Mind the benchmark gap

Kingsley Williams
Investment Forum 2021
Interest over time
60
ALSI
CAPI
50 SWIX

40

30

20

10

-
Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1
2016 2017 2018 2019 2020 2021

Source: Google Trends, South Africa, past five years 2

How different are these indices?

1 600
ALSI
CAPI
800
SWIX
Capped SWIX

400

200

100

50
2008

2021
2002

2003

2004

2005

2006

2007

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020
Capped SWIX performance equivalent to SWIX performance prior to February 2012 | Uncapped Resources prior to June 2015 | Uncapped Industrials prior to April 2018
Source: FTSE/JSE gross total returns, Feb 2002 – Mar 2021 3
How different are these indices?
Rolling 3-year Annualised Relative Returns vs. ALSI
8%

6%

4%
TE: 4.0%
TE: 3.8%

2%
TE: 1.4%

0% ALSI

-2%

-4%

-6%
CAPI vs. ALSI
SWIX vs. ALSI
Capped SWIX vs. ALSI
-8%

2017

2021
2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2018

2019

2020
Capped SWIX performance equivalent to SWIX performance prior to February 2012 | Annualised returns indicate the average annual return after compounding.
Source: FTSE/JSE gross total returns, Feb 2002 – Mar 2021 4
Why are the indices different?
Rolling 3-year Annualised Returns
8% 60%
Financials (RHS)
Industrials (RHS)
6%
Resources (RHS) 40%

4%

20%
2%

0% 0%

-2%
-20%

-4%

-40%
-6%
CAPI vs. ALSI
SWIX vs. ALSI
Capped SWIX vs. ALSI
-8% -60%
2006

2012

2018
2005

2007

2008

2009

2010

2011

2013

2014

2015

2016

2017

2019

2020

2021
Capped SWIX performance equivalent to SWIX performance prior to February 2012 | Capped Resources since June 2015 | Capped Industrials since April 2018 | Annualised returns indicate the average annual return after compounding.
Source: FTSE/JSE gross total returns, Feb 2002 – Mar 2021 | 5
Sector exposure through time
ALSI CAPI
Financials ex Property Property Financials ex Property Property
Industrials ex Technology Technology Industrials ex Technology Technology
Resources Resources
100% 100%

90% 90%

80% 80%

70% 70%

60% 60%

50% 50%

40% 40%

30% 30%

20% 20%

10% 10%

0% 0%
2006

2015
2016

2009

2018
2019
2005

2007
2008
2009
2010
2011
2012
2013
2014

2017
2018
2019
2020
2021

2005
2006
2007
2008

2010
2011
2012
2013
2014
2015
2016
2017

2020
2021
Source: FTSE/JSE & Satrix, March 2005 – March 2021 6
Sector exposure through time
SWIX Capped SWIX
Financials ex Property Property Financials ex Property Property
Industrials ex Technology Technology Industrials ex Technology Technology
Resources Resources
100% 100%

90% 90%

80% 80%

70% 70%

60% 60%

50% 50%

40% 40%

30% 30%

20% 20%

10% 10%

0% 0%
2006

2015
2016

2009

2018
2019
2005

2007
2008
2009
2010
2011
2012
2013
2014

2017
2018
2019
2020
2021

2005
2006
2007
2008

2010
2011
2012
2013
2014
2015
2016
2017

2020
2021
Source: FTSE/JSE & Satrix, March 2005 – March 2021 | Capped SWIX weights simulated prior to December 2016 7
Style tilts relative to ALSI
5-Year Median Constituent Factor Exposure
10%
CAPI
8%
Capped SWIX

6%

4%

2%

0%

-2%

-4%

-6%
Momentum Value Quality Small Size Low Volatility

Source: FTSE/JSE, Bloomberg, Morningstar, Satrix, April 2016 – March 2021 8

Active fund style tilts relative to ALSI
5-Year Median Constituent Factor Exposure
10%
CAPI
8%
Capped SWIX
Median Active
6%

4%

2%

0%

-2%

-4%

-6%
Momentum Value Quality Small Size Low Volatility
Bars represent 100 largest ASISA SA Equity General Funds’ median constituent holding style tilts. Fund of Funds and style funds excluded.
Source: FTSE/JSE, Bloomberg, Morningstar, Satrix, April 2016 – March 2021 9
Active fund style tilts relative to ALSI
Current Constituent Factor Exposure
10%
CAPI
8%
Capped SWIX
Median Active
6%

4%

2%

0%

-2%

-4%

-6%
Momentum Value Quality Small Size Low Volatility
Bars represent 100 largest ASISA SA Equity General Funds’ median constituent holding style tilts. Fund of Funds and style funds excluded.
Source: FTSE/JSE, Bloomberg, Morningstar, Satrix, as at 31 March 2021 10
Interest over time
60
ALSI
CAPI
50 SWIX
Capped SWIX

40

30

20

10

-
Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1
2016 2017 2018 2019 2020 2021

Source: Google Trends, South Africa, past five years 11

Other characteristics

Capped
ALSI CAPI SWIX
SWIX

Foreign Revenue 66.4% 63.8% 56.8% 51.9%

PE Ratio 16.2 15.6 17.4 16.1

Dividend Yield 2.8% 2.9% 2.5% 3.0%

Tracking Error to Capped SWIX 6.9% 6.0% 4.1% -

Source: FTSE/JSE, MSCI Barra, Bloomberg, Refinitiv & Sanlam Investments as at 31 March 2021 12
Concentration
Herfindahl-Hirschman Index | Mar 2000 – Mar 2021
ALSI CAPI SWIX Capped SWIX
9%

High concentration
8%

7.37%
7%
6.74%
6%

5%
4.80%

4%

Low concentration
3% 2.93%

2%

1%

0%
2007

2016

2017
2000

2001

2002

2003

2004

2005

2006

2008

2009

2010

2011

2012

2013

2014

2015

2018

2019

2020

2021
Source: FTSE/JSE & Satrix | Capped SWIX weights simulated prior to December 2016 13
SmartCore™ style tilts relative to ALSI
Current Constituent Factor Exposure
20%

Capped SWIX
15%
SmartCore™
Median Active

10%

5%

0%

-5%

-10%
Momentum Value Quality Small Size Low Volatility
Bars represent 100 largest ASISA SA Equity General Funds’ median constituent holding style tilts. Fund of Funds and style funds excluded.
Source: FTSE/JSE, Bloomberg, Morningstar, Satrix, as at 31 March 2021 14
Democratising Investing | giving investors greater choice!
Potential excess return over benchmark

Alternatives
Thematic
Megatrends
Traditional
Fundamental
Factor
(Smart Beta)

Market Cap

Active Risk / Tracking Error

Source: BlackRock & Satrix, for illustrative purposes only 15
Convenience

UCITS
Segregated

ETF Life Pooled

Unit Trust

AUM represents all assets managed in CIS vehicles (Satrix ETFs, Unit Trusts and UCITS), life pooled portfolios, assets managed via segregated mandates by Satrix as a division of Sanlam Investment Management and Satrix branded
endowment funds managed by Sanlam Structured Solutions.
Source: Satrix, 31 March 2021 16
Full investment suite

Vanilla Factor Global Balanced

17
Morningstar Best Fund House 2021

What does it mean?

• A nod to indexing
• Honours managers that have added
the most value for investors within
their peer group
• Recognises the fund house with the
strongest performing fund line-up on
a risk adjusted basis over a one-,
three-, and five-year history
CIS Disclosure

Satrix Managers (RF) (Pty) Ltd (Satrix) a registered and approved Manager in Collective Investment Schemes in Securities and an
authorised financial services provider in terms of the FAIS. Collective investment schemes are generally medium- to long-term investments.
Unit Trusts and ETFs the investor essentially owns a “proportionate share” (in proportion to the participatory interest held in the fund) of the
underlying investments held by the fund. With Unit Trusts, the investor holds participatory units issued by the fund while in the case of an
ETF, the participatory interest, while issued by the fund, comprises a listed security traded on the stock exchange. ETFs are index tracking
funds, registered as a Collective Investment and can be traded by any stockbroker on the stock exchange or via Investment Plans and
online trading platforms. ETFs may incur additional costs due to it being listed on the JSE. Past performance is not necessarily a guide to
future performance and the value of investments / units may go up or down. A schedule of fees and charges, and maximum commissions
are available on the Minimum Disclosure Document or upon request from the Manager. Collective investments are traded at ruling prices
and can engage in borrowing and scrip lending. Should the respective portfolio engage in scrip lending, the utility percentage and related
counterparties can be viewed on the ETF Minimum Disclosure Document. The Manager does not provide any guarantee either with respect
to the capital or the return of a portfolio. The index, the applicable tracking error and the portfolio performance relative to the index can be
viewed on the ETF Minimum Disclosure Document and or on the Satrix website.

Performance is based on NAV to NAV calculations of the portfolio. Individual performance may differ to that of the portfolio as a result of
initial fees, actual investment date, dividend withholding tax and income reinvestment date. The reinvestment of income is calculated based
on actual distributed amount and factors such as payment date and reinvestment date must be considered. Annualised return is the
weighted average compound growth rate over the period measured. Cumulative return is the aggregate return of the portfolio for a
specified period.

The information does not constitute financial advice as contemplated in terms of the Financial Advisory and Intermediary Services Act, No
37 of 2002 (“FAIS”). Use or rely on this information at your own risk. Consult your financial advisor before making an investment decision.

International investments or investments in foreign securities could be accompanied by additional risks such as potential constraints on
liquidity and repatriation of funds, macroeconomic risk, political risk, foreign exchange risk, tax risk, settlement risk as well as potential
limitations on the availability of market information.
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