Friday, October 3, 2008

Stocks Beta coefficient

There are a few strategies adopted by traders or long term investors especially during time of uncertainties like now. The traders would like to ride the volatility on some stocks to make short term profit while the buy and hold investors may prefer to pick some defensive stocks.

But how can we really identify which stock is volatile or which stock is defensive in nature? One of the ways is to look at the Beta coefficient of the stocks. Beta coefficient is a measure of the volatility or systematic risk of a stock in comparison to the market as a whole. It is the reflection of the stock returns in response to the market or the changes in the index.

In short, a stock with Beta coefficient of 1 means the stock returns is the same as the market returns. A higher Beta means the stock is more volatile than the market while a lower Beta means the stock does not react too much on every market changes.

I did a list of 80 stocks which are constituents of ST and ST Mid cap index in ranking of their Beta coefficients. You may ignore those that have coefficient of 0 which is meaningless. Now you know why some people say SMRT, M1 or SPH are defensive in nature. There is no surprise also why the higher Beta stocks are most of the time listed under top volume of the day.

StockBetaStockBeta
CHINA HONGXING 2.879 VENTURE 1.153
YANLORD LAND 2.553 SUNTEC REIT 1.143
CHINA SKY 2.545 WHEELOCK PROP 1.136
STX PAN OCEAN 2.224 CAPCOM TRUST 1.129
KEPPEL TELECOM 2.212 HYFLUX 1.123
WILMAR INTL 2.181 HONGKONG LAND 1.120
GOLDEN AGRI 2.132 GUOCOLAND 1.093
SWIBER HOLDINGS 2.118 UOL LTD 1.093
SYNEAR FOOD 2.076 ASCEN REIT 1.083
EZRA HLDGS 2.012 CAPMALL TRUST 1.055
COSCO CORP 1.982 HAW PAR CORP 1.041
DELONG HOLDINGS 1.935 PARKWAY HLDGS LT 1.040
CHINA AVIATN OIL 1.866 PACIFIC CENTURY 1.012
PEOPLE'S FOOD 1.836 SIA ENGR 0.997
BANYAN TREE 1.800 STATS CHIPPAC 0.936
CAPITALAND 1.658 DBS GRP HLDGS 0.921
HOTEL PROPERTIES 1.633 UOB LTD 0.905
NOBLE GROUP 1.618 MACQUARIE PRIME 0.843
KEPPEL LAND 1.581 HONG LEONG FIN 0.836
NOL LTD 1.575 JARDINE STR 500 0.824
STRAITS ASIA RES 1.571 SAT SERVICES 0.803
WING TAI HLDGS 1.511 OCBC 0.800
CDL HOSPITALITY 1.499 SIA LTD 0.757
CHINA FISHERY 1.498 JAYA HOLD LTD 0.751
SGX 1.446 JARDINE C&C 0.749
SEMBCORP INDUST 1.437 MAPLETREE TRUST 0.739
RAFFLES EDU 1.404 SPORE TELECOM 0.732
CHART SEMICON 1.379 ST ENGRG 0.623
ALLGREEN PROP 1.361 JARDINE MATH 400 0.606
GALLANT VENTURE 1.358 COMFORTDELGRO 0.528
KEPPEL CORP 1.355 CEREBOS PACIFIC 0.391
OLAM INTER 1.317 SINGAPORE POST 0.357
GENTING INTL 1.313 STARHUB 0.318
CITY DEVT LTD 1.306 SPORE PRESS HLDG 0.266
SEMBCORP MARINE 1.225 MOBILE ONE 0.212
SPORE LAND 1.219 SMRT CORP 0.206
MACQUARIE INF 1.210 FIRST RESOURCES 0.000
SPORE PETRO-SPC 1.195 INDOFOOD AGRI 0.000
FRASER & NEAVE 1.190 LI HENG CHEMICAL 0.000
MANDARIN ORI 1.175 YANGZIJIANG 0.000

3 comments:

Daniel said...

hi can i check how u calculater the beta for Raffles education?? I a student doing a finance 101 course and am so stuck with the calculation and would really appreciate the tip

Mike Dirnt said...

Hi,

you can google how to calculate the stock beta. you need to do the calcualtion in Excel. And you need to know the stocks and market prices

tell me if you cannot find a good source

Gan said...

Hi mike, where can i get the latest company beta value as at 2009 ?