Satrix style tracker Q2 2020

What Drove Performance in Q2 2020?

| 11 August 2020

An in-depth look at factor performance



The Momentum signal had a dramatic turnaround and wiped out its previous advances and is now down 37% over a 12-month period. An underweight in Sasol, which surged over 200% in the quarter, is only one of the examples of why Price Momentum doesn’t perform well at sharp inflection points. Positive contributors were gold mining and as well as other miners.

Even though Earnings Revisions was negative over the quarter, it softened the blow of Price Momentum and is now down 15.6% over 12 months.


For the first time in the year, Value was the best performing factor, as beaten down stocks surged in the second quarter and investors snapped up some bargains.

Price-to-Book performed particularly well with these bargain stocks outpacing the market which bounced back in the second quarter. The

Dividend Yield strategy marginally underperformed as historical yields don’t count for much in these uncertain times.


Quality reversed its fortunes of Q1 as those stocks with higher profitability were not preferred in a market which showed some hope of a prolonged recovery.

Return on Equity was the worst performing quality signal, giving away more than 50% over the quarter.

Debt to Equity, however, surged as highly leveraged stocks that overreacted to the market sell-off in Q1, sharply reversed in Q2.

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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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