Five year beta and returns of the STI stocks

yishun2009

Five year beta and returns of the STI stocks

Over the past five years, the three STI stocks that maintained the lowest historical beta were Starhub, Singapore Press Holdings and SIA Engineering.

Over the past five years, the three STI stocks that maintained the highest historical beta were Noble Group, Sembcorp Marine and Olam International.

Over the past five years dating back to March 2008, the average total return of the three STI stocks with the lowest five year beta was +67.7% vs 17.6% for the three stocks with the STI highest five year beta.

The five best performing stocks over the past five years were Jardine Cycle & Carriage, Genting Singapore, Jardine Matheson USD, Jardine Strategic USD and Fraser & Neave.

yishun2009: 请教高手，什么是historical beta? 它高或低，意味着什么？

Of the current constituents of the Straits Times Index (STI), 27 constituents have been listed for the past five years. Of these 27 stocks, historical beta has varied from 0.34 for Starhub to 1.80 for Noble Group for the five year duration. In this case, historical beta provides an average measure of past daily percentage returns of a stock relative to the STI over the past five years. Of the 27 stocks, 14 stocks maintained a historical beta below 1.0, while 13 stocks maintained a beta above 1.0.

Note that of the 30 STI stocks, the same three stocks with the lowest beta over the past two years were the same three stocks with the lowest beta over the past five years. These three stocks were Starhub, Singapore Press Holdings and SIA Engineering. Likewise, the same three stocks with the highest beta over the past two years were the same three stocks with the highest beta over the past five years. These three stocks were Noble Group, Sembcorp Marine and Olam International.

The biggest change in the historical beta ratios over the two timeframes of five years and two years was observed by CapitaMall Trust which saw its historical beta ratio fall from 0.99 over the past five years to 0.57 over the past two years.

Over the past five years, which dates back to March 2008, the average total return of the three STI stocks with the lowest five year beta was +67.7%.  Note that each of these stocks represent a different sector, with Starhub representing Mobile Telecommunications, Singapore Press Holdings representing Media and SIA Engineering representing Industrial Transportation. Starhub generated a total return of 96.6% over the five years, Singapore Press Holdings generated a total return of 41.6% and SIA Engineering generated a total return of 64.9%. Note for each of these three stocks dividend returns outweighed price returns.

The average total return of the three STI stocks with the highest five year beta was +17.6%. Like the three stocks with the lowest beta for the period, these three stocks represented three different sectors. Noble Group represents General Industrials, Sembcorp Marine represents Oil Equipment, Services & Distribution and Olam International represents Food Producers.

Over the five years, Noble Group generated a total return of 8.1%, Sembcorp Marine generated a 60.0% total return and Olam International generated a -15.3% loss. Note returns from Sembcorp Marine dividend distributions marginally outweighed price returns. Dividend distributions for Noble Group turned a 2.7% price decline to an 8.1% total return and dividend distributions reduced the loss for Olam International over the period.

It is important to note that beta does not provide a complete past measure of the risks associated with a stock. The list of STI stocks with five year beta and total return performances are detailed in the table below.

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beta是反映非系统风险的一个值，简单的说就是反映的特定公司的风险的sensitivity factor，在CAPM模型中运用。beta小的话以为着required rate of return低，反之则高。historical beta应该是回归出来的一个beta值

yishun2009

谢谢楼上的答复。但还是没太懂，这个系数与我们普通投资者有什么意义？我们是要投资高系数的还是低系数的公司？

The five best performing stocks over the past five years were Jardine Cycle & Carriage, Genting Singapore, Jardine Matheson USD, Jardine Strategic USD and Fraser & Neave.

这个Jardine Cycle & Carriage就是那个卖奔驰车的公司吧？回报如此之高？大家如何看？

金毛毛

beta值我的理解是反映了股票波动的程度，beta值越大，说明波动越大。

如果beta是1，那么这只股票的波动和海峡指数是一样的，指数涨2%，它也涨2%（只是说幅度，并非两者同步涨跌）。

如果beta是2，指数涨2%，它涨4%，跌2%，它跌4%，以此类推。