From a small northwestern observatory…

Finance and economics generally focused on real estate

ACCRE Report, August, 2021

with 2 comments

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%
ACCRE Fund:
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 — john@greenfieldadvisors.com

Written by johnkilpatrick

September 14, 2021 at 2:27 pm

Posted in Uncategorized

2 Responses

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  1. Hi John, I enjoyed reading your article. What I find fascinating about this push into rental housing is that fund managers seem to have no fear of regulatory matters. I used to own 20 SF rental homes and am now down to 7, with three of those soon to hopefully be sold as well. Why? I believe rent control is coming and coming fast. Between that and new regulatory burdens on rental property owners, I am getting out of the market.

    Like

    Christopher Benis

    September 15, 2021 at 11:41 am

  2. Great points. Without sounding like I’m hawking my book, in Real Estate Valuation and Strategy, I discuss second and third-tier cities for investment, and I would note that the successful funds have focused secondary cities in the sunbelt. The “primary” markets (SF, NYC, Chicago, LA) have unique considerations. I was the only real estate person on an alternative investments panel at a recent conference, and one of the panelists (a hedge fund guy) happen to mention that he personally owned some rental properties in a not-to-be-named primary city. I winced and gave him the same advice, that top-tier cities have very unique concerns.

    Like

    johnkilpatrick

    September 15, 2021 at 11:51 am


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