Regime-dependent dynamics of quality-enhanced value strategies on the Johannesburg Stock Exchange

This study employed a Markov switching model to evaluate the regime-dependent dynamics of quality-enhanced value strategies on the JSE (2004–2024). Moving beyond static validations, this study investigated the performance of these composite portfolios across discrete stable and turbulent market states. Findings indicate that multidimensional quality screens (F-score, G-score) function as robust, all-weather allocations, providing drawdown protection during market turbulence and enhanced upside during expansions relative to pure value strategies. Gross profitability offered limited utility. Furthermore, capitalisation-weighting significantly dampened factor efficacy, suggesting alternative weighting methodologies may better capture the value-quality integration benefits on the JSE.