The STI has been amongst the three strongest Indices of Asia Pacific in the 2018 YTD. The STI’s 1.5% total return compares to an average decline of 3.0% for the three benchmarks of Japan, Hong Kong and Australia.
The STI has also seen an increase in its volatility, with its 30 day volatility gauge climbing to 17% which is the highest level for the past two years. Average 30 day volatility of the 30 constituents of the STI is as much as one-quarter higher compared to April 2017.
Yangzijiang Shipbuilding, Golden-Agri Resources, Genting Singapore, Venture and CapitaLand Commercial Trust have averaged daily trading ranges (difference between daily high and low) of more than 2.0% over 1Q18. Another eight STI stocks averaged ranges above 1.5%.
The month of March 2018 brought open and ongoing exchanges of trade ideas led by the United States. This had followed the reporting of the United States’ US$375 billion trade deficit with China in 2017, in addition to goods making up less than 10% of the US’s total export value.
With these developments, equity markets have been the more volatile asset class, compared to bonds and currencies. In Singapore, the 30 day historical volatility of the Straits Times Index (“STI”) has risen to a two year high at 17%. On another level, the average 30 day volatility of the 30 STI constituents is as much as one-quarter higher compared to the 30 day volatility averaged back in April 2017.
At the same time the STI was comparatively resilient performance over the first 14 weeks of 2018. The STI has generated a dividend inclusive gain for the 2018 year through to 6 April of 1.5%. This compared to a decline of 2.1% for the MSCI Asia Pacific Index and decline of 4.1% for the Dow Jones Industrial Average. The three benchmarks of Japan, Hong Kong and Australia all declined, with a comparative average loss of 3.0% in Singapore Dollar terms.
Five STI Stocks Averaged 2%+ Daily Swings in 1Q18
Yangzijiang Shipbuilding, Golden-Agri Resources, Genting Singapore, Venture Corporation and CapitaLand Commercial Trust have averaged daily trading ranges of more than 2.0% over 1Q18. These trading ranges are based on the median daily range of the STI stocks in terms of basis points (bps) for the period.
By comparison, the approximate daily ranges of Crude Oil futures over the first quarter of 2018 was 2.4%. For the most active of the SPDR Gold Shares ETF the average daily range was 0.7%, and the S&P 500 Index generated an average daily range of 1.3%.
The maximum and minimum intraday moves of these five stocks with the greatest intraday ranges in the first quarter of 2018 (in terms of bps) are tabled below.
|Golden Agri Resources||E5H||259||129||430|
|CapitaLand Commercial Trust||C61U||205||52||502|
Source: SGX StockFacts, Bloomberg (Data as of 6 April 2018)
During the year-to-date the five stocks have averaged a 1.9% decline in total return bringing their 12 month average total return to 38.4%. Over the 12 months, total returns ranged from a 150.6% total return for Venture Corporation to a 3.4% decline in total return for Golden Agri Resources. Over the 12 month period the STI generated a total return of 11.9%.
Another eight STI stocks generated average daily trading ranges of more than 1.5% over 1Q18.
Use of Daily Trading Ranges
Daily trading ranges represent the difference between the highest and lowest trading price in the course of a trading session. Ranges can be expressed in multiple forms. Common measures include the number of ticks, as an annualised percentage or in terms of bps, as tabled above.
Using the basis points measure, investors can gauge intraday returns in terms of the initial outlay or investment required. For instance if a stock price is $10.00 and the stock trades on average, a 20 cent price range between the daily high and low, the average intraday range would be 200 bps (or 2.0%).