As usual, I devote the mid-month report to discuss some of the diversification metrics for ACCRE, which continues to outperform the other indices and continues to enjoy superior risk-hedged returns. Most of the time, I focus on the Sharpe Ratio, the average daily return, minus the risk-free return, all divided by the standard deviation of those daily returns. Generally, the greater the Sharpe Ratio, the more attractive the risk-adjusted returns.
In our case, ACCRE consistently dominates the S&P 500. Measured since the inception of the find, the Sharpe Ratio for ACCRE is 0.06% (this is a daily return) versus 0.02% for the S&P. Recall that this takes volatility into account, as is shown in the following graphic of monthly returns:
ACCRE, the blue line near the middle of the graphic, has been the slow-and-steady performer for the past two and a half years, while the S&P and the S&P Property Index have been all over the map.
By the way, ACCRE as part of a diversified portfolio should have a low correlation with the S&P. Since inception, ACCRE’s correlation has averaged 42%, and was only about 29% for the month of October.
We’ll keep you posted. As usual, subscribers receive notifications of trades and portfolio percentages. We’ve gone a few weeks without a trade, and I suspect some portfolio rebalancing is soon in order.