For instance, Roger Ibbotson, in his Decile Portfolios of the New York Stock Exchange, 1967 - 1984 Working paper, sorted all stocks according to the Price/Earnings ratios into deciles. He then tracked the returns of each decile over an 18-year period.
What he found out was that the lowest P/E decile returned 14.08% on average annually as compared to the NYSE which returned 8.6%. The highest P/E decile returned 5.58% instead.
Coming up with the lowest decile of P/E stocks in the STI
I worked with the free stock screener by SGXcafe. Frankly, for something which cost zero, the functionalities are very good. All I did was to put in two variables: P/E > 0, and last close > 0. This is to remove companies with negative earnings and non-traded companies (stock price = 0).
It churned out a list of 308 stocks, and then I sorted them into deciles, using Excel. This gave me a list of 30 stocks with the lowest P/E ratios, with a maximum P/E of 4.5.
Name
|
Symbol
|
P/E
|
L.Close
|
BQO
|
0.4
|
0.27
|
|
B07
|
0.81
|
0.003
|
|
BRD
|
0.91
|
0.29
|
|
BEV
|
1.72
|
0.61
|
|
AFC
|
1.82
|
0.16
|
|
T4B
|
1.92
|
0.345
|
|
5ET
|
2.22
|
0.006
|
|
545
|
2.39
|
0.017
|
|
I5H
|
2.64
|
0.023
|
|
5TT
|
2.66
|
0.47
|
|
C04
|
2.67
|
0.082
|
|
L03
|
2.71
|
0.45
|
|
BLU
|
2.76
|
0.25
|
|
42Z
|
2.84
|
0.055
|
|
5UA
|
3.04
|
0.255
|
|
5OR
|
3.31
|
0.041
|
|
AWX
|
3.31
|
0.63
|
|
42W
|
3.46
|
0.25
|
|
AZA
|
3.6
|
0.545
|
|
RC5
|
3.66
|
0.28
|
|
BFU
|
3.78
|
0.31
|
|
5TR
|
3.78
|
0.182
|
|
H30
|
3.93
|
0.615
|
|
ER0
|
3.97
|
0.545
|
|
5IF
|
4.19
|
0.065
|
|
547
|
4.23
|
0.4
|
|
C76
|
4.39
|
0.945
|
|
T42
|
4.4
|
0.16
|
|
41F
|
4.41
|
0.079
|
|
D2U
|
4.44
|
0.004
|
Forward testing the results
This data has been taken on 25 November, and I will revisit again in March 2017. Let's see what the future entails!
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