Key market performance drivers Monthly charts to 30 September 2020 - - PowerPoint PPT Presentation

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Key market performance drivers Monthly charts to 30 September 2020 - - PowerPoint PPT Presentation

Jan 25, 2024 21 likes •427 views

Key market performance drivers Monthly charts to 30 September 2020 Table of Contents 01 04 Market Concentration Sector Analysis 02 05 Active Index Analysis Indexed Return Charts 03 06 Style Analysis Volatility and International Flows

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Key market performance drivers

Monthly charts to 30 September 2020

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SLIDE 2

Table of Contents

Market Concentration

01

Active Index Analysis

02

Style Analysis

03

Sector Analysis

04

Indexed Return Charts

05

Volatility and International Flows

06

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Market Concentration

01 01

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Market concentration

One-year Capped SWIX contributions ending September 2020

Source: StatPro, Power BI and Momentum Investments

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Active Index Analysis

02 02

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Active index analysis: Equities

One-year rolling active to August 2020

The median of the active equity investment managers underperformed the SWIX/Capped SWIX composite benchmark for the 12-month period ending August 2020.

(SWIX until 31 October 2017 and Capped SWIX thereafter)

Data lagged by one month

Source: Alexander Forbes SA Equity Manager Watch™, IRESS and Momentum Investments

  • 600%
  • 400%
  • 200%

0% 200% 400% 600%

  • 10%
  • 8%
  • 6%
  • 4%
  • 2%

0% 2% 4% 6% 8% 10% Aug-05 Aug-06 Aug-07 Aug-08 Aug-09 Aug-10 Aug-11 Aug-12 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Aug-19 Aug-20 Active Equity managers - SWIX/Capped SWIX (12m rolling) Active Equity Managers Cumulative SWIX/Capped SWIX Cumulative Active outperforms Active underperforms

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Active index analysis: Property

One-year rolling active to August 2020

The median return of the active property investment managers outperformed the SAPY for the 12-month period ending August 2020.

Data lagged by one month

Source: Alexander Forbes SA Property Manager Watch™, IRESS and Momentum Investments

  • 200%
  • 100%

0% 100% 200% 300% 400%

  • 10%
  • 5%

0% 5% 10% 15% 20% Aug-07 Aug-08 Aug-09 Aug-10 Aug-11 Aug-12 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Aug-19 Aug-20 Active Property managers (median) - SAPY (12m rolling) Active Property Managers (median) Cumulative SAPY Cumulative Active outperforms Active underperforms

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Active index analysis: Bonds

One-year rolling active to August 2020

The median of the active bond investment managers underperformed the ALBI for the 12-month period ending August 2020.

Data lagged by one month

Source: Alexander Forbes SA Bond Manager Watch™, IRESS and Momentum Investments

  • 50%

0% 50% 100% 150% 200% 250%

  • 1%

0% 1% 2% 3% 4% 5% Aug-07 Aug-08 Aug-09 Aug-10 Aug-11 Aug-12 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Aug-19 Aug-20 Active Bond managers (median) - ALBI (12m rolling) Active Bond Managers (median) Cumulative ALBI Cumulative Active outperforms Active underperforms

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Active index analysis: Cash

One-year rolling active to August 2020

The median of the active money market investment managers outperformed the SteFI for the 12-month period ending August 2020.

Data lagged by one month

Source: Alexander Forbes SA Money Market Manager Watch™, IRESS and Momentum Investments

  • 50%

0% 50% 100% 150% 200%

  • 1%

0% 1% 2% 3% 4% Aug-07 Aug-08 Aug-09 Aug-10 Aug-11 Aug-12 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Aug-19 Aug-20 Active Cash managers (median) - STeFI (12m rolling) Active Cash Managers (median) Cumulative STeFI Cumulative Active outperforms Active underperforms

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Style Analysis

03 03

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Style Analysis

Style returns heat map for South Africa to September 2020

Growth has outperformed over the one year period, while quality and momentum is mixed. Value has underperformed momentum and growth in all periods except the last month.

Source: FactSet, Momentum Global Investment Management and Momentum Investments

ZAR Styles One month to September 2020 Three months to September 2020 One year to September 2020 Three years to September 2020 Five years to September 2020 Ten years to September 2020 Twenty years to September 2020 Value Book to Price

  • 3,39
  • 9,29
  • 16,84
  • 14,17
  • 6,60
  • 6,32
  • 1,11

Dividend Yield

  • 2,69
  • 6,14
  • 8,73
  • 3,08

1,16

  • 1,16

2,98

Earnings Yield

3,58

  • 1,69

5,34

  • 5,55
  • 2,55
  • 2,11
  • 0,16

Cash Flow Yield

1,98

  • 4,87
  • 17,41
  • 7,00

0,63

  • 0,47

1,13

Sales to Price

5,01

  • 2,72
  • 3,27
  • 4,33
  • 0,16
  • 2,13
  • 0,95

Quality ROE

2,68 5,58 13,18 11,50 5,76 3,98 1,63

ROIC LT

1,29 0,90 2,57

  • 0,47

0,03

  • 0,82
  • 1,52

Income to Sales

0,85

  • 0,70

10,90 2,50 1,22 1,62 0,04

Low market beta

  • 3,48
  • 0,18
  • 12,59
  • 1,16

0,52 1,96 0,82

Low Debt/Equity

  • 1,60
  • 4,28

10,25 2,32 1,29 0,41

  • 0,09

EBIT Margin Stability

1,64

  • 2,92

6,42 0,47

  • 1,99

3,00 0,51

Growth Earnings Growth

  • 7,58
  • 9,72

2,62 5,91 2,78 2,06 0,43

Sales Growth

2,35 4,19 6,13 2,43 0,24 2,05

  • 0,66

12M Earning Growth

0,64 11,26 33,82 10,78 4,89 0,92 4,88

Momentum FY1 Earnings Revisions

1,97

  • 1,72

1,32 4,22 2,32 5,53 7,61

Short Term Momentum

  • 1,66
  • 4,14
  • 4,91

0,24 1,95 0,44 0,27

Medium Term Momentum

  • 0,97

4,23 24,28 12,49 4,68 7,41 6,56

Size Size

2,95 3,92 12,94 9,81 5,57 2,46 0,52

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Sector Analysis

04 04

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Sector Analysis

FTSE/JSE sectors decomposed

Source: Barra and Deutsche Securities

Key

Resources Financials Industrials

Three months to September 2020

1 Oil & Gas Producers Financial Services 39,42% 17 Financial Services Financials

  • 0,86%

2 Support Services Industrials 24,04% 18 Chemicals Basic Materials

  • 0,91%

3 Industrial Metals & Mining Industrials 10,90% 19 Construction & Materials Industrials

  • 1,63%

4 Industrial Transportation Industrials 10,01% 20 Equity Investment Instruments Financials

  • 3,45%

5 General Retailers Consumer Services 9,14% 21 Software & Computer Services Technology

  • 3,45%

6 Forestry & Paper Basic Materials 9,13% 22 General Industrials Industrials

  • 5,33%

7 Mining Basic Materials 8,84% 23 Media Consumer Services

  • 5,60%

8 Banks Financials 7,14% 24 Life Insurance Financials

  • 6,46%

9 Travel & Leisure Travel & Leisure 4,97% 25 Tobacco Consumer Goods

  • 8,47%

10 Food & Drug Retailers Consumer Services 4,83% 26 Non-life Insurance Financials

  • 9,33%

11 Beverages Consumer Goods 4,51% 27 Fixed-line Telecommunications Telecommunications

  • 10,19%

12 Mobile Telecommunications Telecommunications 3,99% 28 Real Estate Investment Trusts Financials

  • 12,19%

13 Personal Goods Consumer Goods 2,76% 29 Electronic & Electrical Equipment Industrials

  • 14,55%

14 Food Producers Consumer Goods 1,55% 30 Pharmaceuticals & Biotechnology Healthcare

  • 17,00%

15 Healthcare Equipment & Service Healthcare 1,39% 31 Real Estate Investment & Services Financials

  • 20,30%

16 Automobiles & Parts Consumer Goods

  • 0,83%

32 Household Goods & Home Construction Consumer Goods

  • 31,37%
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Sector Analysis

Source: Barra and Deutsche Securities

FTSE/JSE sectors decomposed

Key Resources Financials Industrials

One Year to September 2020

1 Mining Basic Materials 48,79% 17 Mobile Telecommunications Telecommunications

  • 23,42%

2 Industrial Metals & Mining Industrials 41,74% 18 Industrial Transportation Industrials

  • 23,79%

3 Media Consumer Services 28,07% 19 Life Insurance Financials

  • 25,00%

4 Pharmaceuticals & Biotechnology Healthcare 27,98% 20 Software & Computer Services Technology

  • 27,29%

5 Tobacco Consumer Goods 15,02% 21 Household Goods & Home Construction Consumer Goods

  • 28,58%

6 Forestry & Paper Basic Materials 9,31% 22 General Industrials Industrials

  • 28,96%

7 Equity Investment Instruments Financials 6,09% 23 General Retailers Consumer Services

  • 31,00%

8 Personal Goods Consumer Goods 1,54% 24 Construction & Materials Industrials

  • 31,30%

9 Oil & Gas Producers Financial Services

  • 2,11%

25 Banks Financials

  • 33,97%

10 Support Services Industrials

  • 3,15%

26 Beverages Consumer Goods

  • 37,94%

11 Food Producers Consumer Goods

  • 4,47%

27 Chemicals Basic Materials

  • 43,41%

12 Food & Drug Retailers Consumer Services

  • 4,62%

28 Real Estate Investment & Services Financials

  • 44,75%

13 Financial Services Financials

  • 13,69%

29 Real Estate Investment Trusts Financials

  • 48,06%

14 Non-life Insurance Financials

  • 14,70%

30 Travel & Leisure Travel & Leisure

  • 48,12%

15 Healthcare Equipment & Service Healthcare

  • 16,16%

31 Electronic & Electrical Equipment Industrials

  • 55,24%

16 Automobiles & Parts Consumer Goods

  • 22,17%

32 Fixed-line Telecommunications Telecommunications

  • 61,70%
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One year rolling to September 2020

FTSE/JSE sectors

Source: IRESS and Momentum Investments 50 60 70 80 90 100 110 120 130 140 150 30-Sep-19 31-Dec-19 31-Mar-20 30-Jun-20 30-Sep-20 Resources Financials Industrials One year to September 2020 Resources = 27,3% Financials = -30,9% Industrials = 4,3% Three months to September 2020 Resources = 6,0% Financials = -1,6% Industrials = -2,3%

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FTSE/JSE sectors

Three years rolling to September 2020

Source: IRESS and Momentum Investments 20.32%

  • 10.54%
  • 0.66%
  • 30%
  • 20%
  • 10%

0% 10% 20% 30% 40% Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 Resources Financials Industrials

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FTSE/JSE market caps

One year to September 2020

Source: IRESS and Momentum Investments 60 70 80 90 100 110 120 30-Sep-19 31-Dec-19 31-Mar-20 30-Jun-20 30-Sep-20 SWIX 40 Mid Cap Small Cap

  • 17,6%
  • 15,0%

1,8%

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Indexed Return Charts

05 05

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MSCI developed and emerging markets

One year to September 2020

Source: IRESS, MSCI and Momentum Investments 50 60 70 80 90 100 110 120 30-Sep-19 31-Dec-19 31-Mar-20 30-Jun-20 30-Sep-20 MSCI Emerging Markets (USD) MSCI Developed Markets (USD) Capped SWIX (USD) One year to September 2020 MSCI EM = 8,09% MSCI Dev = 8,59% Capped SWIX USD = -13,67% Three months to September 2020 MSCI EM = 8,73% MSCI Dev = 7,52% Capped SWIX USD = 5,11%

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SA 10-year bond yields

Ten years to September 2020

Source: IRESS and Momentum Investments 9.5 5 6 7 8 9 10 11 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 SA 10 year bond yield

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Yield of R197 (inflation-linked bond)

Ten years to September 2020

Source: IRESS and Momentum Investments 2.2 0.5 1 1.5 2 2.5 3 3.5 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 R197

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Local asset classes

Three months to September 2020

Source: IRESS and Momentum Investments * CPI lagged by one month due to availability of data 80 90 100 110 30-Jun-20 31-Jul-20 31-Aug-20 30-Sep-20 Capped SWIX ALBI STeFI SA Listed Property IGOV 1,2% 1,0% 1,5%

  • 14,1%

1,0%

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Global asset classes

Source: IRESS and Momentum Investments

Three months to September 2020

90 92 94 96 98 100 102 104 106 108 110 30-Jun-20 31-Jul-20 31-Aug-20 30-Sep-20 Citigroup World Government Bond Index FTSE EPRA Nareit Developed Global Real Estate Barclays - World Government Inflation Linked Index MSCI All Countries Gross Equity index USD/ZAR 3,3%

  • 0,5%
  • 1,1%
  • 1,7%
  • 3,9%
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Local asset classes

Source: IRESS and Momentum Investments

One year to September 2020

* CPI lagged by one month due to availability of data 40 50 60 70 80 90 100 110 120 30-Sep-19 31-Dec-19 31-Mar-20 30-Jun-20 30-Sep-20 Capped SWIX ALBI STeFI SA Listed Property IGOV SA CPI 3,1%

  • 2,4%

6,2%

  • 5,0%

3,6%

  • 46,1%
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Global asset classes

Source: IRESS and Momentum Investments

One year to September 2020

70 80 90 100 110 120 130 30-Sep-19 31-Dec-19 31-Mar-20 30-Jun-20 30-Sep-20 Citigroup World Government Bond Index FTSE EPRA Nareit Developed Global Real Estate Barclays - World Government Inflation Linked Index MSCI All Countries Gross Equity index USD/ZAR 18,5% 17,5%

  • 9,2%

19,5% 10,0%

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Local asset classes

Source: IRESS and Momentum Investments

Five years to September 2020

* CPI lagged by one month due to availability of data 40 50 60 70 80 90 100 110 120 130 140 150 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 Capped SWIX ALBI STeFI SA Listed Property ILB CPI 4,6% 2,1% 7,1% 1,1% 7,6%

  • 12,8%
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Global asset classes

Source: IRESS and Momentum Investments

Five years to September 2020

80 100 120 140 160 180 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 Citigroup World Government Bond Index FTSE EPRA Nareit Developed Global Real Estate Barclays - World Government Inflation Linked Index MSCI All Countries Gross Equity index USD/ZAR 8,2% 7,8% 6,8% 12,5% 3,8%

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Asset classes

Source: IRESS and Momentum Investments

Ten years to September 2020

* CPI lagged by one month due to availability of data 50 100 150 200 250 300 350 400 450 500 550 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20

Citigroup World Government Bond Index SWIX/Capped SWIX ALBI STeFI SA Listed Property USD/ZAR Barclays - World Government Inflation Linked Index SA CPI MSCI All Countries Gross Equity index FTSE EPRA Nareit Developed Global Real Estate

5,1% 12,8% 6,4% 8,1% 11,2% 9,1% 7,6% 1,8% 17,0% 15,3%

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Annual asset class returns

Source: IRESS and Momentum Investments * CPI lagged by one month due to availability of data

61.4%

  • 23.2%

50.0%

  • 23.5%
  • 43.1%
  • 21.0%

48.2%

  • 80%
  • 40%

0% 40% 80% 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 ALSI SAPY MSCI CPI+7%

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Exchange rates

Source: IRESS and Momentum Investments

One year to September 2020

8 10 12 14 16 18 20 22 24 30-Sep-19 31-Dec-19 31-Mar-20 30-Jun-20 30-Sep-20 Exchange rate MMI GBP/ZAR MMI EUR/ZAR MMI USD/ZAR 15,3% 18,2% 10,0% Three months to September 2020: Sterling-Rand: 0.5% Euro-Rand: 0.3% Dollar-Rand: -3.9%

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Gold (rands), FTSE/JSE SWIX, CPI, SteFI

Source: IRESS and Momentum Investments

One-year rolling returns to September 2020

* CPI lagged by one month due to availability of data 39.77% 3.09% 6.20%

  • 2.19%
  • 30%
  • 20%
  • 10%

0% 10% 20% 30% 40% 50% 60% 70% 80% Sep-10 Sep-12 Sep-14 Sep-16 Sep-18 Sep-20 Gold CPI SteFI SWIX

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Commodities

Source: IRESS and Momentum Investments

Three months to September 2020

All returns are in dollar terms 90 95 100 105 110 115 120 125 130 30-Jun-20 31-Jul-20 31-Aug-20 30-Sep-20 Brent Spot (Oil) Gold Iron Copper Palladium Platinum Reuters/Jeffries CRB Commodities 2,2% 4,9% 21,8% 16,8% 7,7% 2,5% 9,5%

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Commodities

Source: IRESS and Momentum Investments

One year to September 2020

All returns are in dollar terms

10 20 30 40 50 60 70 80 90 100 110 120 130 140 150 160 170 180 30-Sep-19 31-Dec-19 31-Mar-20 30-Jun-20 30-Sep-20

Brent Spot (Oil) Gold Iron Copper Palladium Platinum Reuters/Jeffries CRB Commodities

39,8% 10,2% 37,5% 29,0%

  • 14,0%
  • 30,4%

15,4%

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Volatility and international flows

06 06

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SAVI-VIX

Source: IRESS and Momentum Investments

September 2020

5 15 25 35 45 55 65 75 85 10 15 20 25 30 35 40 45 50 55 60 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 VIX SAVI SAVI VIX Financial / credit European debt crisis (Sovereign debt concerns) S&P downgrade US debt Uncertainty around US rate hikes Brexit Higher than expected US inflation Coronavirus

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Foreign Transactions

2015 to 2020

Source: IRESS and Momentum Investments 5 10 15 20

  • 80,000
  • 60,000
  • 40,000
  • 20,000

20,000 40,000 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 R(m) Foreign Transactions Bonds Foreign Transactions Equities Rand/USDollar Exchange Rate

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Cumulative foreign transaction: Equities

2015 to 2020

Source: IRESS and Momentum Investments

  • 140000
  • 120000
  • 100000
  • 80000
  • 60000
  • 40000
  • 20000

20000 40000 60000 December January February March April May June July August September October November December 2015 2016 2017 2018 2019 2020

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Cumulative foreign transaction: Bonds

2015 to 2020

Source: IRESS and Momentum Investments

  • 200000
  • 150000
  • 100000
  • 50000

50000 100000 December January February March April May June July August September October November December 2015 2016 2017 2018 2019 2020

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Thank you

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