Saturday, August 30, 2014

[STI Statistics] August 2014

Hi all, this is the third of my monthly post analyzing the STI.

Feel free to send me requests for more statistics, especially if you have the raw data for me to work on. I am looking quite desperately for the old data on P/E and P/B monthly values of the STI before 2008. If anyone can get me the P/E and P/B statistics of the STI OLD from a Bloomberg terminal, that would be greatly appreciated and included.

As of 29 August 2014

STI Closing Value: 3327.09
P/E Ratio: 14.01
P/B Ratio: 1.35

Monthly Data Series from 2008

Mean P/E: 12.11
P/E Standard Deviation: 3.25

Mean P/B: 1.48
P/B Standard Deviation: 0.22

% of time when the STI is cheaper based on P/E: 72.06%
% of time when the STI is cheaper based on P/B: 27.73%

Comments

The P/E and P/B ratios are still telling conflicting stories about the index, however both ratios have come down from from month, which seems to have peaked. The STI looks to be in a topping pattern to me.

Considering how the index has not pulled back substantially yet, I am still waiting for an opportunity to enter some long positions. No rush.

I am still considering constructing, adding and maintaining an STI seasonality chart, which can probably include data all the way back to 1987. I will use data from Yahoo Finance and take construction tips from this guide. I am been rather busy lately though, maybe I can work something out, at least a monthly seasonal would be interesting.


*Straits Times Index values from Yahoo Finance
** P/E and P/B Ratios from SPDR STI as a proxy

***Data Series 2008 - 2014 from Bloomberg
****Data Series 2014 from SPDR STI as a proxy
*****Probability calculated with http://stattrek.com/online-calculator/normal.aspx

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