With a sharp 9% decline on Monday, the FTSE Value-Stocks ASEAN Index has declined 18% in the 2020 YTD, reducing its 3-year total return to a 3% decline. The first two sessions of this week saw the Index P/B ratio trade at 1.06x, a record low of since the Index launch in Nov 2013.
The 11 SGX-listed FTSE Value-Stocks ASEAN Index constituents were comparably more defensive with 13% YTD declines, bringing their average three year total return to 9%. With their marginal gains, Manulife REIT & Venture were amongst the Index’s five strongest stocks in 2020 YTD.
The FTSE Value-Stocks ASEAN Index consists of 50 stocks subject to Contrarian, Quality and Valuation screenings. Quality screening is applied to avoid value traps, based on Fundamental Factors such as 3-year ROE, Operating Profit Margin & Net Gearing.
From its 12 February high to the low on 10 March, the Dow Jones Industrial Average has generated a 19.9% decline. The shake-up in the US stock market, which account for two-fifths of the world’s market capitalitalsiation, has been mostly driven by COVID-19 developments and this week’s sharp adjustment to oil prices.
As markets adjust, and global policy makers respond and readjust mandates to support the economic impacts of containment and global quarantines, there have been a number of balanced moves in global markets.
The 2020 year through to 10 March has seen the Straits Times Index (“STI”) decline 11.9% and FTSE ASEAN All-Share Index decline 14.9%. Conversely, the safe-haven themed SPDR Gold ETF gained 12.9% with daily trading turnover in the SGX-listed ETF tripling its levels of 2019. With both the up and down moves, the STI 30 day historical volatility has returned to February 2016 levels, while the same volatility gauge for the regional FTSE ASEAN All-Share Index has returned to September 2015 levels.
After mostly performing in-line with global REITS in 2019, the 2020 year through to 10 March, has seen the S-REIT Sector outperform, with the iEdge S-REIT Index gaining 0.8% versus the median performance of the world’s 800 REITs at a decline of 6.2%.
FTSE Value-Stocks ASEAN Index at Historically Low P/B Levels
For the three years going into March, the FTSE Value-Stocks ASEAN Index was amongst the 10 least performing Indices of some 40 thematically built regional equity indices published by FTSE Russell. Over the three years (which incorporates much of the full 2017 comparatively strong year), investors favored growth stocks over value stocks as demonstrated by regional growth indices well outpacing the value indices. At times, however value stocks came into the spotlight, as we saw in the 2018 year when the FTSE Value-Stocks ASEAN Index was the second strongest of the suite of thematically built regional equity indices.
The FTSE Value-Stocks ASEAN Index consists of approximately 50 value stocks amongst the most liquid and tradable companies listed on Singapore Exchange, Indonesia Stock Exchange, Bursa Malaysia, Philippine Stock Exchange, and Stock Exchange of Thailand. The value-based methodology is designed by Value Partners Index Services Limited and the Index is calculated and maintained by FTSE Russell.
The FTSE Value-Stocks ASEAN Index has declined 7.4% over the first seven sessions of March, which has brought its 2020 year-to-date decline in total return to 18.1% , and its three year total return to a decline of 2.6% in SGD terms.
Moreover, this week has seen the FTSE Value-Stocks ASEAN Index Price-to-book ratio (P/B) ratio fall to 1.06x, a record low of since the Index was launched in November 2013. While the P/B ratio traded at lows on 9 March, the Index itself did not return to its January 2016 lows, August and September 2015 lows.
Over the past three years the P/B ratio of the FTSE Value-Stocks ASEAN Index declined from 1.43x to 1.06x and averaged 1.46x over the entire three year period, which means the current P/B is a 27% discount to its three year average (in addition to a 27% discount to its five year average P/B).
FTSE Value-Stocks ASEAN Index Singapore Constituents
The 11 SGX-listed constituents of the FTSE Value-Stocks ASEAN Index have a combined market capitalisation of over S$222 billion, and include two of the FTSE Value-Stocks ASEAN Index’s strongest five stocks in the 2020 year through to 10 March, which were Manulife US REIT and Venture Corporation.
| Current SGX-listed constituents of the FTSE Value-Stocks ASEAN Index |
SGX Code |
Mkt Cap S$M |
YTD Net Institutional Inflow (S$M) |
Div. Yield |
P/B (x) |
ROE | YTD Total Return % |
3 Year Total Return % |
|---|---|---|---|---|---|---|---|---|
| DBS GROUP HOLDINGS | D05 | $54,919 | -$812 | 5.8% | 1.06 | 13% | -17% | 31% |
| SINGAPORE TELECOMM | Z74 | $47,027 | -$163 | 6.1% | 1.75 | 10% | -15% | -14% |
| UNITED OVERSEAS BANK | U11 | $36,600 | -$457 | 5.0% | 0.90 | 11% | -17% | 16% |
| OVERSEA-CHINESE BANKING CORP | O39 | $42,770 | -$209 | 5.5% | 0.90 | 11% | -11% | 13% |
| GENTING SINGAPORE | G13 | $8,928 | $3 | 4.8% | 1.10 | 9% | -20% | -19% |
| COMFORTDELGRO CORP | C52 | $4,050 | -$150 | 5.2% | 1.60 | 10% | -21% | -15% |
| VENTURE CORP | V03 | $4,718 | $62 | 4.3% | 1.90 | 15% | 1% | 68% |
| SINGAPORE AIRLINES | C6L | $9,339 | -$111 | 3.8% | 0.80 | 5% | -13% | -13% |
| JARDINE CYCLE & CARRIAGE | C07 | $9,541 | -$41 | 5.0% | 1.00 | 14% | -20% | -40% |
| CDL HOSPITALITY TRUSTS | J85 | $1,578 | -$26 | 5.3% | 0.85 | 6% | -17% | 15% |
| MANULIFE US REAL ESTATE INV | BTOU | $2,177 | $19 | 6.1% | 1.20 | 4% | 4% | 56% |
| Average | -13% | 9% |
Source: SGX, StockFacts, Bloomberg , Thomson Reuters (Data as of 10 March 2020)
Together the 11 stocks account for 28% of the Index weightings as if the end of February 2020. The comparative average performances of the 11 stocks are illustrated below.
As a group the 11 stocks have contributed more than S$515 million a day to Singapore’s daily stock market turnover in the 2020 year through to 10 March. The 11 stocks have averaged a 13.3% decline in the 2020 year-to date compared to the 18.1% decline of the Index. As illustrated below, four stocks maintain a P/B ratio below the Index P/B and five stocks maintain a higher Return on Equity than the Index.
Singapore’s Previous FTSE Value-Stocks ASEAN Index Constituents Also Defensive in YTD
On 21 October 2019, Singapore Airlines, ComfortDelGro and CDL Hospitality Trusts were added to the FTSE Value-Stocks ASEAN Index, while City Developments, UOL Group, Mapletree Industrial Trust and Bukit Sembawang were removed from the Index.
City Developments, UOL Group, Mapletree Industrial Trust and Bukit Sembawang have averaged a 7% decline in total return in the 2020 year to 10 March, with an average total return of 22% over the past three years. While City Developments declined as much as the FTSE Value-Stocks ASEAN Index in the 2020 year through to 10 March, the remaining three stocks all outperformed. Returns were led by Mapletree Industrial Trust which is now the largest stock by market capitalisation on the STI Reserve List.
| Previous SGX-listed constituents of the FTSE Value-Stocks ASEAN Index omitted in Oct 2019 |
SGX Code |
Mkt Cap S$M |
YTD Net Institutional Inflow (S$M) |
Div. Yield |
P/B (x) |
ROE | YTD Total Return % |
3 Year Total Return % |
|---|---|---|---|---|---|---|---|---|
| UOL GROUP | U14 | $5,871 | -$10 | 2.6% | 0.60 | 5% | -16% | 7% |
| BUKIT SEMBAWANG ESTATES | B61 | $1,100 | -$1 | 0.9% | 0.80 | 8% | -9% | -23% |
| CITY DEVELOPMENTS | C09 | $8,135 | -$40 | 1.6% | 0.80 | 6% | -18% | -7% |
| MAPLETREE INDUSTRIAL TRUST | ME8U | $6,559 | $36 | 3.5% | 1.90 | 9% | 16% | 112% |
| Average | -7% | 22% |
Source: SGX, StockFacts, Bloomberg , Thomson Reuters (Data as of 10 March 2020)
Note that the Index reviews are conducted on a semi-annual basis in May and October using data as at the last working day in April and September respectively. The full list of index constituents can be found here.
FTSE Value-Stocks ASEAN Index Methodology
Each security must be a current constituent of the FTSE Global All Cap Index. In the Index screening, Value Partners will screen each security in the ASEAN Investable Universe, and each will be ranked by three sets of value-investing screening criteria, namely Contrarian, Quality and Valuation screenings. The largest capitalised stocks that meet the criteria will be selected.
As outlined in the Index ground rules:
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Contrarian screening aims to avoid following the herd. Companies in the investable universe covered by more than 10 analysts in the forecast recommendation with a buy recommendation from over 80% of analysts will be screened out.
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Quality screening is applied to avoid value traps, based on three fundamental factors: 3-year Average Return on Equity, Operating Profit Margin and Net Gearing.
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Valuation screening helps to identify relatively under-valued constituents in the ASEAN Investable Universe with rankings based on Dividend Yield and Forecast Price-to-Earnings (P/E) ratio.
From the ASEAN Investable Universe, the companies passing through these screenings are ranked by P/E ratio and the companies with the lowest PE ratios are selected to be the constituents of the Index. The Index is free float-weighted and constituent stocks are capped at 5% weighting to avoid over-concentration in any one stock.Reviews will be conducted on a semi-annual basis in May and October using data as at the last working day in April and September respectively.
For more details on index methodology, click here.
