• Trailing volatility of Singapore stocks doubled in 1Q20, with the FTSE Singapore Index 12-month volatility at 22.0% as of the end of March, up from 10.7% at the end of December 2019. Even so, Singapore stocks were amongst the least volatile of the region over the past 12 months.

• STI stocks that saw the biggest pick up in intra-day volatility in 1Q20 included CapitaLand Mall Trust, CapitaLand Commercial Trust, Genting Singapore, SATS & Ascendas REIT. The STI stocks that maintained the highest intra-day volatility in 1Q20 included Yangzijiang Shipbuilding, Mapletree Logistics Trust, Thai Beverage, SPH & Sembcorp Industries.

• Over the past 12 months, declines of the STI & FTSE Singapore Index were closely in-line with the Asia Pacific region, again demonstrating strong business ties to the region, bolstered by the revenue exposure of Singapore Index stocks to the Asia Pacific.

1Q20 saw significant market declines, with the FTSE Asia Pacific Index declining 19.5% in USD terms, with intermittent, yet limited market rebounds providing short term trading opportunities for experienced investors. The market swings were even greater in the immediate region, with the FTSE ASEAN All-Share Index declining 31.3% in USD terms. ASEAN Indices have a history of maintaining a stronger directional correlation with the price of Crude Oil than the broader region, with the price of Crude Oil declining by more than 65% in 1Q20.

Market Swings

Singapore stocks saw their trailing 12-month volatility basically double over 1Q20. The FTSE Singapore Index maintained 12M volatility of 22.0% as of the end of March, which was up from 10.7% at the end of December 2019. Note the FTSE Singapore Index is not the Straits Times Index (STI), rather part of a group of standardised set of country indices provided by FTSE Russell that enable apple-for-apple comparisons for monthly performance, volatility and yield. While the FTSE Singapore Index 12M volatility notched up to 22.0%, its volatility was almost 5 percentage points less than the average volatility of 10 other Country Indices across Asia Pacific. 

STI stocks that generated the biggest pick up in intra-day annualised volatility in 1Q20 compared to 2H19 included CapitaLand Mall Trust, CapitaLand Commercial Trust, Genting Singapore, SATS, Ascendas REIT, Mapletree Logistics Trust, Singapore Exchange, Thai Beverage PCL, Wilmar International and ComfortDelGro. This intraday annualised volatility captures the standard deviation of logarithmic midpoint price returns at one-minute intervals throughout the trading day. Note more extensive 2H19 observations are used as a base, as 4Q19 ranges can prone to more seasonal observations. 

Of the 10 stocks above that saw the biggest increase in 1Q20 volatility compared to 2H19, 6 were among the 10 constituents that maintained the highest intraday volatility of the STI stocks in 1Q20 – Mapletree Logistics Trust, Thai Beverage PCL, Genting Singapore, CapitaLand Commercial Trust, ComfortDelGro and CapitaLand Mall Trust. The other 4 stocks were Yangzijiang Shipbuilding (41%), Singapore Press Holdings (31%), Sembcorp Industries (29%) and Wilmar International (26%).

The 10 STI stocks that saw the highest intraday swings in 1Q20 averaged daily trading ranges of 237 basis points for the quarter, compared to the 195 basis points average for the 30 STI stocks. The individual daily trading ranges for the 30 STI stocks are tabled at the end of this report.

Market Performance

Over the past 12 months ending 31 March, the declines of the STI & FTSE Singapore Index were closely in-line with the Asia Pacific region. So much so, the FTSE Singapore Index decline was within 0.2% of the average decline for the 10 other Country Indices across Asia Pacific.

The FTSE Singapore Index declined 21.5% in USD over the 12 months ending 31 March, whilst the performances of major Asia Pacific Country Indices varied from +1.5% for the FTSE Taiwan Index to -35.8% for the FTSE Indonesia Index. By comparison the STI with significant constituent overlap to the FTSE Singapore Index, declined 23.3% in USD total return terms and 19.4% in SGD total return terms.

The comparative and competitive performance of the Singapore Indices again demonstrates the significant regional ties of Singapore’s largest businesses. Regional exposures are quantified regularly in Financial Statements with geographical segment reporting. As of the last available Financial Statements, 49% of the revenue of the STI in its weighted form was reported to Singapore with 44% reported to Asia Pacific countries outside of Singapore.

As of 31 March, Singapore still maintained the region’s highest yields. At 6.0%, the FTSE Singapore Index yield was as significantly higher than the average 3.7% yield for the of 10 other Country Indices across Asia Pacific. 

Current yields are comparatively higher than their end of 2019 levels only because of the recent price declines. The FTSE Singapore Index (which includes more REITs than the STI) maintained a 12M trailing yield of 4.5% at the end of 2019, which had augmented to 6.0% at the end of March. Likewise, the STI yield increased from 4.2% at the end of 2019 to 5.5% at the end of March.

Current consensus estimates are for the STI yields to return to lower levels, based on lower dividends per share amidst the foreseeable economic contractions. This was observed in the GFC. At the end of 2008, the 12M trailing STI dividend yield rose as high as 6.1%, amidst the broad market declines. 

According to Bloomberg, gross dividends per share of the combined STI constituents for the 2009 year declined close to 25% at 6.32, compared to 8.18 for the 2008 year. Through to the end of 2009 (that included two quarters of economic contraction), the 12M trailing STI dividend yield had moderated to 2.8%. This was closer to the respective 2006 and 2007 yields of 3.2% and 3.7% than the STI’s end of 2008 yield of 6.1%.

Short-Term Trading Highlights

As noted in the introduction, 1Q20 saw significant market declines, with intermittent, yet limited market rebounds providing short term trading opportunities for experienced investors. This has continued in April, with the STI moving from a high of 2,481.44 on 1 April, to a low of 2,380.84 on 3 April, and then to a high of 2,571.89 on 7 April.

Aside for the multitude of investors who have added to long term positions amidst the recent declines, experienced active investors have seen enhanced risk-to-return of the STI stocks amidst the global volatility. The enhanced fluidity of trading conditions for STI stocks in 1Q20 are detailed in the table below.

Source: SGX (Data as of 31 March 2020)