STI’s volatility levels normalised to 8.2% in October

Below annualised 3-year volatility of 10.8%.

During October, short term volatility of the S&P 500 surpassed long term normalised levels, while the STI volatility saw some return towards normalised levels.

According to a report by SGX, while the moves in October added to the STI’s short term volatility levels, the short term levels remained below volatility averages of the past three years at 10.8% and past five years at 13.0%.
During those past three to five years, the STI generated similar average annualised total returns of 7.4% to 7.9% respectively.

Market moves in October added to the STI’s short term volatility levels, however these volatility levels remained below averages of the past three to five years. The moves in October brought the STI’s 250-day volatility level up to 8.2% (from 7.6% at the end of September).

Here's more from SGX:

Currently at 8.2% for the past year, volatility of the STI remains lower than the annualised five year volatility of 13.0%. During October, the short term 30 day volatility gauge of the STI was below the annualised five year volatility level of 13.0% and below the annualised three year volatility level of 10.8%. In comparison during October, the S&P 500 Index saw its 30 day volatility gauge reach a 17.7% high, which, unlike the STI, was above its three and five year annualised volatility levels.

The STI’s 30 day volatility gauge reached a 10.5% high during the month which was above the 8.9% high reached by the same gauge during September. Hence a marginal upward trend in volatility towards longer term levels has been observed in recent months. As detailed in the table below, the STI maintained its comparative stability factor over the month of October.

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