Monday, January 3, 2011

Returns and Volatility of the STI: 1988 to 2010

The chart above shows the day-to-day returns of the Straits Times Index from 1988 to 2010 group according to months. Based on the data, April and December have presented investors with the best day-to-day returns, showing gains of 0.141% on average. August and September were the worst months to trade, providing on average days with negative returns of 0.127% and 0.06%.

The most volatile months as measured by variance of returns, were January and October. The least volatile were July and December. For those of you who are good at statistics, you can probably use a normal distribution table to figure out the probabilities.

The chart below shows the same thing but grouped according to years. Due to my inadequacies with respect to mathematics, I did not dare to "log" the data to make it more comparable over time. Nonetheless, it shows that returns and risk (the square root of variance) do not seem to fit comfortably as some of the years which were quite "risky" did not give above average returns. Those who need the charts can email me.

Have a great start to 2011!

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