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.
2 November 2018
The third quarter of 2018 once again saw some interesting factor performance, in what was a characteristic risk-off environment.
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).
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.
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.
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%).
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).
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.
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.
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%).
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).
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.
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.
