Key market performance drivers. Monthly charts to 30 September 2018

Transcription

1 Key market performance drivers Monthly charts to 30 September 2018

2 Market concentration One-year Capped SWIX contributions ending September 2018 Source: StatPro, Power BI and Momentum Investments

3 Active index analysis One-year rolling active to August* % 10% 5% 0% -5% -10% Active outperforms Active underperforms 950% 850% 750% 650% 550% 450% 350% 250% 150% 50% -15% -50% 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 Active Equity managers - SWIX/Capped SWIX (12m rolling) Active Equity Managers Cumulative SWIX/Capped SWIX Cumulative * Lagged by one month due to availability of data The median of the active equity investment managers outperformed the SWIX/Capped SWIX composite benchmark (SWIX until 31 October 2017 and Capped SWIX thereafter) Source: Alexander Forbes SA Equity Manager Watch, INET BFA and Momentum Investments

4 Active versus tracker: Cash One-year rolling average to August* % 225% 10% Active outperforms 175% 5% 125% 75% 0% 25% Active underperforms -5% -25% Aug-07 Aug-08 Aug-09 Aug-10 Aug-11 Aug-12 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Active Cash managers - STeFI (12m rolling) Active Cash Managers Cumulative STeFI Cumulative * Lagged by one month due to availability of data The median of the active money market investment managers outperformed the SteFI Source: Alexander Forbes SA Money Market Manager Watch, INET BFA and Momentum Investments

5 Active versus tracker: Bonds One-year rolling average to August* % 250% 10% Active outperforms 200% 5% 150% 0% 100% -5% 50% -10% Active underperforms 0% -15% -50% Aug-07 Aug-08 Aug-09 Aug-10 Aug-11 Aug-12 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Active Bond managers - ALBI (12m rolling) ALBI Cumulative * Lagged by one month due to availability of data Active Bond Managers Cumulative The median of the active bond investment managers outperformed the ALBI Source: Alexander Forbes SA Bond Manager Watch, INET BFA and Momentum Investments

6 Active versus tracker: Property One-year rolling average to August* % 10% 5% 0% -5% -10% Active outperforms Active underperforms 1550% 1350% 1150% 950% 750% 550% 350% 150% -15% -50% 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 Active Property managers - SAPY (12m rolling) Active Property Managers Cumulative SAPY Cumulative * Lagged by one month due to availability of data The median of the active property investment managers outperformed the SAPY Source: Alexander Forbes SA Property Manager Watch, INET BFA and Momentum Investments

7 Style returns for South Africa Data to September 2018 ZAR Styles One month to September 2018 Three months to September 2018 One year to September 2018 Three years to September 2018 Five years to September 2018 Ten years to September 2018 Twenty years to September 2018 Book to Price Dividend Yield Value Earnings Yield Cash Flow Yield Sales to Price ROE ROIC LT Quality Income to Sales Low market beta Low Debt/Equity EBIT Margin Stability Growth Momentum Size Earnings Growth Sales Growth M Earning Growth FY1 Earnings Revisions Short Term Momentum Medium Term Momentum Size Value had strong returns for the last quarter while some momentum factors detracted for the same period. For the longer periods (five plus years) momentum outperformed all other style factors. Source: FactSet, Momentum Global Investment Management and Momentum Investments

8 MSCI developed and emerging markets One year to September One year to September 2018 MSCI EM = -2.4% MSCI Dev = 9.2% Capped SWIX USD = -4.2% Three months to September 2018 MSCI EM = -1.3% MSCI Dev = 4.5% Capped SWIX USD = -4.7% Sep Nov Jan Mar May Jul Sep-18 MSCI Emerging Markets (USD) MSCI Developed Markets (USD) Capped SWIX (USD) Source: INET BFA, MSCI and Momentum Investments

9 SA 10-year bond yields Ten years to September Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 SA 10 year bond yield

10 Yield of R197 (inflation-linked bond) Ten years to September Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 R 197

11 FTSE/JSE sectors One year to September One year to September 2018 Resources = 26.9% Financials = 8.1% Industrials = -7.7% Three months to September Resources = 5.2% Financials = 2.8% Industrials = -7.8% Sep Dec Mar Jun Sep-18 Resources Financials Industrials

12 50.00% FTSE/JSE sectors Rolling three years to September % 30.00% 20.00% 10.00% 0.00% % % % Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Resources Financials Industrials

13 FTSE/JSE sectors Decomposed Three months to September Household Goods & Home Construction Consumer Goods 78.26% 18 General Industrials Industrials -3.28% 2 Non-life Insurance Financials 16.63% 19 Industrial Engineering Industrials -3.34% 3 Industrial Metals & Mining Industrials 15.90% 20 Real Estate Investment Trusts Financials -3.41% 4 Life Insurance Financials 12.07% 21 Food & Drug Retailers Consumer Services -3.44% 5 Software & Computer Services Technology 10.44% 22 Tobacco Consumer Goods -3.49% 6 Equity Investment Instruments Financials 9.62% 23 Automobiles & Parts Consumer Goods -3.59% 7 Chemicals Basic Materials 9.52% 24 Travel & Leisure Travel & Leisure -3.61% 8 Mining Basic Materials 6.72% 25 Industrial Transportation Industrials -4.93% 9 Fixed-line Telecommunications Telecommunications 5.34% 26 Electronic & Electrical Equipment Industrials -5.31% 10 Real Estate Investment & Services Financials 2.92% 27 Support Services Industrials -5.67% 11 Forestry & Paper Basic Materials 2.05% 28 Healthcare Equipment & Service Healthcare -9.76% 12 Banks Financials 1.38% 29 Media Consumer Services % 13 Personal Goods Consumer Goods 1.36% 30 Food Producers Consumer Goods % 14 Financial Services Financials 0.04% 31 Mobile Telecommunications Telecommunications % 15 General Retailers Consumer Services -0.47% 32 Beverages Consumer Goods % 16 Oil & Gas Producers Financial Services -1.34% 33 Pharmaceuticals & Biotechnology Healthcare % 17 Construction & Materials Industrials -2.23% Key Resources Financials Industrials Source: Barra, Deutsche Securities and Momentum Investments

14 FTSE/JSE sectors Decomposed One year to September Oil & Gas Producers Financial Services 69.34% 18 Equity Investment Instruments Financials -1.97% 2 Industrial Metals & Mining Industrials 50.45% 19 Personal Goods Consumer Goods -4.09% 3 Chemicals Basic Materials 46.99% 20 Fixed-line Telecommunications Telecommunications -6.41% 4 Non-life Insurance Financials 32.03% 21 Healthcare Equipment & Service Healthcare -8.70% 5 Banks Financials 24.91% 22 Real Estate Investment & Services Financials -9.31% 6 Technology Hardware & Equipment Technology 24.00% 23 Food Producers Consumer Goods % 7 Life Insurance Financials 19.06% 24 Industrial Engineering Industrials % 8 Mining Basic Materials 17.00% 25 Real Estate Investment Trusts Financials % 9 Forestry & Paper Basic Materials 10.27% 26 Automobiles & Parts Consumer Goods % 10 General Retailers Consumer Services 7.33% 27 Industrial Transportation Industrials % 11 Construction & Materials Industrials 6.49% 28 Tobacco Consumer Goods % 12 Electronic & Electrical Equipment Industrials 5.96% 29 Beverages Consumer Goods % 13 Media Consumer Services 4.53% 30 Mobile Telecommunications Telecommunications % 14 Food & Drug Retailers Consumer Services 3.04% 31 Pharmaceuticals & Biotechnology Healthcare % 15 General Industrials Industrials 0.62% 32 Support Services Industrials % 16 Travel & Leisure Travel & Leisure 0.36% 33 Software & Computer Services Technology % 17 Financial Services Financials -1.40% 34 Key Resources Financials Industrials Source: Barra, Deutsche Securities and Momentum Investments Household Goods & Home Construction Consumer Goods %

15 FTSE/JSE market caps One year to September 2018 One year to September 2018 SWIX 40 = 0.9% Mid Cap = -1.9% Small Cap = -4.5% Three months to September 2018 SWIX 40 = -4.2% Mid Cap = -1.7% Small Cap = -2.2% Sep Dec Mar Jun Sep-18 SWIX 40 Mid Cap Small Cap

16 105 Local asset classes Three months to September % % 0.5% -1.0% -1.7% Jun Jul Aug Sep-18 Capped SWIX ALBI STeFI SA Listed Property ILB

17 Global asset classes Three months to September Jun Jul Aug Sep % 3.2% 3.0% 2.4% 1.5% Global Bonds Global Property Global ILB Global Equity USD/ZAR

18 Local asset classes One year to September % 7.1% 4.9% 0.8% 0.4% % Sep Nov Jan Mar May Jul Sep-18 Capped SWIX ALBI STeFI SA Listed Property ILB CPI * CPI lagged by one month due to availability of data

19 Global asset classes One year to September % 9.6% 4.8% 4.2% 4.1% Sep Nov Jan Mar May Jul Sep-18 Global Bonds Global Property Global ILB Global Equity USD/ZAR

20 Local asset classes Five years to September % 7.1% 6.7% 6.1% 5.1% 4.9% Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Capped SWIX ALBI STeFI SA Listed Property ILB CPI * CPI lagged by one month due to availability of data

21 Global asset classes Five years to September % 13.5% % 7.3% 7.3% Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Sep-18 Global Bonds Global Property Global ILB Global Equity USD/ZAR

22 Asset classes Ten years to September % 13.6% 12.4% 8.6% 8.0% 6.7% 6.1% 5.2% 3.5% 40 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Global Bonds SWIX/Capped SWIX ALBI STeFI SA Listed Property USD/ZAR ILB CPI Global Equity * CPI lagged by one month due to availability of data For the 10-year period to September 2018, the FTSE/JSE SA Listed Property continued to outperform, followed by the SWIX/Capped SWIX composite and global equity

23 Exchange rates One year to September 2018 Exchange rate Three months to September 2018: Sterling-Rand: 1.9% Euro-Rand: 3.1% Dollar-Rand: 4.8% 1.8% 2.8% 3.2% Sep Dec Mar Jun Sep-18 Sterling-Rand Euro-Rand Dollar-Rand

24 Gold (rands), FTSE/JSE SWIX, CPI, SteFI One-year rolling returns to September % 60.00% 40.00% 20.00% 0.00% % % Sep-03 Sep-06 Sep-09 Sep-12 Sep-15 Sep-18 Gold (ZAR) CPI SteFI SWIX * CPI lagged by one month due to availability of data

25 Commodities Three months to September % 6.5% 4.6% % -2.1% -7.0% % Jun Jul Aug Sep-18 All returns are in dollar terms Brent Spot (Oil) Iron Palladium Reuters/Jeffries CRB Commodities Gold Copper Platinum Source: INET BFA, FT.com and Momentum Investments

26 Commodities One year to September % % 11.6% 8.4% -3.3% -4.7% -6.5% Sep Nov Jan Mar May Jul Sep-18 Brent Spot (Oil) Iron Palladium Reuters/Jeffries CRB Commodities Gold Copper Platinum All returns are in dollar terms Source: INET BFA, FT.com and Momentum Investments

27 SAVI-VIX Since September 2007 to September Financial / European debt crisis (Sovereign debt concerns) S&P downgrade US debt Uncertainty around US rate hikes Brexit Higher than expected US inflation SAVI VIX 10 5 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 SAVI VIX

28 Foreign transactions 2014 to Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 R(m) Foreign Transactions Bonds Rand/USDollar Exchange Rate Foreign Transactions Equities

29 Cumulative foreign transaction equities 2013 to December January February March April May June July August September October November December

30 Cumulative foreign transaction bonds 2013 to December January February March April May June July August September October November December

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