SGX Market Updates

Less Volatile SG Real Estate Stocks Draw Institutional Inflows in 2020 YTD


PUBLISHED ON |

22 September 2020

  • 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.


Low Volatility Stocks Comparative Total Returns



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
SGX
Code
Mkt Cap
(S$M)
YTD
Total
Return
%
9June-21Sep2020
Total Return
%
3-Year
Total Return
%
Net Insti
Inflow YTD
(S$M)
Net Insti
Inflow YTD /
Current Mkt Cap
VENTURE CORP V03 5,536 23.2 24 27 227.1 4.1%
ASCENDAS REIT A17U 11,802 13.2 2 49 382.1 3.2%
WING TAI HOLDINGS W05 1,345 -13.4 -5 -12 28.2 2.1%
PARKWAYLIFE REIT C2PU 2,541 30.2 21 81 39.9 1.6%
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%
KEPPEL REIT K71U 3,773 -7.1 -6 9 20.8 0.6%
ST ENGINEERING S63 10,626 -9.4 -3 11 52.2 0.5%
UOL GROUP U14 5,636 -17.7 -7 -12 19.5 0.3%

Source: SGX StockFacts, Refinitiv and Bloomberg (Data as of 21 September 2020).



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
Code
Mkt Cap
(S$M)
YTD
Total
Return
%
9June-21Sep2020
Total Return
%
3-Year
Total Return
%
30-Day
Volatility
%
12M Volatility
(to 21 Sep)
%
Net Insti
Inflow YTD
(S$M)
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
KOUFU GROUP VL6 366 -11.7 -1 13 16 24 -7.6
SINGAPORE POST S08 1,474 -28.4 -17 -42 17 26 -13.3
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
UOL GROUP U14 5,636 -17.7 -7 -12 17 27 19.5
SINGTEL Z74 36,087 -32.9 -15 -30 14 26 -807.6
OUE LJ3 1,027 -20.1 -5 -32 15 27 2.1
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
PROPNEX OYY 216 21.6 13 5 32 27 0.7
KEPPEL CORP BN4 7,615 -36.6 -32 -28 39 31 -107.5
GUOCOLAND F17 1,728 -25.5 -6 -29 19 29 -10.4
OLAM INTERNATIONAL O32 4,026 -26.4 -13 -28 32 29 -34.2
PARKWAYLIFE REIT C2PU 2,541 30.2 21 81 32 31 39.9
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
SPH REIT SK6U 2,432 -17.0 -1 2 10 30 -2.0
CHIP ENG SENG CORP C29 337 -25.4 -19 -34 31 32 -1.7
CAPITALAND C31 14,021 -25.0 -11 -17 14 31 -132.7
FRASERS PROPERTY TQ5 3,453 -28.7 -14 -36 21 31 -6.8
ST ENGINEERING S63 10,626 -9.4 -3 11 21 31 52.2
KEPPEL INFRASTRUCTURE TRUST A7RU 2,720 6.5 3 23 10 31 -2.5
STARHUB CC3 2,061 -13.1 -12 -44 18 30 -2.9
HONGKONG LAND HOLDINGS H78 11,829 -30.6 -15 -43 25 30 -125.7
ASCENDAS REIT A17U 11,802 13.2 2 49 14 34 382.1
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
SINGAPORE AIRLINES C6L 10,140 -46.3 -21 -48 26 35 -617.0
COMFORTDELGRO CORP C52 3,163 -36.4 -9 -16 24 34 -319.7
KEPPEL REIT K71U 3,773 -7.1 -6 9 19 34 20.8
CAPITALAND COMMERCIAL TRUST C61U 6,681 -9.6 -6 20 23 35 68.3
VENTURE CORP V03 5,536 23.2 24 27 28 33 227.1
DAIRY FARM INTL HLDGS D01 7,187 -27.3 -22 -42 24 32 -61.6
Average     -12 -6 -3 20 29  

Source: SGX StockFacts, Refinitiv and Bloomberg (Data as of 21 September 2020).
Note returns for Koufu Group and PropNex taken from respective IPO dates.



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.







This article is provided by SGX My Gateway.



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