Satrix style tracker Q3 2018

What worked and what didn’t in Q3 2018?

| 2 November 2018

Factor performance review at a glance

The third quarter of 2018 once again saw some interesting factor performance. In a characteristic risk-off environment, Price Momentum (-6.7%) continued to struggle, while Earnings Revisions gave up its positive spread from Q2 to also underperform (-3.7%) during Q3. On the positive side, defensive factors such as Dividend Yield (+5.6%), Debt to Equity (+3.0%) and Return on Equity (+2.4%) all generated positive return spreads over the prior three months.

Key events that impacted performance in Q3 2018

Financial markets experienced a large divergence in performances across regions. In the US, despite political uncertainty and trade concerns, the US equity bull market became the longest in history on 22 August. The US Fed implemented its third rate hike this year, removing references to “accommodative” policy and striking an optimistic tone. In Europe, worries over trade wars and potential US tariffs on cars were a feature, while emerging market equities lost value, with the US dollar strength and US China trade dispute weighing on risk appetite. Domestically, South African markets followed emerging market peers, as the ZAR and local equity indices sold-off.

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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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