Satrix style tracker Q3 2021

What Drove Performance in Q3 2021?

| 17 November 2021

An in-depth look at factor performance



Earnings Revision continued to outperform in the last 12 months with spreads at 8%, while Price Momentum lagged somewhat (4.6%). Most of the gains for Momentum came through in September, where Basic Materials contributed positively while Consumer Services detracted from performance. However these gains were not enough to carry the strategy for the entire quarter.

Momentum Factors


Value retracted in the third quarter at the expense of Momentum, although it continued to be one of the best-performing factors on a twelve months basis.

For the last twelve months, the Price-to-Book (35.9%), Dividend Yield (10.8%) and Price-to-Cashflow (35%) factors performed strongly.

Earnings Yield (-0.6%) underperformed through the last 12 months and it also did not have a good quarter (-9.3%).

Value Factors


The Quality factor continued being on the backfoot and again it produced mixed results both on a quarterly basis and on a full year basis.

Growth (54.2%) outperformed for the year, and on a quarterly basis Growth (17.1%) was the only outperformer.

Leverage (-17.1%) and Profitability (-10.7%) underperformed during the quarter and also underperformed -33.4% and -26.7% respectively on a 12 months basis.

Q2 Quality

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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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