Having trouble reading this email? View in your web browser
 The Sharenet Daily 
Friday, 19 August 2016 - 20:00
 
Charts
News
Top News
Markets
SA Business
Company News
Company Results
World Markets (Spot Prices)
JSE Today
JSE Trading Statistics
Major Moves
Index Summary
Latest Consensus Changes / Results Expected
Recent Dividends / Ex Div
Upcoming AGMs
Stock Exchange News Service (SENS)


Charts
Sharenet Securities - smarter investing | online

* Lightning quick order entry and cancelation
* Sophisticated portfolio and share selection tools
* Lowest rates in South Africa: only 0.3% commission

 
Todays Sharenet VIEWS
Willem le Roux & Ian Stiglingh
ALSO SEE:áBrexit: Post Apocalypse Part 1 Following on from Part 1 of this series, we are looking at how markets reacted to different sectors exposed to UK assets after a surprise vote by Britain to leave the European Union. We have covered the UK property sector that has been labelled as one of the potential victims in a Brexit scenario and caused many investors to take their cash and run from property funds. We also touched on the sharp decline in the value of the British Pound that has also...  Full story
Seed Weekly - Low Volatility Factor Investing

Equity markets have been characterised by increased volatility in the recent past. Associated with this is the short-term underperformance in the markets, which investors are nervous about especially with more uncertainty going forward.

Figure 1 below illustrates how market underperformance and increased volatility have historically been associated using the FTSE/JSE All Share Index returns data.

Figure 1: Rolling 1 Year Return & Rolling 1 Year Standard Deviation of the FTSE/JSE All Share Index in Rand

Source: Morningstar Direct

This relationship is in line with the conventional risk-return trade-off principle which basically links, ‘high risk’ to ‘high rewards’. Volatility is a commonly used measure of risk – the more volatile an investment is, the more unpredictable future returns are, and the more likely they will deviate from expected returns.

My previous article on factor investing (smart beta), highlights certain factors which historically have been deemed to earn a long term equity risk premium. The target of factor investing is to harvest the risk premia through exposure to these factors. One such factor is the Low Volatility factor which by definition captures excess returns from stocks with lower than average volatility, beta, and/or idiosyncratic risk. Excess returns/outperformance from low volatility stocks is quite interesting as it contradicts the conventional risk-return trade-off principle stated above.

I make use of data from the MSCI All Country World Index as there is limited low volatility data on the local market. The chart below summarises why low volatility outperforms over the long term – simply it is a result of lower drawdowns / limited losses in times of market stress.

Figure 2: Investment Growth since June 1993 and drawdowns over the same period in USD

Source: Morningstar Direct

The long-term outperformance is quite remarkable as it points to the persistence of the low volatility factor, even though the main driver is limited downside. Such a strategy is likely to underperform when the markets are strong, but its strength lies in the period of negative market returns. The market tends to underestimate the frequency, magnitude, duration and impact of market downturns.

The MSCI low volatility uses two construction methodologies to capture the low volatility premium, minimum-volatility-indices and risk-weighted-indices. Minimum Volatility Indices reflect an empirical portfolio with the lowest forecast volatility using minimum variance optimization. Risk Weighted Indices capture low volatility stocks by weighting based on the inverse of historical variance. The result of this construction is a portfolio of stocks that tends to have more or less similar long-term returns.

A few behavioural explanations have been suggested to explain the low volatility anomaly. The “lottery effect” is the most common and suggests that people tend to take bets with a small expected loss but a larger expected win, even though the probability of a loss is much higher than the win, and the weighted average of the outcome may be negative – similar to paying a small sum for a potentially large lottery win even though the probability of winning is very small. Investors therefore often overpay for high volatility stocks and underpay for low volatility stocks due to the “irrational” preference for volatile stocks.

Critics of the volatility factor argue that buying a basket of low volatility stocks may lead to unintended bets on valuation and sectors, because such stocks can be expensive and concentrated in just a few sectors (such as financials). Continued analysis and testing is therefore necessary to optimise the potential benefits of investing in this factor.

The Seed Balanced Fund currently makes use of the Low Volatility factor as an equity strategy within the fund. Blending this strategy with other uncorrelated strategies forms part of our risk management framework. As a result, the fund has enjoyed diversification benefits, helping to reduce volatility in tough markets.

Kind regards,

Tawanda Mushore

***SEED IS HIRING: Click here to view vacancy

Tel +27 21 914 4966
Fax +27 21 914 4912
Email info@seedinvestments.co.za

Please click here to view our disclaimer. For more information please visit our website.

Fri, 19 Aug 2016
Top News
[IMAGE]
Local markets On Friday, the JSE All Share ended 0.41% lower with losses across the board led by resource shares.  Full story

[IMAGE]
Chinese state-owned Beijing Automobile International Corporation (BAIC) has signed a deal to invest 11 billion rand ($823.30 million) in an industrial zone in South Africa's Eastern Cape province, the operator of the zone said on Thursday. The deal will see BAIC open an automotive  Full story
Paul Manafort resigned as chairman of Donald Trump's U.S. presidential campaign on Friday, no longer enjoying the full confidence of a Republican candidate who is trying to boost his flagging White House bid.  Full story
Syrian Kurdish authorities evacuated thousands of civilians from Kurdish areas of a city in northeastern Syria on Friday, the second day of government air strikes, a spokesman for the Kurdish YPG militia said.  Full story
An artists' collective took credit for exposing Donald Trump to unflattering scrutiny on Thursday, saying it was responsible for a life-sized nude statue of the Republican presidential candidate that turned up in a New York City park.  Full story
 
SA Business
South Africa's rand weakened in early trade on Friday as risk appetite subdued after some Federal Reserve officials reiterated the case for raising U.S. interest rates in coming months. * At 0645 GMT, rand trades at 13.4440 per dollar, 0.43percent weaker from its New York close on Thursday. * The dollar recovered after hawkish comments from some Fedofficials. * The local bourse is set to open largely unchanged at 0700GMT, with the blue chip futures index down 0.15 percent. * In f. . .  Full story

South Africa's main opposition party on Friday took control of the local government in the nation's capital, electing a mayor in a district the ruling party has held since the end of apartheid 22 years ago.. . .  Full story
Company News
Phumelela shareholders (˘Shareholders÷) are referred to the announcement released by the company on SENS o n Friday, 29 April 2016, wherein. . .  Full story
ARMĂs headline earnings for the financial year ended 30 June 2016 (F2016) were negatively affected by a decline in the average. . .  Full story
Adcock Ingram is currently finalising its results for the year ended 30 June 2016, which are expected to be released on. . .  Full story
Shareholders are referred to the announcement released on SENS on 18 August 2016 regarding the proposed appointment of Mrs MJ Janse. . .  Full story

Shareholders are advised that the company will be holding an investor relations meeting for the purposes of presenting the 2016 interim. . .  Full story
Shareholders are advised that at the annual general meeting of Telkom to be held on 24 August 2016 (˘AGM÷), the Board. . .  Full story
Old Mutual Asset Management plc (OMAM) announced on 18 August 2016 that it had completed its previously announced investment in Landmark. . .  Full story
Adcock Ingram will announce its financial results for the year ended 30 June 2016 on 26 August 2016, on SENS. Shareholders. . .  Full story
Company Results
Revenue for the year ended 30 June 2016 soared to R803.3 million (2015: R578 million). Gross profit shot up to R452.6. . .  Full story
Revenue for the interim period ended 30 June 2016 increased to R4 billion (R3.5 billion). Gross profit decreased to R713.4 million. . .  Full story
Revenue for the interim period incresaed to USD1.305 billion (2015: USD1.270 billion). Operating profit rose to USD638.6 million (2015: USD522 billion),. . .  Full story
Revenue for the interim period increased to R9.8 billion (2015: R8.3 billion). Net operating profit grew to R2.2 billion (2015: R1.9. . .  Full story
World Markets (Spot Prices)
NameTimeRPMove% Move
JSE Overall17:0052771.95-217.71-0.41%
JSE Top 4017:0045877.01-186.62-0.41%
JSE Gold17:002597.51-8.50-0.33%
JSE Financial17:0042057.56-269.89-0.64%
JSE Industrial17:0077814.95-180.63-0.23%
JSE Indust 2517:0069628.57-138.63-0.20%
JSE Resource17:0031718.88-225.55-0.71%
DJ Futures19:3418510.00-55.00-0.30%
DJ Ind20:0018547.78-49.92-0.27%
SP 50020:002181.37-5.65-0.26%
Nasdaq20:005231.18-8.97-0.17%
FTSE 10017:136857.11-11.85-0.17%
DAX18:0610544.36-58.67-0.55%
CAC4018:064400.52-36.54-0.82%
Nikkei08:4416545.8259.810.36%
Shanghai09:303108.103.990.13%
Hang-Seng10:2822937.22-85.94-0.37%
All Ords08:395625.4018.100.32%
NZSE 5009:027405.2520.130.27%
NameTimeRPMove% Move
Gold $19:571343.45-7.79-0.58%
Gold R20:0018166.27115.180.64%
Gold R/kg20:0058404537030.64%
Silver $19:5719.3470-0.3620-1.84%
Platinum $19:571113.970.000.00%
Palladium $19:55709.24-3.26-0.46%
R18617:278.470.060.71%
R20417:247.640.070.92%
R20717:247.800.050.71%
Brent Crude19:3850.660.811.62%
USD / ZAR19:5713.52210.16171.21%
GBP / ZAR18:2017.58570.02990.17%
EUR/ ZAR18:3015.28670.11200.74%
NZD/ ZAR19:569.81740.07750.80%
AUD / ZAR19:1510.29420.01840.18%
USD / JPY19:57100.20900.27700.28%
EUR / USD19:571.1318-0.0036-0.32%
GBP / USD19:571.3066-0.0094-0.72%

Click here for the Sharenet Spot Price page
The JSE Today

Trading Statistics
DateAdv.Decl.Unch.ActivesVolumeValueTradesOrders
19/08/201615519355403264,027,989R20,371,542,1802954692212590
18/08/201622511655396221,587,157R20,367,551,4312495442103732
17/08/201612022650396293,875,964R28,220,514,6493834352463055
16/08/201616219560417308,059,909R25,322,064,1843002392439071
15/08/201612221859399232,294,100R18,818,125,2932092611570102
* Includes all listed instruments on the JSE
Major Moves Up
SharenameSaleMove% MoveVolume
1 RANGOLD  2372210.23.%1050
2 BELL  1099999.90.%5400
3 OCTODEC  23771496.69.%479190
4 YORK  250135.49.%1000
5 SABVEST  32501404.50.%500
6 TEX  730304.29.%1384459
7 HOSP-B  370154.23.%31932
8 ITLTILE  1408574.22.%18215
9 TRADEH  25501014.12.%114958
10 ADCOCK  47051803.98.%169833
11 HOSP-A  1325493.84.%538308
12 LEWIS  44751453.35.%325257
13 ASTORIA  1135353.18.%303355
14 CAT  1310393.07.%646128
15 HARMONY  55201613.00.%2036192
16 GLOBETRD  2600752.97.%1008
17 NIVEUS  2900832.95.%47365
18 PALLINGHT  365102.82.%32699
19 ARROW-A  887242.78.%3646474
20 SYGNIA  1490402.76.%7545

Click here for more Major Moves...
Major Moves Down
SharenameSaleMove% MoveVolume
1 CULLINAN  110-25-18.52.%4398
2 E-MEDIA-N  600-65-9.77.%3000
3 ALARIS  221-14-5.96.%38975
4 ARM   9774-516-5.01.%598665
5 NAMPAK  2000-101-4.81.%3013120
6 Cognition  115-5-4.17.%37725
7 Zakhele   6600-250-3.65.%4966
8 GLENCORE  3336-112-3.25.%1256329
9 THARISA  1500-50-3.23.%22860
10 BIDCORP  25200-807-3.10.%562003
11 SOUTH32  2073-66-3.09.%2030279
12 AFRO-C  500-15-2.91.%118280
13 CONDUIT  301-9-2.90.%66027
14 METAIR  1895-55-2.82.%474447
15 AVENG  586-17-2.82.%6234208
16 ATLEAF  1750-50-2.78.%466266
17 STENPROP  2018-57-2.75.%220886
18 PPC  899-25-2.71.%3451963
19 BOWCALF  900-25-2.70.%15552
20 NOVUS  1120-31-2.69.%726

Click here for more Major Moves...

New Highs
SharenameSaleHighMove% MoveVolume
1 HOSP-B  370370154.23.%31932
2 ITLTILE  14081420574.22.%18215
3 GLOBETRD  26002600752.97.%1008
4 WBHO  13850140893502.59.%255096
5 SASFIN  670067001502.29.%1924
6 CASHBIL  39800399616731.72.%17242

Click here for more Major Moves...
New Lows
SharenameSaleLowMove% MoveVolume
1 Cognition  115115-5-4.17.%37725
2 ATLEAF  17501750-50-2.78.%466266
3 MAS  16991680-33-1.91.%310815
4 CAT  13101162393.07.%646128

Click here for more Major Moves...

Index Summary
Index NameRPMove% Move
Top 4045,877.01-186.62-0.41%
Industrial77,814.95-180.63-0.23%
Mid Cap80,630.37-494.62-0.61%
Small Cap61,805.49300.340.49%
Resource 2031,718.88-225.55-0.71%
Industrial 2569,628.57-138.63-0.20%
Financial 1515,377.25-118.36-0.76%
Financial & Ind. 3072,473.13-250.36-0.34%
All Share52,771.95-217.71-0.41%
Oil & Gas 7,195.69.000.00%
Mining 23,938.53-283.86-1.17%
Gold Mining2,597.51-8.50-0.33%
Platinum Mining29.18-.66-2.21%
GENERAL MINING5,687.54-77.32-1.34%
Oil & Gas Producers 38,689.88.000.00%
Basic Materials 22,603.71-159.60-0.70%
Chemicals 19,858.60183.800.93%
Forestry & Paper 48,872.59-188.65-0.38%
Industrial Metals 10,484.63236.162.30%
Industrials 48,805.04-252.22-0.51%
General Industrials 189.14-1.26-0.66%
Consumer Goods 71,172.88-123.14-0.17%
Automobiles & Parts 4,291.15-124.54-2.82%
Household Goods631.72-1-0.17%
Health Care 9,996.79-6.33-0.06%
Beverages 260.97-.41-0.16%
Index NameRPMove% Move
Food Producers 9,748.44-119.12-1.21%
Personal Goods 833.27-3.59-0.43%
Consumer Services 19,058.95-36.73-0.19%
General Retailers 8,103.62-87.68-1.07%
Travel & Leisure 6,748.14-12.63-0.19%
Media 495.572.160.44%
Support Services 1,973.77-4.66-0.24%
Telecommunications 7,039.95-47.26-0.67%
Financials 42,057.56-269.89-0.64%
Banks 7,456.00-66.61-0.89%
Non-life Insurance 56,276.47-255.22-0.45%
Life Insurance 37,436.27-503.25-1.33%
General Financial 3,990.67-17.02-0.42%
Technology 54,248.308.810.02%
SHARIAH TOP40 3,146.98-15-0.47%
FTSE/JSE SHARIAH ALL3,561.68-20-0.56%
COAL MINING10,086.86-211-2.05%
FTSE JSE Fledgling 7,386.17110.15%
FTSE/JSE Alt X 1,426.3430.23%
SA LISTED PROPERTY 664.04-.56-0.08%
CAPPED PROPERTY 551.87-0.07%
RESOURCE 18,035.46-127-0.70%
DIVIDEND PLUS211.10-2-0.86%
FTSE/JSE RAFI 409,660.43-67-0.69%
Capped Top 4024,524.51-121-0.49%
Capped All Share26,983.26-123-0.45%
JSE TABACO 10,909.04910.84%

Click here for the Sharenet Index Summary page
Latest Consensus Changes**
CodeCompany NameStatusUpdated
HARHARMONY GOLD MINING COMPA...BUY19/08/2016
NPNNASPERS LIMITEDBUY19/08/2016
BGABARCLAYS AFRICA GRP LTDHOLD18/08/2016
SBKSTANDARD BANK GROUP LIMIT...SELL18/08/2016
KAPKAP INDUSTRIAL HLDGSBUY18/08/2016
Results Expected**
ExpectedCompany NameFin. Date
22/08/2016ADVTECHJune 2016 (Interim)
22/08/2016INTEWASTEJune 2016 (Interim)
22/08/2016KERSAFPJune 2016 (Final)
22/08/2016MARADELTAJune 2016 (Final)
22/08/2016SIBANYEJune 2016 (Interim)

Recent Dividends**
Share NameDec-DateLDTPay-DateAmount
STANBANK6.518/08/1606/09/1612/09/16ZAR 0.0325
CAPREG18/08/1627/09/1627/10/16GBP 0.0162
ADAPTIT18/08/1613/09/1619/09/16ZAR 0.1340
GFIELDS18/08/1606/09/1612/09/16ZAR 0.5000
TRUWTHS18/08/1613/09/1619/09/16ZAR 1.7500
Ex Div**
Share NameDec-DateLDTPay-DateAmount
IMPL CONV19/07/1616/08/1622/08/16ZAR 250.0000
BATS28/07/1616/08/1628/09/16GBP 0.5130
SABVEST29/07/1616/08/1622/08/16ZAR 0.2300
SABVEST-N29/07/1616/08/1622/08/16ZAR 0.2300
MONDIPLC04/08/1616/08/1613/09/16EUR 0.1881

Upcoming AGMs**
CodeCompany NameDateStatus
ARTArgent Industrial Ltd.19/08/2016Unconfirmed
TKGTelkom SA SOC Ltd.24/08/2016Confirmed
TKGATelkom SA SOC Ltd.24/08/2016Confirmed
TKGBTelkom SA SOC Ltd.24/08/2016Confirmed
GDNGooderson Leisure Corporation Ltd.24/08/2016Confirmed

Stock Exchange News Service
DateTimeHeadline
19/08/201617:30MONEYWEB HOLDINGS LIMITED - Trading Statement
19/08/201617:00THE FOSCHINI GROUP LIMITED - Notification in terms of Section 122(3) of the Comp...
19/08/201617:00enX GROUP LIMITED - Change to the board of directors
19/08/201616:55DIPULA INCOME FUND LIMITED - Dealing in securities by an associate of a director...
19/08/201616:51FORTRESS INCOME FUND LIMITED - Full capital redemption - FIFC23
19/08/201616:34ITALTILE LIMITED - Update on the Fulfilment of the Conditions Precedent
19/08/201616:30THE FOSCHINI GROUP LIMITED - Directors Dealing in Securities
19/08/201616:03ABSA BANK LIMITED - ASN161 - New Financial Instrument Listing
19/08/201615:45EMIRA PROPERTY FUND LIMITED - EPFC26-7-New Instrument Listing
19/08/201615:30AVENG LIMITED - Retirement of independent non-executive director
19/08/201615:30PHUMELELA GAMING & LEISURE LIMITED - Posting of circular and notice of general m...
19/08/201615:00AFRICAN RAINBOW MINERALS LIMITED - Trading statement in respect of the year ende...
19/08/201615:00CAPITAL & REGIONAL PLC - PDMR Dealing
19/08/201614:45NEW EUROPE PROPERTY INVESTMENTS PLC - Appointment of alternate director
19/08/201614:42ROCKCASTLE GLOBAL REAL EST CO LIMITED - Notice in respect of an election to rece...
19/08/201614:40SOVEREIGN FOOD INVESTMENTS LIMITED - Posting of the Response Circular and withdr...
19/08/201614:07MUSTEK LIMITED - Trading Statement
19/08/201613:00JUBILEE PLATINUM PLC - Jubilee Live Interactive Webcast
19/08/201613:00STANDARD BANK OF SA LTD - Financial Instrument Partial De-listing Announcement -...
19/08/201612:30INTU PROPERTIES PLC - Notification of Major Interest in Shares
19/08/201612:30SIBANYE GOLD LIMITED - Trading Statement for the six months ended 30 June 2016
19/08/201612:12ADCOCK INGRAM HOLDINGS LIMITED - Trading statement
19/08/201612:00SEPHAKU HOLDINGS LIMITED - Correction announcement in respect of the proposed ap...
19/08/201611:55FOX STREET 2 (RF) LIMITED - Partial Redemption - FS2A4
19/08/201611:41INVICTA HOLDINGS LIMITED - Change and restructure to the board
19/08/201611:25HOWDEN AFRICA HOLDINGS LIMITED - Notice of Investor Relations Meeting
19/08/201610:29NICTUS BEPERK - Results of Annual General Meeting
19/08/201610:25BANK WINDHOEK LIMITED - Interest Rate Reset Announcement
19/08/201610:13CITY LODGE HOTELS LIMITED - Notice in terms of Section 45 of the Companies Act
19/08/201610:08TELKOM SA SOC LIMITED - Amendments to Notice of Annual General Meeting: Special ...
19/08/201610:00WILSON BAYLY HOLMES-OVCON LIMITED - Trading Statement
19/08/201610:00CAPITAL & REGIONAL PLC - Half Year Results To 30 June 2016 Amendment To Note 7
19/08/201609:20JSE LIMITED - Informative Notice 20160819 Free Float Update for September Revie...
19/08/201609:00NEWFUNDS COLLECTIVE INVEST SCHEME - NFGOVI/ NFILBI/ NFTRCI - Interest distributi...
19/08/201608:39AFRICA ETF ISSUER (RF) LIMITED - LISTING OF ADDITIONAL AfricaGold debentures - E...
19/08/201608:00OLD MUTUAL PLC - OMAM Completes Investment in Landmark Partners
19/08/201607:30OMNIA HOLDINGS LIMITED - Global Credit Rating Co. Affirms Omnias Rating of A-
19/08/201607:05ADCOCK INGRAM HOLDINGS LIMITED - Post results announcement conference call for s...

Click here for more SENS news