What Happens When You Buy Brazil Down 20%?
- Joshua M Brown
- July 19th, 2013
My post last night looked at the slow-motion crash in the Brazilian Bovespa index, the “World’s Most Hated Stock Market”.
Kora Reddy, the quant blogger behind the hot new site Paststat, ran the data for us of what happens when you buy Brazilian stocks down 20%, historically speaking, going back to 1995:
here are the prior 23 instances of the Bovespa loosing more than 20% in prior 6 months ( as of June 2013 end Bovespa lost -22.14% in six months)
and assuming one goes long and holds the Bovespa Index for next six months , the trading odds
- Winners : 21
- Losers : 2
- % Winners : 91%
- Average Change % : 30.54
- Median Change % : 27.78
- Maximum Gain % : 71.39
- Maximum Loss % : -7.51
- Average Gain %if Winner : 33.85
- Average Loss % if Loser : -4.24
- Average Gain % / Average Loss % : 7.98
That’s a pretty high win rate (91%) and quite an average gain (+30%). Past performance is no guarantee etc etc.
Here’s the table Kora made:
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The Reformed Broker is a blog about financial markets and the economy. Joshua Brown is a New York City-based investment advisor for high net worth individuals, charitable foundations, retirement plans and corporations... More.