The Case for Brazil & How to Trade It
--Zero Losses--
THE IMPORTANCE OF TIMING--Brazil (EWZ) +1,266% vs 697%
7.65 years June 21, 2002--February 12, 2010
Worldwide ETFs Portfolio--Hypothetical
The Signature-Rank MethodSM
See Comments below
(Definitions and System Rules at the bottom of the page)
AN UPDATE
More than two years ago, Brazil's ETF was the object of a somewhat similar article (here) and a later article (here) and another one here last year The last article is good to review now for details and 'rules'.
TABLE OF RESULTS
Brazil (EWZ)--Signature-Rank MethodSM
Eight Years 2002-2010--Hypothetical
|
Dates |
|
Prices |
|
wks |
|
cum |
|
|
Entry |
Exit |
Entry |
Exit |
held |
%P/L |
tot % |
SP500 |
|
6/21/2002 |
|
Cash |
|
|
|
100 |
989 |
|
1/24/2003 |
3/21/2003 |
7 |
8 |
8 |
14.1 |
114 |
896 |
|
3/28/2003 |
4/23/2004 |
8 |
16 |
56 |
88.7 |
215 |
1141 |
|
8/13/2004 |
6/30/2006 |
16 |
39 |
98 |
150.0 |
538 |
1270 |
|
11/24/2006 |
8/8/2008 |
44 |
75 |
89 |
68.8 |
909 |
1296 |
|
4/3/2009 |
4/10/2009 |
43 |
45 |
1 |
4.1 |
946 |
857 |
|
4/17/2009 |
4/24/2009 |
44 |
44 |
1 |
1.4
|
959 |
866 |
|
5/1/2009 |
2/12/2010 |
47 |
67 |
41 |
42.4 |
1366 |
1076 |
Average profit 52.8%
Compound average return 40.8% per year
With Treasury Bills 46.5% per year
Number of trades 7
Winning trades 7
Average holding period 10 months
Longest holding period 23 months
Losses none
Note. The prices in the table are Friday closes. Actual transactions are recorded as opening prices the next trading day. They may be lower, higher, or unchanged, with equal probability, from the previous close, affecting reported results for better or worse. Results are before expenses, dividends, or interest from cash equivalents, if any. The system held cash 26% of the time, earning additional profits at the money-market equivalent rate. The effect of that would raise the final system value number on the chart and in the cum tot% column in the table from 1366 to 1851, and the compound rate in the table footnote from 40.8% to 46.5% per year. The SP500 dates are Column 2 after the first date which is Column 1.
How rankings are determined. This note, first posted in 2005, may help explain how the rankings are derived.
THIS IS TRADING SYSTEM?
Surely not. But as an investment method earning 40% per year with few trades and no losses, utter simplicity and ease of use, it dserves, perhaps, expanded research to search out and identify some similar, signature-rankSM candidates.
A few, taken together--a future project, would be a complete, all-weather, portfolio-management system for pensions, 401k's, TSP, Taft-Hartley funds, et al, or just plain old widows' and orphans' or lazy man's trusts.
Definitions and System Rules. The rank of a stock in a portfolio is the numerical standing of performance (profits over time--numbered from 1 to n, 1=best) of the stock relative to all the other stocks in the portfolio. The 'signature-rank' is that fixed-rank level of each stock as its own benchmark, above which it will give its own best cumulative performance over time (it's equity curve). It is found by testing each numerical level one at a time, e.g., 1, then 2, etc. Logic would expect a signature-rankSM to be found somewhere not far from the median rank of all the stocks in the portfolio. There are 23 stocks (ETFs) in the Worldwide ETFs Portfolio. The median rank is 11.5. I found EWZ's signature-rankSM empirically to be 9.5. Rules: Any weekly rank above the signature-rankSM, buy and hold the ETF. Any weekly rank below it, sell and go to cash. (The current rank is easily seen in the weekly Rankings table--sample here.
Current system satus
Cash as of February 12, 2010.
Posted
2/28/2010 5:00 p.m. ET
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