Satrix style tracker Q4 2020

What Drove Performance in Q4 2020?

| 27 January 2021

An in-depth look at factor performance



Price Momentum never recovered from its April underperformance, and closed the year down, with spreads over 12 months at -40%. Despite this, Earnings Revision continued to outperform in 2020 with spreads at 21%, albeit mostly attributable to the quarter ending September.


Gold stocks led the way into the negative territory during the quarter for the Momentum signal, and on a year-to-date basis, Platinum stocks in general continued to be the main positive contributor.

Graph 2


Value continued to be the best-performing factor on both a quarterly period and over the last twelve months of 2020.


For the last year, Price-to-Book (45.83%) and Earnings Yield (148.6%) attributes performed strongly, with Financials underpinning much of this spread performance.


Dividend Yield (-21.5%) continued to underperform through the year, though it did pick up strongly during the past quarter (11.6%), with Price to Cashflow (4.43%) also contributing positively, albeit less dramatically, over the year.

Graph 3


Quality signals continued to produce mixed results both on a quarterly basis and on a full year basis.


While both Growth (32.6%) and Leverage (32.1%) outperformed for the year, on a quarterly basis Growth (14.5%) was the only outperformer, while Leverage (-14.6%) and Profitability (-3.0%) underperformed during the fourth quarter.

Graph 4

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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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