Friday, August 1, 2014

[STI Statistics] July 2014

Hi all, this is the second 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 31 July 2014

STI Closing Value: 3374.06
P/E Ratio: 14.29
P/B Ratio: 1.37

Monthly Data Series from 2008

Mean P/E: 12.08
P/E Standard Deviation: 3.27

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

% of time when the STI is cheaper based on P/E: 75.04%
% of time when the STI is cheaper based on P/B: 30.85%

Comments

The P/E and P/B ratios are still telling conflicting stories about the index. The STI has been on a tear since early Feb and shot from 2945 to 3387 in July, with just a small hiccup in March. I am still very skeptical of this rally as it has gone up too fast, too soon for me. I am patiently awaiting a better entry point.

Strong support at 3325, weaker support at 3235 and a strong and psychological support at 3000. I am expected to see the STI head down to the mid 3100 before I consider the index, while I am currently cherry picking individual names and looking for panic sell-offs.

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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