EVALS Q2 2010 Update

EVALS had a slightly disappointing second quarter of 2010, outperforming the S&P 500 index in April and June, but giving up 3.64% to the benchmark in May. The reason for not beating the benchmark in May was some short volatility exposure which fared poorly when the VIX posted its second highest spike ever, to 48.20 on May 21^st.

There was minimal turnover in EVALS during the period, with emerging markets and commodities continuing as two important long themes and short volatility – particularly on the heels of the big VIX spike – the dominant theme on the short side.

The graphic below shows the monthly performance for EVALS and the SPX since the August 21, 2008 inception. Note that detailed monthly performance data for 2008 and 2009 can be found in previous posts.

I apologize for the delay in making this information available and will be sure to have the Q3 update posted before the end of October.

Disclosure(s): none