Update on Historical Volatility of SPH and STI ETF
By Singapore Blue Chips  •  September 18, 2011
With regards to my earlier post on volatility, yes the calculation was a bit off but it has no material impact on my comparision. But anyhow, for folks interested in the volatility of SPH and STI, I have taken monthly returns from 2008 Jan to 2011 Sept. Calculation was based on excel. The results are quite similar, SPH and STI has a correlation of 86.5%; Annualized volatility of SPH was 22.28%, STI (ETF) was 25.15%.



Unfortunately, volatility does not tell you whether it is upside volatility or downside volatility. It also assumes the same weightage of volatility throughout every month, which is not accurate. It also does not factor in dividends that affects price movement much more on certain days.




Compared to Schroders Singapore Trust, the average 3 year volatility was 23.7%, which is higher than benchmark. As for the returns, it returned 18% over 3 (Read more...)
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By Singapore Blue Chips
I am an ordinary Singaporean guy in my early thirties who is passionate about investing since 2003. I live in a 4 room HDB flat and like many Singaporeans, dream of becoming a millionaire. Currently I am an ordinary worker and have just completed my Masters. I aspire to build up a portfolio of 1 million dollars and derive a yearly recurring dividend income of 6% by 35. The only way to achieve this aim is to work hard and invest prudently. I invest in a variety of instruments such as unit trusts, stocks, REITS and foreign currencies mainly Australian dollars options.
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