The STI continued to perform comparatively strongly in April, which brought its total returns in the first four months of 2018 to 7.1%, compared to a decline of 0.1% for the MSCI AC Asia Pacific Index.
The average 30 day volatility of the 30 STI constituents continued to increase in April, rising to 22.3% at the end of the month, up from 21.9% at the end of March, and up from 15.6% at the end of April 2017.
YZJ Shipbuilding, Golden Agri-Res, Genting Sing, Venture, HPH Trust, SPH and SATS averaged daily trading ranges (difference between daily high and low) of more than 2.0% in April. Another eight STI stocks averaged ranges above 1.5%.
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At the end of April 2018, the 30 day historical volatility of the Straits Times Index (“STI”) stood at 15.7%, marginally higher than the end of March level of 15.6%.
The STI is a highly competitive and diversified benchmark index. The 30 constituents have foundations spanning three centuries, cover 7 sectors and 21 sub-industries, while maintaining significant local and regional economic exposures. Hence the weightings, in addition to the diversity of the Index can diffuse overall volatility impacts of segments and individual constituents.
So much so, that a simple average of the 30 day historical volatility of each of the 30 STI constituents at the end of April 2018, was more than two-fifths higher at 22.3%.
This simple, non-weighted average, is up from 21.9% at the end of March, and up from 15.6% at the end of April 2016. With the key challenges of rising inflation in the United States and across the world, in addition to potential impacts from touted protectionist measures, this average volatility of the 30 STI constituents is up from 16.4% at the end of 2017.
At the same time the STI has chalked up a comparatively resilient performance over the first four months of 2018. As discussed here the STI was the region’s best performer in April with bank-led gains driving the STI’s total return to 7.1% over the first four months of 2018. The April close of 3613.9 represent a 10 ½ year high.
The 7.1% four month total return compared to an average decline of 0.1% for the benchmarks of Japan, Hong Kong and Australia, in addition to a 0.1% decline for the broad MSCI AC Asia Pacific Index.
Seven STI Stocks Averaged 2%+ Daily Swings in April
Yangzijiang Shipbuilding, Golden Agri-Res, Genting Singapore, Venture Corporation, Hutchison Port Holdings Trust, Singapore Press Holdings and SATS averaged daily trading ranges (difference between daily high and low) of more than 2.0% in April. Another 8 STI stocks averaged ranges above 1.5%. 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 in April was 2.4%, while the Hang Seng Index averaged daily ranges of 1.5% and the Dow Jones Industrial Average averaged daily ranges of 1.3%.
The intraday moves of these 10 stocks with the greatest median intraday ranges in April (in terms of bps) are tabled below.
|Genting Singapore PLC||G13||1.142||252||6.0||27.8|
|Hutchison Port Holdings Trust||NS8U||0.426||231||2.0||31.9|
Source: SGX StockFacts, Bloomberg (Data as of 30 April 2018).
Note: Amplitude (in bps) represents the difference between daily high and daily low price divided by the VWAP of the stock. Median of the daily values are presented and numbers are in bps.
Amplitude in Ticks: The difference between daily high and daily low price of the stock. Median of the daily values are presented and numbers are in ticks.
VWAP represents the value weighted average price, calculated using total traded value traded for a stock in a month and divided by the total number of shares this stock traded during the month. Please note VWAP is in SGD.
In addition to ComfortDelGro Corporation, Sembcorp Industries and UOL Group another 5 STI stocks generated average daily trading ranges of more. These were StarHub, CapitaLand Commercial Trust, DBS Group Holdings, Keppel Corporation and Jardine Cycle & Carriage.
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%).