From a small northwestern observatory…

Finance and economics generally focused on real estate

ACCRE Report, October, 2021

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It’s been a busy month, both for the stock market and here at Greenfield!

First the S&P 500 — our primary benchmark — scored one of it’s best months all year, up 6.91% by our metrics. Note that puts the broad market up 22.6% on the year. ACCRE was no slacker this month, up 4.75%, besting the S&P Real Estate index which was up 3.93%.

These are of course reflective of monthly returns. When we dig in a bit to daily returns, a somewhat different picture emerges, as shown in the Sharpe Ratio metrics, below:

S&P 500:
Average Daily Excess Returns:0.0529%
Standard Deviation:1.2463%
Sharpe Ratio (life of the fund)4.2449%
Average Daily Excess Returns:0.0402%
Standard Deviation:1.1769%
Sharpe Ratio (life of the fund)3.4160%
Correlation of Daily Returns (life of the fund)49.8497%
Correlation of Daily Returns (month of October)-19.3963%

Well, THAT was interesting! ACCRE and the S&P 500 are generally positively correlated, both overall and on a month-to-month basis. We want ACCRE to serve a diversifying role within a larger overall portfolio, and correlations in the 50% range, while not a target, are certainly viewed positively. Further, one month does not a market make, but given the long bull run in both the broader market and real estate, is a one-month negative correlation telling us something? Particularly in light of the fact that both indices ended up the month on a positive note?

I can’t help but note that ACCRE and its two benchmarks have all continued on a positive trend thus far in November. We’ll watch this closely, and keep you updated.

Best wishes for a great upcoming Thanksgiving Holiday! As always, if you have any questions about REITs or real estate in general, please don’t hesitate to reach out!

John A. Kilpatrick, Ph.D., MAI —

Written by johnkilpatrick

November 10, 2021 at 7:34 am

Posted in Uncategorized

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