An in-depth look at factor performance
Momentum
Earnings Revision was the sub-factor that carried Momentum through the year, and it continued to outperform throughout the entire quarter, finishing off the last 12 months with spreads of 16.1%.
Price Momentum dragged performance down during the quarter, resulting in it producing spreads of 3.6% for the last 12 months. This underscores our conviction in supplementing price momentum with a measure of earnings momentum.
Value
Value closed the fourth quarter on a high, and it continued to be the best performing factor on a twelve months basis.
For the past twelve months, the Price-to-Book (24.1%), Dividend Yield (10.2%) and Price-to-Cashflow (27.1%) attributes performed strongly.
Earnings yield (-0.8%) continued underperforming through the last 12 months, despite Value’s good overall fourth quarter (-9.3%).
Quality
The Quality factor was the hardest hit of all the factors. Even with a strong fourth quarter performance, it continued being on the backfoot.
Growth (21.5%) was the odd one out compared to the outperformance trend, as it outperformed for the year. However, on a quarterly basis, Growth (-9.8%) was the only underperformer, while Leverage (8.2%) and Profitability (8.7%) outperformed during the quarter, despite underperforming strongly by -15.5% and -17.8% respectively on a 12 months basis.
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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.
