17 Sep '11, 6pm

Singapore Blue Chips: Update on Historical Volatility of SPH and STI ETF

Singapore Blue Chips: Update on Historical Volatility of SPH and STI ETF

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%.

Full article: http://sgbluechip.blogspot.com/2011/09/update-on-historic...

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