Satrix style tracker Q1 2020

What Drove Performance in Q1 2020?

| 10 May 2020

An in-depth look at factor performance


Momentum continues to be the best-performing factor and is now leading any other factor by a whopping 73% over the last 12-month period, ending March 2020. Our overweight allocation to sectors like food and drug retailers and gold mining were amongst the largest contributors to outperformance.

Earnings revisions on the other hand struggled to extract a premium during these volatile months as estimates were quickly revised to take the effect of the pandemic on the economy into account.


Domestically, Value was the worst performing factor during the sell-off, as investors preferred stocks that was more robust (and expensive) during a recession.

Price-to-Book performed particularly poorly, with book values not giving investors any comfort for the future.

The Dividend yield strategy also suffered, although not as much, as the market casted its doubts on companies’ ability to continue to pay out dividends.


Quality provided much-needed diversification as a factor during the downturn, as investors were looking for good solid companies that would still be profitable in a recession.

Return on Equity was the best-performing quality signal, returning double digits over the quarter. Debt to Equity continued to struggle and offered negative returns over the quarter.

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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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