Global Beta Large Cap Multi-Factor Strategy

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.

Risk Characteristics (01/1997 – 04/2019)


Data sources from Factset
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points  Please see important disclosures.

 

Calendar Year Performance


Data sources from Factset
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points  Please see important disclosures.
YTD – 04/2019

 

Multihorizon Performance (04/2019)


Data sources from Factset
The ‘net total return’ index displayed assumes an investment into this index with an annual investment management fee of 20 basis points  Please see important disclosures.

 

Factor Attribution (04/2019)


Data sources from Factset
Please see factor definitions 

Attribution (03/31/19 – 4/30/19)


Global Beta Large Cap Multi-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)100.003.073.07100.004.054.05-0.47-0.47-0.94
Total (Net)100.003.053.05100.004.054.05-0.48-0.48-0.96
Communication Services7.772.750.2210.316.530.67-0.06-0.28-0.34
Consumer Discretionary11.496.680.7510.305.710.580.020.100.12
Consumer Staples13.733.090.427.172.520.18-0.100.08-0.02
Energy2.583.120.085.390.070.010.110.080.18
Financials7.977.820.6112.989.001.14-0.23-0.09-0.32
Health Care17.26-2.82-0.5213.89-2.63-0.39-0.22-0.04-0.26
Industrials10.203.300.349.514.110.39-0.00-0.08-0.08
Information Technology19.365.401.0321.536.431.37-0.05-0.19-0.24
Materials1.701.030.022.693.620.100.01-0.04-0.04
Real Estate1.37-0.47-0.013.01-0.47-0.010.07-0.000.07
Utilities6.070.900.053.230.930.03-0.09-0.00-0.09