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 [...] 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 [...]