Satrix style tracker Q1 2020

What worked and what didn’t in Q1 2020?

| 9 May 2020

Factor performance review at a glance

Price Momentum the ultimate winner
The first quarter of 2020 was characterised by unprecedented volatility amid the COVID-19 crisis, and factor spreads similarly experienced massive dispersion. The sharp sell-off saw Price Momentum (+35.0%) and Return on Equity (17.1%) outperforming by a huge margin. Unfortunately Earnings Revision (-14.5%) did not manage to back up Price Momentum. Debt to Equity (-28%) delivered disappointing returns as well as Value factors. However, Dividend Yield (-17.5%) and Price to Book (-27.8%) delivered substantial negative returns. Over a one year period it was Price Momentum alone that delivered a massive 73.5% positive return spread.

Quintile spread performance

Key events that impacted performance in Q1 2020

For the first quarter, the MSCI World Index (-21.1%), MSCI Emerging Markets (-23.6%) and MSCI USA (-19.8%) indices all gave negative returns in net US dollars, driven by fears that the Covid-19 pandemic would push world economies into a recession. The South African Rand tanked during the quarter, depreciating by 27.4% relative to the US dollar, and closing at R17.80 to the greenback. This was largely driven by the continuous sell-off by foreign investors in both local bond and equity markets, and the Moody’s downgrade. South African bonds were the worst performing fixed-income market among emerging markets, with the All Bond Index delivering a negative -8.72% for the quarter.

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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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