Here is the YTD performance summary of the 10-share low price--to-book portfolio taken from the lowest price/book decile of the JSE ALL STOCKS universe on 3 March 2009. They represent the lowest price/book shares on the JSE at the time.



Although the performance looks very bad against all the other strategies we are tracking, you must bear in mind that this is taken from the ALL-STOCKS universe, and will have smaller less liquid issues than other strategies we track. In addition these represent the deepest value shares on the JSE at the time of inception, and are thus by design, out-of favour and neglected stocks. Last month this portfolio started pulling away nicely but it has suffered deeply in the latest pullback. The problem with a low price-to-book strategy during a recession cycle is highlighted by this uncertainty driven volatility and we are inclined to think that low price-book strategies are more suited to less uncertain economic times than the current. These risks will however (hopefully) be rewarded with superior returns over a 12 month period.
 
Our Price-to-Book backtests, coupled with various international research have shown that this deep-value strategy can deliver exceptional returns over time, but you need to be patient as these issues will come to the fore in the 2nd phase of a bear market recovery (as opposed to the other strategies that are enjoying 1st phase attention).

The 20-share portfolio seems to be faring much better, but the volatility (standard deviation) is horrendous. You will have to have big balls to run this portfolio...if it was not for the massive run on JBL things might have looked worse.