When Bovespa lost more than 20% in past six months

When Bovespa lost more than 20% in past six months

taking a clue from the blog post The Case for Brazil, the World’s Most Hated Stock Market by @ReformedBroker ( BTW , congrats to him on the new achievement ,  breaking through 50,000 followers on Twitter)

Anyway , 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

ps: we have considered interleaving instances of months where Bovespa lost more than 20% in six months ( for ex: hypothetically we go long at June 2013 end , and if in July 2013 end , if Bovespa past six months returns are less than 20% , we go long again)

and the trading odds for the next 12 month holding period

  • Winners : 19
  • Losers : 4
  • % Winners : 83%
  • Average Change % : 52.85
  • Median Change % : 65.19
  • Maximum Gain % : 151.95
  • Maximum Loss % : -29.02
  • Average Gain %if Winner : 67.89
  • Average Loss % if Loser : -18.60
  • Average Gain % / Average Loss % : 3.65

Below the table with instances of Bovespa loosing more than 20% in past six months and the next 6/12 months returns , since 1995 , from the data source : http://finance.yahoo.com/q/hp?s=%5EBVSP+Historical+Prices

Bovespa losses of more than 20% in six months since 1995

ps: Yahoo data shows a split on the index as on 11 mar 1997 , the data we used is for split adjusted.

pps: the returns are not currency adjusted , so if Brazilian real falls then returns will be lower than the expectations !!

below the table with a reader’s request , taking the iShares MSCI Brazil Capped (EWZ) as a base with the data available , since Jul 2000

EWZ losses of more than 20% in six months since 2001

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