Singapore Exchange Ltd (SGX)

Singapore Exchange is Asia’s leading and trusted market infrastructure, facilitating the exchange of capital and ideas to create value for people, businesses and economies. As a multi-asset exchange operating equity, fixed income and derivatives markets to the highest regulatory standards, SGX is a vertically integrated business that provides listing, trading, clearing, settlement, depository and data services.

With about 40% of listed companies and over 80% of listed bonds originating outside of Singapore as well as established linkages across the region and in Europe, SGX is Asia’s most international and connected exchange. Offering a full suite of derivatives products across Asian equity indices, commodities and currencies, SGX is the world’s most liquid international market for the benchmark equity indices of China, India, Japan and ASEAN.

As Asia’s pioneering central counterparty, SGX is globally recognised for its risk management and clearing capabilities, and was one of the first globally to adopt the Principles for Financial Market Infrastructure.

Headquartered in AAA-rated Singapore, SGX has over 800 employees including offices in Beijing, Chicago, Hong Kong, London, New York, Mumbai, San Francisco, Shanghai and Tokyo.

Asia’s leading multi-asset exchange

SGX Market Strategist, Equity & Fixed Income, Singapore Exchange Ltd (SGX)

Geoff Howie

SGX Market Strategist, Equity & Fixed Income

Equity Bottom-Up

Mapletree Logistics Trust / Equity Bottom-Up





Trailing volatility of Singapore stocks doubled in 1Q20, with the FTSE Singapore Index 12M 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 12M. 
	 
	
STI stocks that saw the biggest pick up in intra-day volatility in 1Q20 included CapitaMall Trust, CapitaCom Trust, Genting Sing, SATS &amp; A-REIT. The STI stocks that maintained the highest intra-day volatility in 1Q20 included YZJ, MLT, ThaiBev, SPH &amp; Sembcorp Ind.  
	 
	Over the past 12M, declines of the STI &amp; 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. 



      
    
    Asia Pacific FTSE Country Indices

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 Corporation. 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. 


      
    
    Biggest Increase in Intraday


Of the 10 stocks above that saw the biggest increase in 1Q20 volatility compared to 2H19, six 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 Corporation and CapitaLand Mall Trust. The other four 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 &amp; 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.



      
    
    APAC 12 Mth 

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.


      
    
    STI Exposure 

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.   


      
    
    12M Dividend Yield 


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.




			Current STI Stocks
			
			
			Stock Code
			
			
			1Q20 VWAP (S$)
			
			
			1Q20 Amplitude in bps
			
			
			2H19 Amplitude in bps
			
			
			1Q20 Amplitude in Ticks
			
			
			2H19  Amplitude in Ticks
			
			
			1Q20 Intraday 1-min Volatility% (Annualised)
			
			
			2H19 Intraday 1-min Volatility% (Annualised)
			
		


			YZJ Shipbldg SGD
			
			
			BS6
			
			
			0.977
			
			
			314
			
			
			267
			
			
			5
			
			
			4
			
			
			41.0
			
			
			34.9
			
		


			Mapletree Log Trust
			
			
			M44U
			
			
			1.688
			
			
			276
			
			
			187
			
			
			5
			
			
			3
			
			
			33.5
			
			
			23.3
			
		


			ThaiBev
			
			
			Y92
			
			
			0.747
			
			
			251
			
			
			168
			
			
			4
			
			
			3
			
			
			31.6
			
			
			23.5
			
		


			SPH
			
			
			T39
			
			
			1.928
			
			
			211
			
			
			186
			
			
			4
			
			
			4
			
			
			30.6
			
			
			25.1
			
		


			Sembcorp Ind
			
			
			U96
			
			
			1.857
			
			
			218
			
			
			179
			
			
			5
			
			
			4
			
			
			29.2
			
			
			23.4
			
		


			Genting Sing
			
			
			G13
			
			
			0.776
			
			
			223
			
			
			115
			
			
			4
			
			
			2
			
			
			28.8
			
			
			19.1
			
		


			CapitaCom Trust
			
			
			C61U
			
			
			1.871
			
			
			200
			
			
			147
			
			
			4
			
			
			3
			
			
			28.3
			
			
			18.7
			
		


			ComfortDelGro
			
			
			C52
			
			
			1.952
			
			
			231
			
			
			167
			
			
			5
			
			
			4
			
			
			28.2
			
			
			21.2
			
		


			CapitaMall Trust
			
			
			C38U
			
			
			2.235
			
			
			201
			
			
			152
			
			
			5
			
			
			4
			
			
			27.2
			
			
			16.5
			
		


			Wilmar Intl
			
			
			F34
			
			
			3.75
			
			
			243
			
			
			160
			
			
			10
			
			
			6
			
			
			26.3
			
			
			19.7
			
		


			JSH USD
			
			
			J37
			
			
			37.481
			
			
			160
			
			
			128
			
			
			69
			
			
			56
			
			
			26.2
			
			
			20.3
			
		


			Mapletree Com Trust
			
			
			N2IU
			
			
			2.136
			
			
			253
			
			
			183
			
			
			6
			
			
			4
			
			
			24.0
			
			
			21.3
			
		


			DairyFarm USD
			
			
			D01
			
			
			6.577
			
			
			170
			
			
			135
			
			
			12
			
			
			12
			
			
			23.3
			
			
			19.8
			
		


			JMH USD
			
			
			J36
			
			
			73.592
			
			
			141
			
			
			132
			
			
			109
			
			
			104
			
			
			22.9
			
			
			20.5
			
		


			Ascendas REIT
			
			
			A17U
			
			
			3.015
			
			
			182
			
			
			130
			
			
			6
			
			
			4
			
			
			22.3
			
			
			15.3
			
		


			SATS
			
			
			S58
			
			
			3.943
			
			
			203
			
			
			121
			
			
			10
			
			
			6
			
			
			22.3
			
			
			14.8
			
		


			CityDev
			
			
			C09
			
			
			9.441
			
			
			254
			
			
			154
			
			
			27
			
			
			15
			
			
			22.2
			
			
			16.8
			
		


			Venture
			
			
			V03
			
			
			15.726
			
			
			218
			
			
			174
			
			
			36
			
			
			27
			
			
			21.6
			
			
			18.0
			
		


			ST Engineering
			
			
			S63
			
			
			3.781
			
			
			210
			
			
			127
			
			
			9
			
			
			5
			
			
			21.4
			
			
			16.6
			
		


			Jardine C&amp;C
			
			
			C07
			
			
			24.778
			
			
			187
			
			
			161
			
			
			50
			
			
			51
			
			
			20.9
			
			
			17.8
			
		


			UOL
			
			
			U14
			
			
			7.384
			
			
			219
			
			
			136
			
			
			16
			
			
			10
			
			
			20.8
			
			
			16.5
			
		


			HongkongLand USD
			
			
			H78
			
			
			6.787
			
			
			139
			
			
			111
			
			
			10
			
			
			9
			
			
			20.4
			
			
			19.0
			
		


			Singtel
			
			
			Z74
			
			
			2.956
			
			
			181
			
			
			125
			
			
			6
			
			
			4
			
			
			20.0
			
			
			16.3
			
		


			CapitaLand
			
			
			C31
			
			
			3.447
			
			
			181
			
			
			117
			
			
			7
			
			
			4
			
			
			19.9
			
			
			15.7
			
		


			SGX
			
			
			S68
			
			
			8.708
			
			
			181
			
			
			122
			
			
			16
			
			
			10
			
			
			19.2
			
			
			14.1
			
		


			SIA
			
			
			C6L
			
			
			7.411
			
			
			133
			
			
			98
			
			
			12
			
			
			9
			
			
			15.2
			
			
			11.9
			
		


			OCBC Bank
			
			
			O39
			
			
			9.891
			
			
			135
			
			
			94
			
			
			15
			
			
			11
			
			
			15.0
			
			
			12.2
			
		


			UOB
			
			
			U11
			
			
			23.12
			
			
			132
			
			
			101
			
			
			35
			
			
			26
			
			
			12.5
			
			
			11.7
			
		


			Keppel Corp
			
			
			BN4
			
			
			5.932
			
			
			89
			
			
			107
			
			
			6
			
			
			7
			
			
			12.0
			
			
			13.7
			
		


			DBS
			
			
			D05
			
			
			22.209
			
			
			122
			
			
			101
			
			
			31
			
			
			25
			
			
			11.5
			
			
			10.7
			
		


			Average
			
			 
			 
			
			195
			
			
			143
			
			
			18
			
			
			14
			
			
			23.3
			
			
			18.3
			
		

 Source: SGX (Data as of 31 March 2020)



Recent Index Swings, Performances and Trading Highlights