1.77 | 100.00 | -0.17 | -0.17 | 1.23 | 0.71 | 1.94 |
| Communication Services | 7.59 | 1.50 | 0.12 | 10.39 | 1.79 | 0.17 | -0.05 | -0.02 | -0.07 |
| Consumer Discretionary | 10.40 | -0.38 | -0.03 | 10.20 | -0.34 | -0.03 | — | — | — |
| Consumer Staples | 24.11 | 6.25 | 1.46 | 7.44 | 4.35 | 0.32 | 0.75 | 0.43 | 1.18 |
| Energy | 4.57 | -7.13 | -0.33 | 4.74 | -9.71 | -0.49 | 0.02 | 0.13 | 0.15 |
| Financials | 5.49 | -2.09 | -0.11 | 12.98 | -2.51 | -0.34 | 0.18 | 0.02 | 0.20 |
| Health Care | 17.24 | -0.40 | -0.06 | 13.98 | -2.08 | -0.28 | -0.05 | 0.30 | 0.24 |
| Industrials | 4.85 | -4.32 | -0.21 | 9.22 | -1.97 | -0.19 | 0.08 | -0.12 | -0.03 |
| Information Technology | 5.26 | -0.22 | — | 21.83 | 1.81 | 0.38 | -0.32 | -0.11 | -0.42 |
| Materials | 2.89 | -3.25 | -0.09 | 2.74 | -3.18 | -0.09 | — | — | — |
| Real Estate | 5.56 | 9.07 | 0.50 | 3.13 | 6.70 | 0.21 | 0.17 | 0.12 | 0.29 |
| Utilities | 12.05 | 4.52 | 0.54 | 3.36 | 4.87 | 0.17 | 0.44 | -0.04 | 0.40 |
Data sources from Factset