Monday, June 30, 2014

[STI Statistics] June 2014

Hi all, this is going to be the first of my monthly post analyzing the STI.

For now, since it is still my first post, I will be putting up some simple statistics that I am keeping track of, as well as a short commentary at the end. As the months go by, I will add in more statistics or data if I think it is useful. Feel free to send me requests, especially if you 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.

As of 30 June 2014

STI Closing Value: 3255.67
P/E Ratio: 13.88
P/B Ratio: 1.34

Monthly Data Series from 2008

Mean P/E: 12.05
P/E Standard Deviation: 3.28

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

% of time when the STI is cheaper based on P/E: 71.15%
% of time when the STI is cheaper based on P/B: 26.22%

Comments

The P/E and P/B ratios are telling conflicting stories about the index. The STI has been on a tear since early Feb and shot from 2945 to 3319 in June, with just a small hiccup in March. I am skeptical of this rally as it has gone up too fast, too soon for me. I am patiently awaiting a better entry point.

I am 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.


*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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