OREANDA-NEWS. Prior to the SG50 long weekend the Straits Times Index (STI) closed near the 3150 level. As of lunch today, the Index is trading near 3110. During the course of this week, the STI traded just below 3060. These swings saw the 30 day volatility gauge rise to an annualised 14%, after being as low as 6% in May this year and just under 10% at the end of June.

Over the past five years, 30 day volatility for the STI has averaged 11%. Hence since June, volatility has been slightly higher than the long term average after being lower than the long term average in the first half of 2015. By comparison the 30 day volatility of the MSCI South East Asia Index is also presently at 14% while the same measure for the FTSE China A50 Index is currently 49%.

With dividend distributions, the STI declined 3.0% over the past three sessions, with the MSCI South East Asia Index declining 4.9%.  The MSCI South East Asia Index has declined 14.2% in the 2015 year thus far. Capital flows from Indonesia and Malaysia have seen those currencies depreciate 10.1% and 13.8% to the US Dollar respectively in the 2015 year to date. The Thai Baht has declined 6.7% to the US Dollar and the Singapore Dollar has declined 5.6% over the period.

The 20 most active stocks by turnover over the three sessions of 11, 12 and 13 August traded more than S\\$4 billion in combined turnover over the three sessions. As many as 19 of those 20 stocks were STI constituents. The non-STI stock, CapitaLand Commercial Trust is a apart of the STI Reserve List.  

The 20 stocks are detailed in the table below.  

Name Mkt Cap (S\\$B) Tues 11 Aug 2015 Turnover (S\\$M) Tues 11 Aug 2015 Px Chg (%) Wed 12 Aug 2015 Turnover (S\\$M) Wed 12 Aug 2015 Px Chg (%) Thurs 13 Aug 2015 Turnover (S\\$M) Thurs 13 Aug 2015 Px Chg (%)
DBS GROUP HOLDINGS 48 227 -2.9 455 -5.5 157 2.0
UNITED OVERSEAS BANK 33 134 -3.2 243 -4.2 98 1.9
SINGAPORE TELECOMMUNICATIONS 63 114 -1.7 186 -2.5 136 2.3
OVERSEA-CHINESE BANKING CORP 39 103 -1.2 199 -4.0* 108 1.9
NOBLE GROUP 3 185 -1.7 85 -11.4 39 -1.0
GLOBAL LOGISTIC PROPERTIES 11 114 -0.8 81 -2.6 49 -0.4
CAPITALAND 14 45 -0.6 53 -4.7 62 4.3
KEPPEL CORP 13 56 -0.9 58 -2.0 39 1.4
ASCENDAS REAL ESTATE INV TRT 5 84 -4.6 26 -0.4 24 -0.4
HONGKONG LAND HOLDINGS 25 29 0.6 22 -0.6 77 -0.2
WILMAR INTERNATIONAL 19 51 -3.2 44 -1.3 25 0.7
JARDINE MATHESON HLDGS 51 33 2.8 43 -1.7 33 -0.7
SINGAPORE EXCHANGE 8 34 -2.1 31 -1.7 27 1.9
CAPITALAND MALL TRUST 7 37 -2.9 14 -0.7 31 -0.5
GENTING SINGAPORE PLC 9 17 0.0 23 -3.0 40 -2.5
SEMBCORP INDUSTRIES 7 22 0.8 34 -4.3 15 1.9
CAPITALAND COMMERCIAL TRUST 4 31 -3.2 20 -1.1 12 -0.7
SINGAPORE AIRLINES 12 27 -1.1 21 -1.0 14 -0.2
SINGAPORE PRESS HOLDINGS 7 26 -1.4 23 -0.7 11 0.0
COMFORTDELGRO CORP 6 19 -0.3 28 -0.7 13 0.7

Market activity on 11 and 12 August was indicative of institutional funds trimming positions in STI heavyweight stocks.

In the lead up to 11 August, open interest on MSCI Singapore Index (SiMSCI) Futures increased by 3%, then another 5% over 11 August and 12 August.  The structure and liquidity of the SiMSCI futures means they can provide an efficient mechanism for institutional investors that are looking to hedge price risks while transacting or holding positions in the underlying Singapore stock market.

Amidst this fund rebalancing, four stocks - DBS, OCBC, UOB and Singtel, accounted for half of the 12 August turnover. Market participants who added positions amidst the weakness generated by this position trimming saw those four stocks averaged 2.0% gains for the 13 August session.

Current price-earnings ratios, 30 day volatility and six month and one month beta of these stocks are detailed in the table below.

Name P/E Volat:D-30 Raw Beta 6M Raw Beta: 1M
DBS GROUP HOLDINGS 11 25.8 1.3 1.7
UNITED OVERSEAS BANK 10 22.0 1.2 1.5
SINGAPORE TELECOMMUNICATIONS 16 21.3 1.2 1.0
OVERSEA-CHINESE BANKING CORP 9 21.8 1.1 1.4
NOBLE GROUP 50 108.0 2.7 3.9
GLOBAL LOGISTIC PROPERTIES 15 41.4 1.0 1.4
CAPITALAND 12 28.4 1.3 1.6
KEPPEL CORP 7 20.6 0.8 0.9
ASCENDAS REAL ESTATE INV TRT 14 20.7 0.7 0.5
HONGKONG LAND HOLDINGS 14 27.5 0.9 0.1
WILMAR INTERNATIONAL 11 15.9 0.5 0.6
JARDINE MATHESON HLDGS 12 30.9 1.0 0.4
SINGAPORE EXCHANGE 23 26.6 1.1 1.2
CAPITALAND MALL TRUST 13 23.1 0.8 0.7
GENTING SINGAPORE PLC 41 35.8 0.7 0.7
SEMBCORP INDUSTRIES 8 40.2 1.0 1.4
CAPITALAND COMMERCIAL TRUST 10 17.6 0.5 0.5
SINGAPORE AIRLINES 28 29.8 1.0 1.1
SINGAPORE PRESS HOLDINGS 19 10.2 0.3 0.4
COMFORTDELGRO CORP 22 14.2 0.6 0.4