27four Investment Managers
26th October 2020
Style Analysis Quarterly Note | Q4 2020
The 27four quantitative strategy team conducts quarterly style analysis on the top 100 shares listed on the JSE. Against the backdrop of increased global volatility due to Covid-19 and subsequent rally in global equity markets, we present the historical performance to quarter-end of popularised styles such as momentum, value, growth, quality, size, liquidity and low volatility. In addition to the above, we have added a new section that attempts to determine the future performance direction of styles on the JSE using deep learning as well as time-series econometrics. Forecasting is inherently flawed given the unknown parameters that drive asset prices, however, we apply academically tested techniques in attempt to understand probable paths of each style holding all else equal.