By topping the benchmark S&P 500 total return index (which includes dividends) for each of the last four months of the year, EVALS was able to exit the year with a 2.04% advantage over the benchmark.
In a nutshell, the full year consisted of two major directional calls by EVALS that effectively canceled each other out. First off, EVALS took a very large long position at the end of February, incurring some initial losses, but then crushing the benchmark in March, April in May. This advantage was neutralized when EVALS flipped to a short bias and was caught short when stocks spiked higher in July.
For the balance of the year, EVALS tracked the S&P 500 index much more closely, with the fourth quarter of 2009 reflecting the smallest divergence from the benchmark to date.
During the last three months, EVALS has been most heavily invested in Asian emerging markets, as well as oil and gas exploration companies and miners. There has also been smaller exposure to Latin America, U.S. financials, technology and lumber. A short volatility position, recently closed, was one of the big winners for the year.
EVALS enters 2010 with a long bias and overweight in emerging markets, commodity-related stocks, financials and technology. Of course, as new investment opportunities begin to appear in 2010 and are highlighted by volatility-based signals, EVALS will undoubtedly begin to metamorphose accordingly.
The graphic below shows the monthly performance for EVALS and the SPX since the August 21, 2008 inception. I will next update the performance for the first quarter of 2010 in early April.
Disclosure: none
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