Satrix style tracker Q2 2018

What drove performance in Q2 2018?

| 24 July 2018


June saw major factor reversals as the cyclical Price Momentum factor underperformed amid concerns of trade wars and slowing global growth. Both Growth and Price Momentum factor underperformed amid concerns of trade wars and slowing global growth. Both Growth and Price Momentum factors have been recent winners, thus naturally exposing themselves to profit taking in what can arguably be termed crowded positions. Price Momentum still shows positive 12-month performance, but will require stabilisation in market conditions to recover.

Earnings Revisions (a sub-component of headline Momentum) suddenly came alive in Quarter 2, as investors gravitated toward companies with positive earnings sentiment. Interestingly, Earnings and Price Momentum continue to exhibit divergent performances.


After two consecutive very poor quarters, Price to Book rekindled its 2016 performance where cyclical value was favoured. To some extent the unwinding of Momentum has benefited deep value measures (Price to Book) in the short term, however should macro uncertainty continue and deepen, we may see a shift toward more defensive Value or Quality strategies. Price to Book remains the worst performing strategy over 12 months.

Dividend Yield, on the other hand, has experienced mixed fortunes, as the environment tussled between ‘flight-to-safety’ and pro-risk. Over the previous year, however, investors continued to show a preference toward yield as opposed to more deep value.


After a stellar 2017, the Return on Equity (ROE) factor experienced another strong first half of the year as investors have continued to favour stocks with defensive characteristics. While the strength of this positive performance seems to be waning, global macro concerns continue to weigh on risk appetites, which has compelled investors to seek companies that return high profits despite macro headwinds.

Debt to Equity continues to incrementally add positive returns, and has started to establish it’s more consistent and traditional role of providing protection during market stress. Pre-2018, the factor typically showed only sporadic bursts of defensiveness, but largely disappointed during periods of market corrections.

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Satrix Managers (RF) (Pty) Ltd (Satrix) a registered and approved Manager in Collective Investment Schemes in Securities and an authorised financial services provider in terms of the FAIS. Collective investment schemes are generally medium- to long-term investments. Unit Trusts and ETFs the investor essentially owns a “proportionate share” (in proportion to the participatory interest held in the fund) of the underlying investments held by the fund. With Unit Trusts, the investor holds participatory units issued by the fund while in the case of an ETF, the participatory interest, while issued by the fund, comprises a listed security traded on the stock exchange. ETFs are index tracking funds, registered as a Collective Investment and can be traded by any stockbroker on the stock exchange or via Investment Plans and online trading platforms. ETFs may incur additional costs due to it being listed on the JSE. Past performance is not necessarily a guide to future performance and the value of investments / units may go up or down. A schedule of fees and charges, and maximum commissions are available on the Minimum Disclosure Document or upon request from the Manager. Collective investments are traded at ruling prices and can engage in borrowing and scrip lending. Should the respective portfolio engage in scrip lending, the utility percentage and related counterparties can be viewed on the ETF Minimum Disclosure Document. The Manager does not provide any guarantee either with respect to the capital or the return of a portfolio. The index, the applicable tracking error and the portfolio performance relative to the index can be viewed on the ETF Minimum Disclosure Document and/or on the Satrix website. Performance is based on NAV to NAV calculations of the portfolio. Individual performance may differ to that of the portfolio as a result of initial fees, actual investment date, dividend withholding tax and income reinvestment date. The reinvestment of income is calculated based on actual distributed amount and factors such as payment date and reinvestment date must be considered. If the fund holds assets in foreign countries it could be exposed to the following risks regarding potential constraints on liquidity and the repatriation of funds: macro-economic, political, foreign exchange, tax, settlement and potential limitations on the availability of market information.
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