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Factor Investing in Singapore

Exploring the factor exposure of stocks in the Lion City

Nicolas Rabener
15 min read
7 Aug 2020

This research note was a collaboration with Singapore Exchange (SGX). We appreciate the joint effort and their support.

SUMMARY

  • Singapore’s stock market has unique features given its strong sector biases
  • However, despite these, there were no structural factor exposures over time
  • Like in other markets, investors can pursue factor investing to generate outperformance

INTRODUCTION

One of the stories of how Singapore received its name is about a Sumatran prince who came across a mythical beast called Janggi while hunting. Janggi acts as a guardian of gold mines and supposedly has lion-like features. From there to the name Singapore it is straight-forward: Singa is derived from the Sanskrit word for lion and Pura means city, given birth to Singapura, or the “Lion City”.

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