Satrix Style Tracker

The quarterly Satrix Style Tracker chronicles the success of a range of factors over the medium to long-term for the South African investor. In this publication, we share with you our most recent analysis for the second quarter.

Introducing Factor Investing

Factors are measurable characteristics of listed stocks that may in some way explain future performance. The most well understood factor is likely the price to earnings (PE) ratio. Many studies have shown that stocks that have low PEs tend to outperform stocks with high PEs over the long term. This is often referred to as ‘value investing’ in the active space. We measure many of these ‘factors’ and then test to see whether they have any predictive power.
Factor investing has the ability to empower asset consultants and multi-managers to build client portfolios simply and efficiently. Factor investing is revolutionising both the passive and active investment industry, from the transparent way in which factor portfolios are systematically constructed to the capability of building tailored investment outcomes with greater diversification and predictability to lower fees, and lastly to reliably and consistently delivering a specific investment philosophy.

Quarter Three 2018


  • VIEW ARTICLE
    What worked and what didn't in Q3 2018?
    2 November 2018
    The third quarter of 2018 once again saw some interesting factor performance, in what was a characteristic risk-off environment.
  • VIEW ARTICLE
    What drove performance in Q3 2018?
    2 November 2018
    In the charts on the following page, we take an in-depth look at the drivers of the last quarter’s performance for the various styles: Momentum (Price Momentum and Earnings Momentum), Value (Price to Book and Dividend Yield) and Quality (Return on Equity and Debt to Equity).
  • VIEW ARTICLE
    How we measured this in Q3 2018
    2 November 2018
    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 quartiles (subsets or groups of five). We then calculate the quintile spread by taking the top quartile’s return experience less that of the bottom quartile.
  • VIEW ARTICLE
    SATRIX STYLE TRACKER Q3 2018 PDF
    2 November 2018
    The quarterly Satrix Style Tracker chronicles the successes of a range of factors over the medium to long term for the South African institutional investor.

Quarter Two 2018


  • VIEW ARTICLE
    What worked and what didn't in Q2 2018?
    24 July 2018
    The second quarter of 2018 saw some reversal of the first quarter’s factor performance. Price to Book made a complete U-turn over the quarter, topping the list with a return spread of 9.8%, while the worst performing factor was Price Momentum (-8.2%).
  • VIEW ARTICLE
    What drove performance in Q2 2018?
    24 July 2018
    In the charts on the following pages we look in-depth at the drivers of the last quarter’s performance for the various styles: Momentum (Price Momentum and Earnings Momentum), Value (Price to Book and Dividend Yield) and Quality (Return on Equity and Debt to Equity).
  • VIEW ARTICLE
    How we measured this in Q2 2018
    24 July 2018
    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 quartiles (subsets or groups of five). We then calculate the quintile spread by taking the top quartile’s return experience less that of the bottom quartile.
  • VIEW ARTICLE
    SATRIX STYLE TRACKER Q2 2018 PDF
    24 July 2018
    The quarterly Satrix Style Tracker chronicles the successes of a range of factors over the medium to long term for the South African institutional investor.

Quarter One 2018


  • VIEW ARTICLE
    What worked and what didn’t in Q1 2018?
    24 April 2018
    The first quarter of the year saw some continuation of 2017’s factor performance. ROE (Return on Equity) once again topped the list with a return spread of 12.3%, with the worst performing factor was again the deep value measure of Price to Book (-8.7%).
  • VIEW ARTICLE
    What drove performance in Q1 2018?
    25 April 2018
    In the charts on the following page, we take an in-depth look at the drivers of the last quarter’s performance for the various styles: Momentum (Price Momentum and Earnings Momentum), Value (Price to Book and Dividend Yield) and Quality (Return on Equity and Debt to Equity).
  • VIEW ARTICLE
    How we measured this in Q1 2018
    25 April 2018
    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 quartiles (subsets or groups of four). We then calculate the quartile spread by taking the top quartile’s return experience, less that of the bottom quartile.
  • ACTIVE AINT WHAT IT USED TO BE
    VIEW ARTICLE
    Satrix Style Tracker Q1 2018 PDF
    30 April 2018
    The quarterly Satrix Style Tracker chronicles the successes of a range of factors over the medium to long term for the South African institutional investor.

Quarter Four 2017

  • VIEW ARTICLE
    What drove performance in Q4 2017?
    26 January 2018
    In the charts on the following page we look in-depth at the drivers of the last quarter’s performance for the various styles: Momentum (Price Momentum and Earnings Momentum), Value (Price to Book and Dividend Yield) and Quality (Return on Equity and Debt to Equity).
  • VIEW ARTICLE
    How we measured this in q4 2017
    26 January 2018
    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 five). We then calculate the quintile spread by taking the top quintile’s return experience less that of the bottom quintile.
  • VIEW ARTICLE
    What worked and what didn’t in q4 2017?
    26 January 2018
    The final quarter of 2017 delivered some interesting factor performances. At the top of the list was ROE (Return on Equity) with a return spread of +11.2%, while the worst performing factor was the deep value measure of Price to Book (-17%). The more defensive Value measure of Dividend Yield on the other hand excelled as investors scrambled for defensive stocks. Price Momentum once again delivered a strong performance of +8.4%.
  • VIEW ARTICLE
    Satrix style tracker Q4 pdf
    28 January 2018
    The quarterly Satrix Style Tracker chronicles the success of a range of factors over the medium to long-term for the South African institutional investor.

Quarter Three 2017

  • What worked what did not
    VIEW ARTICLE
    What worked and what didn’t in Q3 2017
    8 November 2017
    All factors delivered positive performance during the third quarter. Notably, Momentum factors – both Price and Earnings Momentum – were the best performing factors during the third quarter, with returns of 13.3% and 9.7% respectively. On the other hand, Value factors performed worst (after being the best performers last quarter), although still with positive performance. Quality factors, in particular Debt to Equity, delivered decent positive returns over the period.
  • How we measured this in Q3
    VIEW ARTICLE
    How we measured this in Q3 2017
    8 November 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.
  • What drove performance in Q3 2017
    VIEW ARTICLE
    What drove performance in Q3 2017?
    8 November 2017
    In the charts on the following page we look in-depth at the drivers of the last quarter’s performance for the various styles: Momentum (Price Momentum and Earnings Momentum), Value (Price to Book and Dividend Yield) and Quality (Return on Equity and Debt to Equity).
  • Satrix Style Tracker Q3 PDF
    VIEW ARTICLE
    Satrix Style Tracker Q3 PDF
    8 November 2017
    The quarterly Satrix Style Tracker chronicles the success of a range of factors over the medium to long-term for the South African institutional investor.

Quarter Two 2017

  • VIEW ARTICLE
    What worked and what didn’t in Q2 2017
    31 July 2017
    Price to Book and Dividend Yield were the best performing factors during the second quarter with returns of 2.7% and 2.3% respectively, while ROE (the best performing factor last quarter) and Price Momentum struggled over the same period.
  • VIEW ARTICLE
    What drove performance in Q2 2017?
    31 July 2017
    In the charts on the following page we look in-depth at the drivers of the last quarter’s performance for the various styles: Momentum (Price Momentum & Earnings Momentum), Value (Price to Book and Dividend Yield) and Quality (Return on Equity and Debt to Equity).
  • VIEW ARTICLE
    How we measured this in Q2 2017
    30 July 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.
  • VIEW ARTICLE
    Satrix Style Tracker Q2 PDF
    30 July 2017
    The quarterly Satrix Style Tracker chronicles the success of a range of factors over the medium to long-term for the South African institutional investor.

Quarter One 2017

  • LISTEN TO PODCAST
    Introducing the new Satrix Style Tracker
    6 June 2017
    The Satrix Style Tracker chronicles the success and performance of a number of different factors in South Africa. For the first quarter of 2017, Return on Equity was the best performer, while Earnings Momentum and Dividend Yield lagged.
  • VIEW ARTICLE
    What worked and what didn’t in Q1 2017
    21 April 2017
    Return on Equity was the best performing factor during Q1 2017, while Earnings Momentum and Dividend Yield struggled with negative performance spreads.
  • VIEW ARTICLE
    What drove performance in Q1 2017?
    20 April 2017
    In the charts on the following page we look in-depth at the drivers of the last quarter’s performance for the various styles: Momentum (Price Momentum and Earnings Momentum), Value (Price to Book and Dividend Yield) and Quality (Return on Equity and Debt to Equity).
  • VIEW ARTICLE
    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.
  • VIEW ARTICLE
    Satrix Style Tracker PDF
    18 April 2017
    The quarterly Satrix Style Tracker chronicles the success of a range of factors over the medium to long-term for the South African institutional investor.