While EVALS had impeccable market timing in the first half of 2009, the unprecedented continued decline in volatility threw EVALS for a loop in July. The ugly result was that not only did EVALS miss out on a strong bullish month, it compounded the pain by posting its largest monthly loss to date in July, a decline of 18.85%.
In fact, EVALS did not flip back to a bullish bias until early September; and while September was an excellent month, it was not good enough to salvage the quarter, which was down 9.4% in aggregate. EVALS ended the third quarter with a cumulative gain of 15.71% for the calendar year to date, some 1.89% behind the benchmark S&P 500 index.
For the record, the bearish positions favored most by EVALS during July and August were in real estate, small caps and consumer goods – all of which outperformed the benchmark as earnings and economic data began to suggest that the economic downturn was in the process of reversing.
Since the change to a bullish bias in early September, EVALS has been favoring long positions in commodities and emerging markets and is on track to finish the year on a high note.
The graphic below shows the monthly performance for EVALS and the SPX since the August 21, 2008 inception. I will update the performance for the full year in early January.
