Satrix style tracker Q3 2019

What drove performance in Q3 2019?

| 27 October 2019


The Momentum signal continues to be the best performing factor in 2019, even in a market that was characterised by significant negative returns over the third quarter. Price Momentum is now leading any other factor, with a clear margin over a 12-month period targeting very specific share exposures in the broader sectors.

Earnings revisions could not replicate the success of Price Momentum over the third quarter and is behaving differently to its usual correlated nature within the broader Momentum strategy. Having said that, it is encouraging to see the important role it plays in diversifying the return experience of a broader Momentum strategy. Over a 12-month period, the strategy is still underperforming, however, due to its significant underperformance for the duration of Q4 2018.


After Value signals domestically delivered an overall strong performance in 2018 and the first quarter of 2019, this factor was fairly neutral in the third quarter of 2019. The more defensive Dividend Yield strategy was the underperforming value factor over the third quarter, as investors rotated out of (high) yield strategies into growth and momentum.

Price to Book settled over the quarter and still posted a positive 12-month spread, following a strong second quarter. Once again, we cannot ignore the impact of a sector effect. Positive market sentiment was largely focused on financial and industrial counters (resulting in less value exposure) rather than resources (which resulted in more value exposure).


Quality, once the darling factor of 2018, continues to experience the net effects of profit taking, as the local equity market shies away from highly profitable South African counters. Return on Equity in particular has felt the brunt of the negative performance and is now well behind any other factor over a 12 month period.

Debt to Equity delivered a positive return over the quarter, as this factor’s defensive role played out well over the quarter, where markets came down considerably. Over a 12-month period, this factor still struggles to keep its head above water.

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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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