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, with a combined S$323 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 3%.
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 these five stocks, Dasin Retail Trust (a Business Trust) has also 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 exposure.
Comparatively Defensive Past Returns of Stocks with the most Low Volatility factor exposure
As a group, the 40 stocks that saw the lowest volatility saw less declines than the Straits Times Index (STI) both in the 2020 year to 21 September and a lower average decline since the benchmark made its high of 2,839 on 9 June. The comparative average total returns of the 40 stocks, relative to the STI total return is illustrated below.
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
Among the 40 Low Volatility factor exposure stocks, eight of the top 10 stocks with the highest net institutional inflow proportionate to market capitalisation in the 2020 year to 21 September were related to the Real Estate Sector. 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 Instituition Flow
proportionate to current market cap
Inflow YTD /
Current Mkt Cap
|WING TAI HOLDINGS||W05||1,345||-13.4||-5||-12||28.2||2.1%|
|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%|
Beyond the 10 stocks tabled above, the next top three stocks that were recipient to the highest net institutional inflow (proportionate to market capitalisation) in the 2020 year to 21 September, were also stocks linked to the Real Estate Sector – 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 factor exposure for the aforementioned period. 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.
|Stocks with most Low Volatility factor exposure (for 12M ending 30 June 2020)||SGX
(to 21 Sep)
|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|
|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|
|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|
|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|
|CHIP ENG SENG CORP||C29||337||-25.4||-19||-34||31||32||-1.7|
|KEPPEL INFRASTRUCTURE TRUST||A7RU||2,720||6.5||3||23||10||31||-2.5|
|HONGKONG LAND HOLDINGS||H78||11,829||-30.6||-15||-43||25||30||-125.7|
|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|
|CAPITALAND COMMERCIAL TRUST||C61U||6,681||-9.6||-6||20||23||35||68.3|
|DAIRY FARM INTL HLDGS||D01||7,187||-27.3||-22||-42||24||32||-61.6|
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 & 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.