An in-depth look at factor performance
Momentum
Although Price Momentum picked up in July and August, it continued its 12-month correction through September, correcting -32.4% over this period.
Despite this, Earnings Revision continued to outperform in the last year, with spreads at 20% over that period and most of the performance coming through from the quarter ending September.
Platinum stocks led the way during the quarter for the Momentum signal, and on a year-to-date basis the mining stocks in general continued to be the main positive contributor.
Value
Value continued to be the best-performing factor, both on a year-to-date basis and over the last twelve months.
For the last year, Price-to-Book (25.8%) and Earnings Yield (114.9%) performed particularly well, with previously beaten down stocks outpacing the market, which was fairly flat during the third quarter.
Dividend yield and Price to Cashflow continued to underperform during the quarter, but had a counter-balance in the form of the Price to Book and Earnings Yield signals.
Quality
Quality signals produced mixed results on a full-year basis.
While both Profitability and Leverage outperformed during the third quarter, on a 12-month basis Profitability underperformed by -40.8% while Leverage outperformed by 47.8%.
Click here to download the PDF version
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.
