July 2nd, 2009: PIE vs SPY - June 2009 summary

A brief update for June 2009.

Below is the updated chart of PIE vs SPY for the YTD period till July 2nd (On Friday, July 3rd, U.S. markets were closed due to the 4th of July holiday). This chart is adding 5 more weeks to the prior month chart (week ending May 29th)

The chart shows the actual performance of PIE (real trading account, not the UpDown proxy) in 2009 (YTD) in blue, vs SPY (The SPDR S&P 500 ETF) in red. Samples are weekly samples except for the first 4-weeks of January which consist of a single (4-week) sample.


  • PIE has weakened in June, and ended-up almost flat for the month with a rise of just +0.17% (less than a fifth of a percent) since the weekend of May 29, 2009.

  • It was the weakest monthly performance for PIE since I started following it.

  • The good news is that PIE continued to nicely out-perform SPY on both an absolute and a risk adjusted basis. During the same period, SPY went from a close of 92.53 on the week ending May 29th, 2009 to 89.81 at the close of July 2nd, An overall decline of -2.94%.

  • SPY was also much more volatile than PIE with 2 out of 5 weeks exceeding 2% swings (one up, one down) and one down week of over -3%

  • In contrast, PIE's worst week was -1.22%, and the second worst -0.17%.

  • Overall for the year, PIE is now up +17.67% (YTD). Way ahead of SPY which is down -0.47% (as of July 2nd).

  • PIE has been up 21 out of 26 weeks YTD, with only 5 down weeks Since Dec 31, 2008.

  • The worst weekly draw-down for PIE was -1.25% vs -8.21% for SPY. The draw-down ratio is 1 to 6.568 in favor of PIE.

  • PIE's Sharpe ratio has declined in recent weeks and now stands at 1.637. But it is over 40 times better compared with SPY's 0.0375 YTD Sharpe Ratio. [The way this Sharpe Ratio is calculated can be found here]

  • With the S&P 500 daily chart (it hard to see in the weekly chart) showing a clear head and shoulders pattern, the terrible unemployment numbers last week, and the "green shoots" hopes starting to get shattered, I expect July to be another rough month for the markets. Since PIE is mostly market neutral I don't expect it to lose significantly even if it hits a rough patch.

  • I have a few significant improvements in the works for PIE and expect to keep significantly outperforming the markets on a risk adjusted basis for the rest of the year.

As always, this isn't intended as investment advice. It merely reflects my own thinking and actions at the time of writing. In the immortal words of John Maynard Keynes "When the facts change, I change my mind. What do you do, sir?"

Every investor should make up his own decisions based on his risk tolerance, comfort-zones, convictions, and understanding.

Any feedback is welcome.

-- ariel