βeta Solutions Quarterly Style Analysis – Q3 2024
Q3 style performance on the JSE was largely dominated by momentum and mid-caps. The “GNU” trade has materialised across the style universe with the rand-tracker momentum trade yielding very positive returns for investors. More importantly, the stability and positive sentiment emanating from the GNU has manifested strongly across mid-caps, as shown in the relative performance […]
Machine learning style rotation – evidence from the Johannesburg Stock Exchange
Daniel Page, David McClelland, Christo Auret Source: https://www.tandfonline.com/doi/full/10.1080/23322039.2024.2402893#abstract Abstract This study evaluates naïve and advanced prediction models when applied to style rotation strategies on the Johannesburg Stock Exchange (‘JSE’). We apply 1- and 3-month style momentum as naïve predictors against three tree-based machine learning (‘ML’) algorithms (advanced predictors), namely Random Forest, XGBoost and LightGBM. Additionally, […]
βeta Solutions Quarterly Style Analysis – Q2 2024
The successful election and ‘relatively’ smooth transition to the market friendly government of national unity (“GNU”) has translated into a significant unlock of SA equity value, especially with respect to the SA Inc. stratum of the JSE. From a style perspective, the positive news flow has resulted in two stand-out performers, namely momentum and rand […]
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 […]