Satrix style tracker Q1

How we measured this in Q1 2017

| 19 April 2017

The strategies shown in this report are factors we believe are the most significant in our domestic market. The universe we use is the All Share universe excluding property and small cap shares. We rank the stocks from highest to lowest for each factor and divide the universe into quintiles (subsets or groups of 5). We then calculate the quintile spread by taking the top quintile’s return experience less that of the bottom quintile. Rebalancing and performance calculations are conducted each month. The performance results do not reflect transaction costs, tax withholdings or any investment / advisory fees.

The results of these quantitative factor strategies are significantly less diversified, and, as such, their performance is more exposed to specific stock or sector results. Past performance should not and cannot be viewed as an indicator of future performance.

While many factors outperform over the long-term, all suffer from periods of underperformance. Combining factors reduces the exposure to a single factor’s cyclical risk, and can create more diversified portfolios.

Long-term factor performance since 2000 (Local)

International experience

Looking abroad and using the S&P500 universe as a canvas, it shows that factors that had more of a growth focus (and somewhat quality) generally performed well so far in 2017. Lagging factors included valuations factors, as investors were more willing to pay higher multiples for growth stocks as earnings become more abundant.

High growth   Small size
High EPS variability   Low EV/EBITDA
ROA   Dividend yield
EPS Momentum   Price to book
ROE   Price to sales

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