Mid-month ACCRE notes

I wanted to focus once again on the diversification ACCRE provides in a well-managed portfolio.  As previously, we measure this with the Sharpe Ratio (the average daily excess returns) and the correlation with the S&P.  Both of these metrics continue to be solid — ACCRE’s Sharpe Ratio is 0.07% compared to the S&P’s 0.02%.  This is the average daily return over and above what you would have earned had you simply invested in the T-bill rate, divided by the standard deviation.  It means that not only are ACCRE’s returns superior to the S&P, but we also do that without taking on excess risk.  By the way, the correlation with the S&P continues to be great — 43.2%.

This month, I wanted to look at ACCRE from another perspective.  Like most of you, I have other investments, and like most of you should be, I’m concerned.  One simple way of looking at this is to compare these investments to their 200 day moving averages and 50 day moving averages.   Conventional wisdom suggests that when these two cross or diverge, we have buying or selling signals.  (The charting logic is somewhat more complex than this, but I’m over-simplifying on purpose.)

Mid Month Sept 2019

For comparison sake, I’ve normalized both ACCRE and the S&P =1 as of the date we started (April 1, 2017) and graphed both together.  As you can see, ACCRE really “took off” after early 2018.  More to the point, ACCRE has a solidly up-trending 200 day moving average (the black dotted line) while the S&P is somewhat flat-lined right now (the solid black line).  However, for both, the 50-day moving averages (the thinner dotted and solid lines) are both in “bull” territory right now.  Note that the crossing of the S&P’s 50- and 200- day averages back in the Winter gave an unambiguous selling signal.  However, the corresponding “buy” signal for the S&P this past Spring  actually lagged the market.  For ACCRE, the signals have been positive throughout, although the peak and trough in the 50-day average for ACCRE last summer and this past Spring were very useful indicators.

We’re not really chartists here at ACCRE, and the old Wall Street adage of “never try to catch a falling knife” is very useful in these situations.  However, in hindsight, these signals tell us a lot about what our more fundamental analysis has shown to be true and useful.



August ACCRE update

Sorry for the delay, folks.  We’ve made a few changes to the way we measure our data, and frankly September has been a terrifically busy month!  Now, on with the good news.

ACCRE had a stellar August, particularly compared to the S&P.  We turned in a very solid 3.6% monthly return, which means that a dollar invested in ACCRE at the inception is now worth $1.63.  The S&P, in turn, had a crummy month, both in terms of returns and volatility.  The S&P ended August with a negative 1.81% return.  If you had invested that same dollar in the S&P back when we started ACCRE (and many of you did!), it would only be worth $1.24 today.

August 2019

We have changed our REIT benchmark.  We were previously using the monthly NAREIT index, computed by the Financial Times folks.   Unfortunately, this index was only reported monthly, and was usually a bit lagged.  For that reason, we’ve switched to using the S&P REIT index, which is reported on a daily basis.  We’ve gone back to the inception of ACCRE and re-computed REIT benchmark returns accordingly.  Note that the S&P REIT benchmark is an “all in” index, including both dividends and price gains.

We’ll report volatility and Sharpe Index data later in the month.