Factor performance at a glance
The first quarter of the year saw some continuation of 2017’s factor performance. Return on Equity (ROE) once again topped the list with a return spread of 12.3%, with the worst performing factor was again the deep value measure of Price to Book (-8.7%). The more defensive value measure of Dividend Yield, on the other hand, performed admirably in a volatile period while, surprisingly, Price Momentum again delivered a positive spread of +6.0%.
Key events that impacted performance in Q1
Globally, the trade war between China and the US heated up in the first quarter with US President Donald Trump announcing new steel and aluminium tariffs, followed by tariffs to the value of $50billion to be imposed on Chinese imports. This sparked fierce trade tensions and weighed heavily on markets. On a sector basis, technology shares saw a subsequent correction on the back of a wide range of issues relating to data privacy and regulation. The US Fed meeting saw a consensus hike of 25 basis points, while slower global growth helped global yields rally. Domestically, the ‘Ramaphosa’ effect continued to drive some SA Inc. stocks to new highs, while the ‘Viceroy’ effect led to a slew of rumours impacting a number of companies.