From a small northwestern observatory…

Finance and economics generally focused on real estate

Archive for September 14th, 2021

ACCRE Report, August, 2021

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Sorry we’re running late this month — Labor Day travels and such really got us behind the curve.

One challenge of running a “hedged fund” is that when the market is going straight up, the hedges tend to work against you. August was a case in point. This was one of the very few months when the S&P real estate index beat ACCRE, and of course the S&P 500 was on a huge bull run this month, earning nearly 3%. I would note that so-far in September, ACCRE is doing much better, but we’ll get back to you on that in a couple of weeks.

Our Sharpe Ratio statistics also tell an important story. We continue to be uncorrelated with the broader market, but the S&P’s average daily excess return is has been nothing short of amazing of late. Naturally, we hope this bull run continues, and we’ll continue to monitor our hedge positions going forward.

S&P 500:
Average Daily Excess Return0.0532%
Standard Deviation1.2606%
Sharpe Ratio4.2184%
Average Daily Excess Return0.0395%
Standard Deviation1.1903%
Sharpe Ratio2.2149%
Overall Correlation (life of the fund)50.4275%
Monthly Correlation19.2982%
ACCRE Metrics as of August 31, 2021

We hope everyone had a great Labor Day holiday! As usual, if we can answer any questions on these or other real estate topics, please don’t hesitate to reach out.

John A. Kilpatrick, Ph.D., MAI —

Written by johnkilpatrick

September 14, 2021 at 2:27 pm

Posted in Uncategorized

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