An in-depth look at factor performance
Momentum
Over the last 12 months, Earnings Revision has been the sub-factor that has continued to carry the Momentum factor as Price Momentum continued to decay its returns over the same period.
Earnings Revision underperformed through the quarter, but still managed to outperform over the past 12 months with spreads of 7.5%. However, Price Momentum underperformed during the quarter and over the past 12 months, resulting in negative spreads of -11% for the year.
Value
Value continued its winning streak, closing the fourth quarter well in the positive, and was still the best-performing factor on a twelve months basis in the first quarter of 2022.
For the past twelve months, the Price-to-Book (19.1%), Earnings Yield (3.03%), Price-to-Cashflow (27.3%) and Dividend Yield (15.1%) spreads all delivered strong results.
The Value composite delivered a strong performance of 16.1% for the past year.
Quality
The Quality factor has slowly recovered over the past two quarters but was still underperforming on a 12-month basis by the end of the first quarter.
Growth (8.34%) outperformed for the year, while Leverage (-9.5%) and Profitability (-2.1%) both underperformed.
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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.
