Fund update & Sharpe Ratio

In last week’s Fund update, we noted that the NAREIT Index was not yet available. We’ve updated the Fund metrics with that data now.  REITs in general had a very good month, with a monthly return of 2.33%.  For the NAREIT Index, this is a bit of a return to form.  REITs in general have performed very well since the recession, but have been fairly flat for the last two years.
August 2018 report updated

We have also begun calculating the Sharpe Ratio on an ongoing basis.  For those of you not familiar with this, the Sharpe Ratio is the measure of excess returns (fund returns minus the risk-free return) divided by the standard deviation of those excess returns.  In short, it gives a comparative measure of the returns of the fund on a risk-adjusted basis.  How much in the way of returns are we getting for every unit of risk (measured as the degree of volatility)?  The Sharpe Ratio is clearly most useful when comparing two funds — in this case the ACCRE Fund versus the S&P 500.  For our purposes, we’ve used daily returns for every day that we have a 13-week T-bill price.  We’ve taken the bank discount rate on 13-week T-bills and converted those to a daily rate.


Sharpe Ratio Aug 2018

As you can see, the ACCRE Sharpe Ratio is substantially higher than the S&P rate for the same period.  When a fund like ACCRE has substantially higher raw returns, such as we have here, the Sharpe Ratio helps account for the somewhat higher volatility associated with a fast growing fund.   By the way, the raw returns ratio for ACCRE (the ratio of actual daily returns to the standard deviation of those raw returns) is also higher than the S&P:  9.6% versus 8.5%.


Fund report for August, 2018

The fund continued to perform well in August (up 2.04%), although a red-hot S&P (up 3.03%) was tough to beat.  Nonetheless, we continue to nearly double the S&P on a cumulative basis (42.06% for ACCRE since its inception, versus 22.80% for the S&P).  Note that NAREIT has not yet published its index results for August, so we will update as soon as we have that data.

We are also continuing to track the monthly returns Beta versus the S&P. This came in at negative 54.57% cumulatively, which continues to be about what we would expect.  ACCRE continues to enjoy above-average returns (in a bull market!) and provides excellent diversification.