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A Different Perspective on Asset Class and Style Tilting

In this live-recorded webinar, Ann Sebastian, Portfolio Manager – STANLIB Index Investments, explains how a quantitative rules-based approach can identify optimal styles which may be applicable in various economic recovery scenarios. She also explains how macro, volatility and yield curve regime analyses can inform portfolio construction through market extremes, as well as discussed which SA companies meet the prevailing “cash is king” phenomenon. 

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Ann Sebastian

Ann Sebastian

Portfolio manager

BSc(Hons)(Advanced Mathematics of Finance)

Ann joined STANLIB’s Beta Quants team in 2012 as a quantitative analyst. Possessing a very strong academic record and a passion for financial markets, she specialised in asset allocation, portfolio construction, investment risk management and multi-factor risk modelling.

Tracy Coetzer

Tracy Coetzer

Head of Institutional Distribution

BCom (Accounting) PDM Bus. Ad

Tracy joined STANLIB as a senior client fund manager in September 2017. In 2019, Tracy was promoted to head of institutional distribution. She joined STANLIB from Standard Chartered Bank, where she was the Head of Financial Markets.

Key takeouts 
  • Equity investment styles or factors work in the South African equity market by giving market direction as well as return resilience
  • In the current COVID-19 environment, our style allocation is defensively positioned with biggest tilt towards growth and quality styles during this contractionary environment
  • The current financial markets’ environment is either a stock selector’s dream or nightmare, as stock and sector return dispersions are highest in 15 years, creating great opportunities for systematic investors
  • Cash-flush equity companies with easily accessible reserves are gaining favour as most companies suffer from flailing earnings expectations
  • The STANLIB Multi-Factor Fund has outperformed its benchmark YTD, 1yr, 2yr and 3yr, and has successfully navigated both bull and bear markets. It has proven to be a systematic risk-adjusted solid performer against its peers
  • Applying a similar quantitative lens to asset allocation, using certain popular regime indicators (macro, volatility and yield curve) shows that, in the present market, bonds should be preferred over equities.

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