Satrix style tracker Q1

What drove performance in Q1 2017?

| 20 April 2017

An in-depth look at factor performance

In the charts on the following page we look in-depth at the drivers of the last quarter’s performance for the various styles: Momentum (Price Momentum and Earnings Momentum), Value (Price to Book and Dividend Yield) and Quality (Return on Equity and Debt to Equity).


The Price Momentum factor found it extremely tough going in 2016, with South Africa hardest hit, experiencing a drawdown the likes of which was last experienced in 2008 and 2001. The previous calendar years prior to 2016 rewarded price momentum investors handsomely. Q1 2017 showed a moderate recovery in this factor’s performance.
Earnings Momentum’s experience was not quite as bad as price momentum, but still laboured during 2016, with Q4 2016 and Q1 2017 demonstrating a moderate recovery, particularly from bulk commodity resource stocks.

Source: Satrix 2017


Price to Book continues to shine thus far in 2017 after a fantastic performance in 2016, as extraordinary levels of economic and policy uncertainty created a fertile environment for this factor. Dividend Yield similarly did well in 2016, shedding a forgettable value cycle since 2012. Events such as Brexit, the timing of the Fed interest rate lift off, and domestic rating and policy uncertainty have been key factors that have led investors to stocks with higher margins of safety (from a valuation perspective) as well as a strong component of income, over the prior year.

Source: Satrix 2017


The Return on Equity factor showed some relief during Q1 2017 after struggling in 2016. This poor performance was likely due to some unwinding of a crowded Quality trade since 2015, based on valuation measures. Our view is that this factor’s valuation has now somewhat normalised, and it’s ability to present a premium remains intact. Debt to Equity continued to show a positive spread in Q1 off an improved 2016, where the factor showed sporadic bursts corresponding to periods of extreme market stress, reminding us of its defensive attributes. As uncertainty unwound so did the return premium.

Source: Satrix 2017

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.


Share article:

Let us know your thoughts

Your email address will not be published.