βeta Solutions Quarterly Style Analysis – Q1 2024

The first quarter of 2024 has been difficult for SA equities, underperforming the MSCI World by a whopping 15% YTD (Capped SWIX vs MSCI World in ZAR terms). The outcome has been driven by two major factors, namely the general risk-off sentiment that negatively impacts emerging markets as well as the unbelievable performance of growth […]

βeta Solutions Quarterly Style Analysis – Q4 2023

Last year proved that weighting really does matter. Finance literature typically shows that market capitalisation weighting is inferior over long holding periods when compared to equal or factor weighting. 2023 was an exception to the rule. Focusing on actual style performance, the rally experienced in the last two months of the year gave a very […]

βeta Solutions Quarterly Style Analysis – Q3 2023

Q3 was difficult for emerging market assets. Both SA equities and bonds suffered with September resulting in single digit equity returns in rand terms for 2023. The outcome is expected given the kind of year 2023 has been with a continuing major European conflict not seen since World War II, runaway inflation and a very […]

βeta Solutions Quarterly Style Analysis – Q2 2023

The second quarter of 2023 saw a turnaround for most JSE styles when compared to the dismal underperformance of Q1. Unfortunately, last year’s best, namely Dividend Yield and Value, were left out of the positive reversal. The most notable style performance came from momentum/growth, mid caps, rand hedge and illiquids. The most sensical performance comes […]

Research article: Pure quantile portfolios on the Johannesburg stock exchange

Source: Page et al., Cogent Economics & Finance (2023), 11: 2231662https://doi.org/10.1080/23322039.2023.2231662 Abstract: Rules-based portfolio sorts are commonplace for the evaluation of style anomalies. An unfortunate consequence of constructing portfolios on a target style is the unintended loading on non-target factors. A plausible approach is the appli-cation of optimisation to maintain target factor loading while minimising […]

Highlights from the 2023 27four Investor Day

Launch of the 27four Nebula Fund A first-of-its-kind venture capital fund that seeks to unlock high returns and deliver meaningful impact by leveraging a unique three-step risk-mitigation framework. Learn more Agrarius, Africa’s first JSE-listed sustainability-linked Sukuk demonstrated its commitment to investments in the agriculture value chain With a deal pipeline that extends from potato farming […]

Quarterly Style Analysis – April 2023

The markets always tend to mimic life which is filled with many ups and downs. The 1st quarter of 2023 drives home the very important point that styles are ‘risk’ factors. What this means is that through time, styles should systematically provide premiums, however they are risky and can therefore underperform over discrete periods. This […]

27four Style Analysis – Quarterly Note September 2022

Local and global equity markets have been on tenterhooks with investors having the same reaction each month 1) Bad news = sell 2) Oversold and smidge of positive news = lets buy-in 3) bit more bad news = erase rebound profits. The result is significantly increased volatility with both the SAVI and VIX touching highs [...]

Quarterly style analysis | March 2022

If COVID over the past 2 years wasn’t enough, the first quarter of 2022 has seen a major European conflict, skyrocketing US inflation as well as new lockdowns in China due to the fast-spreading Omicron variant. The above points have fuelled markets with a fair dose of fear and panic which has manifested in large [...]

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