Tuesday, August 4, 2015

[STI Statistics] July 2015

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

As of 31 July 2015

STI Closing Value: 3202.5
P/E Ratio: 12.80
P/B Ratio: 1.23
P/CF Ratio: 10.49
Dividend Yield: 2.87

Monthly Data Series from 2008

Mean P/E: 12.29
P/E Standard Deviation: 3.09

Mean P/B: 1.46
P/B Standard Deviation: 0.21

% of time when the STI is cheaper based on P/E: 56.49%
% of time when the STI is cheaper based on P/B: 13.62%


The P/E and P/B ratios are still telling conflicting stories about the index. Based on P/B, the STI is almost 1SD below it's mean. The STI does not look significantly cheap nor expensive by any historical measure. Valuation-wise, it seems to be getting cheaper since peaking in July 2014, which was actually a peak for many many indicators globally.

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

*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 onwards from SPDR STI as a proxy
*****Probability calculated with http://stattrek.com/online-calculator/normal.aspx

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