Quarterly style analysis | December 2021

2021 can be characterised as the post COVID bounce in equity markets which resulted in unlocking of value, small & medium caps and rand tracker shares. Importantly, the impact of the bounce, buoyed by COVID related remedial action by central banks (quantitative easing), resulted massive financial gains coupled with significant increases in inflation. The last [...]

Quarterly style analysis | September 2021

The 27four quantitative research team conducts style based analysis on the top 100 shares (by market capitalization) listed on the JSE. The styles typically considered include momentum, value, growth, low volatility, quality, size, liquidity and dividend yield. This quarter we have added currency sensitivity to our analysis. Currency sensitivity is a major contributor to the [...]

27four Style Analysis – Quarterly Note June 2021

In this quarter's style note we have added dividend yield to the current set of styles we analyse on a quarterly basis. Dividend yield has seen a resurgence in 2021, which is interesting given its unique overlapping classification as both a value and quality proxy. We also consider whether the value reversal experienced globally since November [...]

27four Style Analysis – Quarterly Note March 2021

On the back of the rally in local and global equity markets, value has experienced a dramatic turnaround, beating growth and momentum over the last two quarters. Over and above this, there have been a number of style based reversals, most notably small and mid caps beating large tickers as well as high volatility dominating the likes of quality and low vol. The past quarters style note will explore these changes as well as provide quantitatively determined estimates of style performance over the next quarter.

27four Style Analysis – Full-Year Note 2020

Summarising 2020 from any perspective is near impossible, especially when considering investment performance. The impact of COVID 19 and subsequent shifts in risk sentiment, fiscal policy reaction through bail-outs and the US elections have resulted in extreme sentiment swings, unbelievable opportunities and subsequent overvaluation. The JSE was up for the full year but lagged developed markets, why? The full year style note looks to document the impact of the idiosyncratic events on SA equities through the analysis of style performance on the JSE. Additionally, in our datascience segment, we evaluate our model output from the Q3 note and provide model driven estimates of style performance over the first quarter of 2021.

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 [...]

Style Analysis | Half-Year Note

The 27four quantitative research team conducts style based analysis on the top 100 shares (by market capitalization) listed on the JSE. The styles typically considered include, momentum, value, growth, low volatility and quality. We have recently added size and liquidity as additional factors. Even though size and liquidity are considered weaker styles over the past decade, we do believe that both provide independent information related to the levels of risk-aversion present on the JSE.

Style Analysis Quarterly Note | March 2020

We present our quarterly style research against the backdrop of the dramatic volatility experienced in global and local markets attributable to Covid-19. February and March of this year saw the JSE drop by approximately 30% YTD (at its worst) with a mild recovery thereafter. Our style research considers the conventional performance analysis generally reported at [...]

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