Key market performance drivers Monthly charts to 30 September 2018
Market concentration One-year Capped SWIX contributions ending September 2018 Source: StatPro, Power BI and Momentum Investments
Active index analysis One-year rolling active to August* 2018 15% 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
Active versus tracker: Cash One-year rolling average to August* 2018 15% 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
Active versus tracker: Bonds One-year rolling average to August* 2018 15% 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
Active versus tracker: Property One-year rolling average to August* 2018 15% 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
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 0.83 2.50-4.83 4.82-0.23-2.20 2.62 Dividend Yield 2.03 3.06 3.84 1.77 0.01 1.75 5.52 Value Earnings Yield 1.51 2.18 0.44 2.31 2.24 0.94 3.16 Cash Flow Yield 1.39 0.87 2.97 15.05 4.36 0.78 4.17 Sales to Price 1.95 0.46-3.52 4.23-1.69-3.32 3.66 ROE 0.56-0.61 10.51 0.45 0.45 0.45-1.19 ROIC LT -2.08-1.57 0.48-0.38-2.14 0.63-1.37 Quality Income to Sales 1.40 1.49 3.29 0.06 2.34 2.92-1.54 Low market beta 0.05 1.15-0.16-0.08 1.14-0.98 1.53 Low Debt/Equity 0.87-1.83-1.30-0.91-1.88-1.83-1.83 EBIT Margin Stability -0.28-0.85 4.21-2.72-0.50 4.68 2.63 Growth Momentum Size Earnings Growth 0.69 2.24 9.39 3.37 5.72-0.58-2.34 Sales Growth 0.64 1.03 0.93-3.98-1.65-2.51-4.02 12M Earning Growth 1.72-3.52-8.99-4.29-3.68-4.14 3.16 FY1 Earnings Revisions 2.46 3.28 7.76 5.24 7.81 8.14 9.89 Short Term Momentum -2.78-7.34 5.25 6.58 4.54 0.93 1.02 Medium Term Momentum -0.76-2.73 0.17-3.99 1.64 3.29 6.70 Size -2.30 0.65 2.29-1.31-0.33-0.36 0.26 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
MSCI developed and emerging markets One year to September 2018 130 120 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% 110 100 90 80 30-Sep-17 30-Nov-17 31-Jan-18 31-Mar-18 31-May-18 31-Jul-18 30-Sep-18 MSCI Emerging Markets (USD) MSCI Developed Markets (USD) Capped SWIX (USD) Source: INET BFA, MSCI and Momentum Investments
SA 10-year bond yields Ten years to September 2018 11 10 9 8 7 6 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
Yield of R197 (inflation-linked bond) Ten years to September 2018 3.5 3 2.5 2 1.5 1 0.5 0 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 R 197
FTSE/JSE sectors One year to September 2018 140 130 One year to September 2018 Resources = 26.9% Financials = 8.1% Industrials = -7.7% 120 110 100 Three months to September 2018 90 Resources = 5.2% Financials = 2.8% Industrials = -7.8% 80 30-Sep-17 31-Dec-17 31-Mar-18 30-Jun-18 30-Sep-18 Resources Financials Industrials
50.00% FTSE/JSE sectors Rolling three years to September 2018 40.00% 30.00% 20.00% 10.00% 0.00% -10.00% -20.00% -30.00% Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Resources Financials Industrials
FTSE/JSE sectors Decomposed Three months to September 2018 1 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 -12.25% 13 Personal Goods Consumer Goods 1.36% 30 Food Producers Consumer Goods -12.32% 14 Financial Services Financials 0.04% 31 Mobile Telecommunications Telecommunications -12.77% 15 General Retailers Consumer Services -0.47% 32 Beverages Consumer Goods -21.68% 16 Oil & Gas Producers Financial Services -1.34% 33 Pharmaceuticals & Biotechnology Healthcare -31.85% 17 Construction & Materials Industrials -2.23% Key Resources Financials Industrials Source: Barra, Deutsche Securities and Momentum Investments
FTSE/JSE sectors Decomposed One year to September 2018 1 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 -10.75% 7 Life Insurance Financials 19.06% 24 Industrial Engineering Industrials -10.80% 8 Mining Basic Materials 17.00% 25 Real Estate Investment Trusts Financials -11.85% 9 Forestry & Paper Basic Materials 10.27% 26 Automobiles & Parts Consumer Goods -14.56% 10 General Retailers Consumer Services 7.33% 27 Industrial Transportation Industrials -15.99% 11 Construction & Materials Industrials 6.49% 28 Tobacco Consumer Goods -18.39% 12 Electronic & Electrical Equipment Industrials 5.96% 29 Beverages Consumer Goods -21.27% 13 Media Consumer Services 4.53% 30 Mobile Telecommunications Telecommunications -24.35% 14 Food & Drug Retailers Consumer Services 3.04% 31 Pharmaceuticals & Biotechnology Healthcare -42.01% 15 General Industrials Industrials 0.62% 32 Support Services Industrials -44.16% 16 Travel & Leisure Travel & Leisure 0.36% 33 Software & Computer Services Technology -48.56% 17 Financial Services Financials -1.40% 34 Key Resources Financials Industrials Source: Barra, Deutsche Securities and Momentum Investments Household Goods & Home Construction Consumer Goods -96.17%
120 115 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% 110 105 100 95 90 30-Sep-17 31-Dec-17 31-Mar-18 30-Jun-18 30-Sep-18 SWIX 40 Mid Cap Small Cap
105 Local asset classes Three months to September 2018 103 1.7% 101 99 0.8% 0.5% -1.0% -1.7% 97 95 30-Jun-18 31-Jul-18 31-Aug-18 30-Sep-18 Capped SWIX ALBI STeFI SA Listed Property ILB
118 116 114 112 110 108 106 104 102 100 98 96 94 Global asset classes Three months to September 2018 92 30-Jun-18 31-Jul-18 31-Aug-18 30-Sep-18 7.9% 3.2% 3.0% 2.4% 1.5% Global Bonds Global Property Global ILB Global Equity USD/ZAR
120 115 Local asset classes One year to September 2018 110 105 100 7.2% 7.1% 4.9% 0.8% 0.4% 95 90 85-15.7% 80 30-Sep-17 30-Nov-17 31-Jan-18 31-Mar-18 31-May-18 31-Jul-18 30-Sep-18 Capped SWIX ALBI STeFI SA Listed Property ILB CPI * CPI lagged by one month due to availability of data
Global asset classes One year to September 2018 125 120 115 110 105 100 14.4% 9.6% 4.8% 4.2% 4.1% 95 90 85 80 30-Sep-17 30-Nov-17 31-Jan-18 31-Mar-18 31-May-18 31-Jul-18 30-Sep-18 Global Bonds Global Property Global ILB Global Equity USD/ZAR
Local asset classes Five years to September 2018 175 165 155 145 135 125 115 7.2% 7.1% 6.7% 6.1% 5.1% 4.9% 105 95 85 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
Global asset classes Five years to September 2018 200 14.1% 13.5% 160 8.7% 7.3% 7.3% 120 80 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
Asset classes Ten years to September 2018 490 440 390 340 290 240 190 140 90 14.2% 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
Exchange rates One year to September 2018 Exchange rate 24 22 20 18 16 14 Three months to September 2018: Sterling-Rand: 1.9% Euro-Rand: 3.1% Dollar-Rand: 4.8% 1.8% 2.8% 3.2% 12 10 8 30-Sep-17 31-Dec-17 31-Mar-18 30-Jun-18 30-Sep-18 Sterling-Rand Euro-Rand Dollar-Rand
Gold (rands), FTSE/JSE SWIX, CPI, SteFI One-year rolling returns to September 2018 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% 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
Commodities Three months to September 2018 115 110 105 12.6% 6.5% 4.6% 100 95-0.9% -2.1% -7.0% 90-2.3% 85 30-Jun-18 31-Jul-18 31-Aug-18 30-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
Commodities One year to September 2018 150 140 46.0% 130 120 110 100 90 14.8% 11.6% 8.4% -3.3% -4.7% -6.5% 80 30-Sep-17 30-Nov-17 31-Jan-18 31-Mar-18 31-May-18 31-Jul-18 30-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
SAVI-VIX Since September 2007 to September 2018 60 55 50 45 40 Financial / European debt crisis (Sovereign debt concerns) S&P downgrade US debt Uncertainty around US rate hikes Brexit Higher than expected US inflation 85 75 65 55 SAVI 35 30 25 20 15 45 35 25 15 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
Foreign transactions 2014 to 2018 40 000 17 16 30 000 15 14 20 000 13 12 10 000 11 10 0 9 8-10 000 7 6 5-20 000 4 3-30 000 2 1-40 000 0 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 R(m) Foreign Transactions Bonds Rand/USDollar Exchange Rate Foreign Transactions Equities
Cumulative foreign transaction equities 2013 to 2018 60000 40000 20000 0-20000 -40000-60000 -80000-100000 -120000-140000 December January February March April May June July August September October November December 2013 2014 2015 2016 2017 2018
Cumulative foreign transaction bonds 2013 to 2018 80000 60000 40000 20000 0-20000 -40000-60000 -80000-100000 December January February March April May June July August September October November December 2013 2014 2015 2016 2017 2018
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