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27 January 2021Locally, Value was the best-performing factor, continuing its rebound from years past and cementing the notion of a Value rebound. Low Volatility posted double digit positive return spreads through the quarter, highlighting that "stable" and "cheap" were the dominant factors locally in an otherwise historically turbulent year.
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27 January 2021In the charts on the following pages we look in-depth at the drivers of the past 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).
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27 January 2021The 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.
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27 January 2021In this publication, we share with you our most recent analysis for the fourth quarter of 2020.
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 fourth quarter of 2020.
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 Four 2020
Quarter Three 2020
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26 November 2020Value underperformed as investors favoured safer alternatives. Locally, Price Momentum (18.4%) showed a high return predictive signal while Earnings Revisions (39.0%) continued to bolster Momentum. Price to Book (-6.4%) & Earnings Yield (-1.0%) trailed. Profitability (6.7%) & Leverage (7.4%) showed robust return predictive signals, while Growth (-5.7%) failed to deliver.
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26 November 2020In the charts on the following pages we look in-depth at the drivers of the past 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).
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26 November 2020The 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.
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26 November 2020In this publication, we share with you our most recent analysis for the third quarter of 2020.
Quarter Two 2020
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10 August 2020Volatility continued into the second quarter of 2020 with the market bouncing back from its lows in March. This lead to factor spreads experiencing even more distorted dispersion numbers than Q1. Price Momentum (-58.8%) and Return on Equity (-51.4%) were hit the hardest.
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11 August 2020In the charts on the following pages we look in-depth at the drivers of the past 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).
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12 August 2020The 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).
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13 August 2020In this publication, we share with you our most recent analysis for the second quarter of 2020.
Quarter One 2020
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9 May 2020The first quarter of 2020 was characterised by unprecedented volatility amid the COVID-19 crisis. Factor spreads similarly experienced massive dispersion. Despite this, the clear winner for the quarter was Price Momentum which returned a whopping +35.0% followed by Return on Equity (17.1%).
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10 May 2020In the charts on the following pages we look in-depth at the drivers of the past 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).
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11 May 2020The 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).
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12 May 2020In this publication, we share with you our most recent analysis for the first quarter of 2020.
Quarter Four 2019
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5 February 2020The fourth quarter of 2019 ended the year in strong favour of Momentum factors, as Price Momentum and Earnings Revisions showed the strongest performance, Quality and Value factors both performed poorly, while Price to Book had a positive 2019. Dividend Yield was one of the poorest performing factors over the year.
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5 February 2020In 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).
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5 February 2020The 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.
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5 February 2020In this publication, we share with you our most recent analysis for the final quarter of 2019.
Quarter Three 2019
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27 October 2019The Q3 of 2019 continued to favour Momentum factors, with Price Momentum the clear winner, and Earnings Revisions taking a breather. After Quality factors ended strongly in 2018, 2019 continued to see a reversal with Return on Equity (RoE) performing poorly over the quarter, and Debt to Equity performing fairly neutrally.
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27 October 2019The 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).
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27 October 2019In 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).
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27 October 2019In this publication, we share with you our most recent analysis for the third quarter of 2019.
Quarter Two 2019
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1 August 2019In 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).
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1 August 2019The 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.
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1 August 2019The second quarter of 2019 was largely dominated by Momentum factors, which delivered overall strong performance. Value factors fell, with Dividend Yield (-7.2%) performing worst. Quality factors produced fairly neutral returns compared to the previous quarter.
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1 August 2019In this publication, we share with you our most recent analysis for the second quarter of 2019.
Quarter One 2019
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8 May 2019In 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).
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8 May 2019The 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 factor score for each factor and divide the universe into quintiles (subsets or groups of four). We then calculate the quintile spread by taking the top quintile’s return experience less that of the bottom quintile.
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8 May 2019After a disappointing fourth quarter in 2018 from a factor performance perspective, both Momentum and Value factors saw a rebound and delivered positive return spreads. Value factors led the way, while Quality and Debt to Equity fell.
Quarter Four 2018
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17 January 2019The fourth quarter of 2018 saw a turbulent and disappointing period of performance across all six factors…
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17 January 2019In 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).
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17 January 2019The 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.
Quarter Three 2018
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.
Quarter Two 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%).
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.
Quarter One 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%).
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.
Quarter Four 2017
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26 January 2018In 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).
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26 January 2018The 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.
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26 January 2018The 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%.
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28 January 2018The 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
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8 November 2017All 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.
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8 November 2017The 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.
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8 November 2017In 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).
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8 November 2017The 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
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30 July 2017The quarterly Satrix Style Tracker chronicles the success of a range of factors over the medium to long-term for the South African institutional investor.
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30 July 2017The 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.
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31 July 2017In 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).
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31 July 2017Price 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.
Quarter One 2017
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27 October 2019The Q3 of 2019 continued to favour Momentum factors, with Price Momentum the clear winner, and Earnings Revisions taking a breather. After Quality factors ended strongly in 2018, 2019 continued to see a reversal with Return on Equity (RoE) performing poorly over the quarter, and Debt to Equity performing fairly neutrally.
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27 October 2019The 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).
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27 October 2019In 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).
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27 October 2019In this publication, we share with you our most recent analysis for the third quarter of 2019.