Singapore Exchange Ltd (SGX)

Singapore Exchange is Asia’s leading and trusted market infrastructure, facilitating the exchange of capital and ideas to create value for people, businesses and economies. As a multi-asset exchange operating equity, fixed income and derivatives markets to the highest regulatory standards, SGX is a vertically integrated business that provides listing, trading, clearing, settlement, depository and data services.

With about 40% of listed companies and over 80% of listed bonds originating outside of Singapore as well as established linkages across the region and in Europe, SGX is Asia’s most international and connected exchange. Offering a full suite of derivatives products across Asian equity indices, commodities and currencies, SGX is the world’s most liquid international market for the benchmark equity indices of China, India, Japan and ASEAN.

As Asia’s pioneering central counterparty, SGX is globally recognised for its risk management and clearing capabilities, and was one of the first globally to adopt the Principles for Financial Market Infrastructure.

Headquartered in AAA-rated Singapore, SGX has over 800 employees including offices in Beijing, Chicago, Hong Kong, London, New York, Mumbai, San Francisco, Shanghai and Tokyo.

Asia’s leading multi-asset exchange

SGX Market Strategist, Equity & Fixed Income, Singapore Exchange Ltd (SGX)

Geoff Howie

SGX Market Strategist, Equity & Fixed Income

Equity Bottom-Up





Dasin Retail Trust topped Low Volatility factor exposure rankings of more than 100 actively traded Singapore stocks for the 12 months ending 30 June 2020. The 40 stocks with the highest rankings (i.e. lowest volatility) generated comparatively less declines than the STI over the past three months, 2020 YTD and past three years.   
	 
	
The 40 stocks with the lowest volatility included 19 Real Estate stocks that averaged 8% declines in the 2020 year to 21 Sep, on S$17 million in net institutional inflow. Since the 9 June STI high, the 19 Real Estate stocks averaged a 3% decline, bringing their average three year total return to 5%.  
	 
	Eight Real Estate stocks also made up the 10 of the 40 Low Volatility factor exposure stocks with the highest net institutional inflow proportionate to market capitalisation in the 2020 year to 21 Sep. Together the eight stocks averaged a 2% total return since 9 June, and a 3% total return in the 2020 year to 21 Sep.  

 

As detailed in the recent Factor Investing in Singapore Report by Nicolas Rabener, five classic equity factors that enjoy  broad support from the global research community include Value, Size, Momentum, Low Volatility, and Quality.  
The Factor Investing in Singapore Report (click here for full report), which was completed in collaboration with Singapore Exchange, ranked more than 100 stocks according to the Low Volatility Factor. The five stocks that saw the lowest volatility for the 12 months through to 30 June 2020 included Dasin Retail Trust, Bukit Sembawang Estates, Haw Par Corp, Wing Tai Holdings and Oversea-Chinese Banking Corp Of the five stocks Business Trust Dasin Retail Trust has performed the most defensively with a 1% total return in the 2020 year to 21 September. The industry standard is to take one or three years in price history for gauging the Low Volatility factor.



      
    
    Comparative Total Returns


The Factor Investing in Singapore report also noted that based on long term stock market and economic data in the United States – Low Volatility stocks tended to outperform in both economic slowdowns (along with Momentum and Quality) and economic recessions (along with Quality and Value). Low Volatility stocks were not observed to outperform in recovery and growth phases.  Real Estate Stocks with Low Volatility Draw Institutional Inflows in 2020 YTD    
As many as 19 of the 40 stocks represent the Real Estate sector, which is in-line with the number of Real Estate stocks represented by the group of more than 100 stocks.  
Moreover, as many as eight Real Estate stocks made up the 10 of the 40 Low Volatility factor exposure stocks with the highest net institutional inflow proportionate to market capitalisation in the 2020 year to 21 September. Together the eight stocks averaged a 2% total return since 9 June, and a 3% total return in the 2020 year to 21 September. 




			10 of the 40 stocks with most Low Volatility factor exposure (for 12M ending 30 June 2020) with highest Net Insti Flow proportionate to current market cap
			
			
			Code
			
			
			Mkt Cap (S$M)
			
			
			YTD Total Return %
			
			
			9 June 2020  - 21 Sep 2020 Total Return %
			
			
			Three Year Total Return %
			
			
			Net Insti Inflow YTD (S$M)
			
			
			Net Insti Inflow YTD /Current  Mkt Cap 
			
		


			VENTURE CORP
			
			
			V03
			
			
			5,536
			
			
			23.2
			
			
			24
			
			
			27
			
			
			227.1
			
			
			4.1%
			
		


			ASCENDAS REAL ESTATE INV TRT
			
			
			A17U
			
			
			11,802
			
			
			13.2
			
			
			2
			
			
			49
			
			
			382.1
			
			
			3.2%
			
		


			WING TAI HOLDINGS 
			
			
			W05
			
			
			1,345
			
			
			-13.4
			
			
			-5
			
			
			-12
			
			
			28.2
			
			
			2.1%
			
		


			PARKWAYLIFE REAL ESTATE
			
			
			C2PU
			
			
			2,541
			
			
			30.2
			
			
			21
			
			
			81
			
			
			39.9
			
			
			1.6%
			
		


			KEPPEL DC REIT
			
			
			AJBU
			
			
			4,834
			
			
			45.7
			
			
			25
			
			
			163
			
			
			67.7
			
			
			1.4%
			
		


			CAPITALAND COMMERCIAL TRUST
			
			
			C61U
			
			
			6,681
			
			
			-9.6
			
			
			-6
			
			
			20
			
			
			68.3
			
			
			1.0%
			
		


			HONG FOK CORP 
			
			
			H30
			
			
			534
			
			
			-19.1
			
			
			-11
			
			
			-17
			
			
			4.0
			
			
			0.7%
			
		


			KEPPEL REIT
			
			
			K71U
			
			
			3,773
			
			
			-7.1
			
			
			-6
			
			
			9
			
			
			20.8
			
			
			0.6%
			
		


			SINGAPORE TECH ENGINEERING
			
			
			S63
			
			
			10,626
			
			
			-9.4
			
			
			-3
			
			
			11
			
			
			52.2
			
			
			0.5%
			
		


			UOL GROUP 
			
			
			U14
			
			
			5,636
			
			
			-17.7
			
			
			-7
			
			
			-12
			
			
			19.5
			
			
			0.3%
			
		

 Source: SGX StockFacts, Refinitiv and Bloomberg (Data as of 21 September 2020).

 

After the next three stocks recipient to the highest net institutional inflow proportionate to market capitalisation in the 2020 year to 21 September, were all Real Estate stocks as well – PropNex, Dasin Retail Trust and OUE.   Ranking Stocks by Low Volatility Factor Exposure  
The table below provides the list of 40 stocks that were amongst the largest and most traded Singapore stocks that demonstrated Low Volatility exposure for the aforementioned period.




			Stocks with most Low Volatility factor exposure (for 12M ending 30 June 2020)
			
			
			Code
			
			
			Mkt Cap (S$M)
			
			
			YTD Total Return %
			
			
			9 June 2020  - 21 Sep 2020 Total Return %
			
			
			Three Year Total Return %
			
			
			30 Day Volatility %
			
			
			12M Volatility (to 21 Sep) %
			
			
			Net Insti Inflow YTD (S$M)
			
		


			DASIN RETAIL TRUST
			
			
			CEDU
			
			
			617
			
			
			0.7
			
			
			-2
			
			
			22
			
			
			21
			
			
			16
			
			
			1.3
			
		


			BUKIT SEMBAWANG ESTATES
			
			
			B61
			
			
			945
			
			
			-19.7
			
			
			-6
			
			
			-36
			
			
			8
			
			
			17
			
			
			-6.3
			
		


			HAW PAR CORP
			
			
			H02
			
			
			2,057
			
			
			-25.0
			
			
			-12
			
			
			-12
			
			
			18
			
			
			22
			
			
			-40.1
			
		


			WING TAI HOLDINGS
			
			
			W05
			
			
			1,345
			
			
			-13.4
			
			
			-5
			
			
			-12
			
			
			18
			
			
			24
			
			
			28.2
			
		


			OVERSEA-CHINESE BANKING CORP
			
			
			O39
			
			
			37,312
			
			
			-18.9
			
			
			-11
			
			
			-13
			
			
			12
			
			
			25
			
			
			-871.2
			
		


			KOUFU GROUP
			
			
			VL6
			
			
			366
			
			
			-11.7
			
			
			-1
			
			
			13
			
			
			16
			
			
			24
			
			
			-7.6
			
		


			SINGAPORE POST
			
			
			S08
			
			
			1,474
			
			
			-28.4
			
			
			-17
			
			
			-42
			
			
			17
			
			
			26
			
			
			-13.3
			
		


			NETLINK NBN TRUST
			
			
			CJLU
			
			
			3,761
			
			
			4.7
			
			
			-2
			
			
			36
			
			
			8
			
			
			25
			
			
			-12.0
			
		


			UNITED OVERSEAS BANK
			
			
			U11
			
			
			32,053
			
			
			-23.2
			
			
			-10
			
			
			-5
			
			
			12
			
			
			26
			
			
			-1,445.0
			
		


			ASIAN PAY TELEVISION TRUST
			
			
			S7OU
			
			
			226
			
			
			-20.7
			
			
			0
			
			
			-67
			
			
			21
			
			
			25
			
			
			-1.7
			
		


			RAFFLES MEDICAL GROUP
			
			
			BSL
			
			
			1,482
			
			
			-18.6
			
			
			-13
			
			
			-23
			
			
			16
			
			
			27
			
			
			-6.3
			
		


			UOL GROUP
			
			
			U14
			
			
			5,636
			
			
			-17.7
			
			
			-7
			
			
			-12
			
			
			17
			
			
			27
			
			
			19.5
			
		


			SINGAPORE TELECOMMUNICATIONS
			
			
			Z74
			
			
			36,087
			
			
			-32.9
			
			
			-15
			
			
			-30
			
			
			14
			
			
			26
			
			
			-807.6
			
		


			OUE
			
			
			LJ3
			
			
			1,027
			
			
			-20.1
			
			
			-5
			
			
			-32
			
			
			15
			
			
			27
			
			
			2.1
			
		


			DBS GROUP HOLDINGS
			
			
			D05
			
			
			50,757
			
			
			-19.4
			
			
			-12
			
			
			14
			
			
			14
			
			
			28
			
			
			-1,391.5
			
		


			SHENG SIONG GROUP
			
			
			OV8
			
			
			2,466
			
			
			36.4
			
			
			10
			
			
			95
			
			
			25
			
			
			29
			
			
			-14.8
			
		


			PROPNEX
			
			
			OYY
			
			
			216
			
			
			21.6
			
			
			13
			
			
			5
			
			
			32
			
			
			27
			
			
			0.7
			
		


			KEPPEL CORP
			
			
			BN4
			
			
			7,615
			
			
			-36.6
			
			
			-32
			
			
			-28
			
			
			39
			
			
			31
			
			
			-107.5
			
		


			GUOCOLAND
			
			
			F17
			
			
			1,728
			
			
			-25.5
			
			
			-6
			
			
			-29
			
			
			19
			
			
			29
			
			
			-10.4
			
		


			OLAM INTERNATIONAL
			
			
			O32
			
			
			4,026
			
			
			-26.4
			
			
			-13
			
			
			-28
			
			
			32
			
			
			29
			
			
			-34.2
			
		


			PARKWAYLIFE REAL ESTATE
			
			
			C2PU
			
			
			2,541
			
			
			30.2
			
			
			21
			
			
			81
			
			
			32
			
			
			31
			
			
			39.9
			
		


			HONG FOK CORP
			
			
			H30
			
			
			534
			
			
			-19.1
			
			
			-11
			
			
			-17
			
			
			24
			
			
			30
			
			
			4.0
			
		


			YANLORD LAND GROUP
			
			
			Z25
			
			
			2,163
			
			
			-2.3
			
			
			4
			
			
			-32
			
			
			22
			
			
			29
			
			
			-9.5
			
		


			SPH REIT
			
			
			SK6U
			
			
			2,432
			
			
			-17.0
			
			
			-1
			
			
			2
			
			
			10
			
			
			30
			
			
			-2.0
			
		


			CHIP ENG SENG CORP
			
			
			C29
			
			
			337
			
			
			-25.4
			
			
			-19
			
			
			-34
			
			
			31
			
			
			32
			
			
			-1.7
			
		


			CAPITALAND
			
			
			C31
			
			
			14,021
			
			
			-25.0
			
			
			-11
			
			
			-17
			
			
			14
			
			
			31
			
			
			-132.7
			
		


			FRASERS PROPERTY
			
			
			TQ5
			
			
			3,453
			
			
			-28.7
			
			
			-14
			
			
			-36
			
			
			21
			
			
			31
			
			
			-6.8
			
		


			SINGAPORE TECH ENGINEERING
			
			
			S63
			
			
			10,626
			
			
			-9.4
			
			
			-3
			
			
			11
			
			
			21
			
			
			31
			
			
			52.2
			
		


			KEPPEL INFRASTRUCTURE TRUST
			
			
			A7RU
			
			
			2,720
			
			
			6.5
			
			
			3
			
			
			23
			
			
			10
			
			
			31
			
			
			-2.5
			
		


			STARHUB
			
			
			CC3
			
			
			2,061
			
			
			-13.1
			
			
			-12
			
			
			-44
			
			
			18
			
			
			30
			
			
			-2.9
			
		


			HONGKONG LAND HOLDINGS
			
			
			H78
			
			
			11,829
			
			
			-30.6
			
			
			-15
			
			
			-43
			
			
			25
			
			
			30
			
			
			-125.7
			
		


			ASCENDAS REAL ESTATE INV TRT
			
			
			A17U
			
			
			11,802
			
			
			13.2
			
			
			2
			
			
			49
			
			
			14
			
			
			34
			
			
			382.1
			
		


			KEPPEL DC REIT
			
			
			AJBU
			
			
			4,834
			
			
			45.7
			
			
			25
			
			
			163
			
			
			22
			
			
			33
			
			
			67.7
			
		


			AIMS APAC REIT
			
			
			O5RU
			
			
			841
			
			
			-12.5
			
			
			-3
			
			
			4
			
			
			15
			
			
			34
			
			
			-16.6
			
		


			SINGAPORE AIRLINES
			
			
			C6L
			
			
			10,140
			
			
			-46.3
			
			
			-21
			
			
			-48
			
			
			26
			
			
			35
			
			
			-617.0
			
		


			COMFORTDELGRO CORP
			
			
			C52
			
			
			3,163
			
			
			-36.4
			
			
			-9
			
			
			-16
			
			
			24
			
			
			34
			
			
			-319.7
			
		


			KEPPEL REIT
			
			
			K71U
			
			
			3,773
			
			
			-7.1
			
			
			-6
			
			
			9
			
			
			19
			
			
			34
			
			
			20.8
			
		


			CAPITALAND COMMERCIAL TRUST
			
			
			C61U
			
			
			6,681
			
			
			-9.6
			
			
			-6
			
			
			20
			
			
			23
			
			
			35
			
			
			68.3
			
		


			VENTURE CORP
			
			
			V03
			
			
			5,536
			
			
			23.2
			
			
			24
			
			
			27
			
			
			28
			
			
			33
			
			
			227.1
			
		


			DAIRY FARM INTL HLDGS
			
			
			D01
			
			
			7,187
			
			
			-27.3
			
			
			-22
			
			
			-42
			
			
			24
			
			
			32
			
			
			-61.6
			
		


			Average
			
			
			 
			
			
			 
			
			
			-12
			
			
			-6
			
			
			-3
			
			
			20
			
			
			29
			
			
			 
			
		

 Source: SGX StockFacts, Refinitiv and Bloomberg (Data as of 21 September 2020). Note returns for Koufu Group and PropNex taken from respective IPO dates.

 

In the Spotlight: Factor Investing in Singapore Webinar  As detailed in the recent Factor Investing in Singapore Report by Nicolas Rabener (click here for full report), Low Volatility is one of five common Factors used by modern day analysts to characterise stocks. Nicolas Rabener is the Founder &amp; CEO of FactorResearch. The FactorResearch team provides quantitative solutions for factor investing in equity markets globally.  To watch FactorResearch’s 11 August webinar with the SGX Academy that delved deeper into the performance of classic equity factors in Singapore, such as value, growth, size, momentum, volatility, quality – click here.



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