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 [...] 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.