Risk Metrics - Adkins Capital Management

Data Sources FRED (St. Louis Fed) • Yahoo Finance

Refresh Rate FRED: Hourly • Prices: Daily

Last Updated April 30, 2026 at 8:41 AM EDT

Model Portfolio Only — Signal readings are informational only. No actual hedges are currently deployed. Not investment advice. REIT occupancy, NOI growth, and builder metrics require manual monitoring via quarterly earnings.

Current Tier Status

Tier 0 No Signals Active

Tier 1 Watch — 1 Signal Active

Tier 2+ Deploy Partial Hedge — 0 Signals Active

0 of 4 market signals triggered — 4 below threshold

Beta Hedging Signals

Tier 1 Trigger Monitoring — Beta Hedge Deployment Criteria

The following four signals are the primary Tier 1 trigger conditions for beta hedge deployment. When any one is active the fund enters Tier 1 Watch. When two or more are simultaneously active, Tier 2 partial hedge deployment is warranted. REIT and builder-specific signals (occupancy, NOI, gross margins, cancellation rates) require quarterly earnings monitoring and are noted below.

KRE vs. SPY — 90-Day Spread

Trigger: KRE underperforms SPY by >10%

-0.8%

KRE relative to SPY (90 days)

KRE 90-day return +2.2%

SPY 90-day return +3.0%

Relative spread -0.8%

○ Normal — Below Threshold

Activates: KRE Short evaluation at Tier 1 • All 6 instruments reviewed

10-Year Treasury Yield — 60-Day Move

Trigger: Move >75bps in 60 days

-10bps

60-day yield change • Current: 4.26%

Current yield 4.260%

60 days ago 4.360%

Move -10bps

○ Normal — Below Threshold

Activates: TBT evaluation (rising rates) • TMF evaluation (falling rates)

Housing Permits — Year-over-Year Change

Trigger: Permits fall >15% YoY

-7.4%

YoY change • Current: 1,372K units (SAAR)

Current permits 1,372K

Year-ago permits 1,481K

YoY change -7.4%

○ Normal — Below Threshold

Source: FRED PERMIT series • Monthly, seasonally adjusted annual rate • 2026-03-01

Activates: ITB Puts evaluation • KRE Short confirmation signal

HY Credit Spread (OAS) — Tier 3 Confirmation

Tier 3 signal: HY OAS >500bps • Elevated watch: >350bps

3bps

ICE BofA HY Option-Adjusted Spread • 2026-04-28

Current OAS3bps

Elevated threshold350bps

Tier 3 threshold500bps

○ Normal — Below Threshold

Activates: Tier 3 Full Hedge when >500bps + 2 months housing deterioration • CS-HPI Futures

▶ Quarterly Earnings Signals — Manual Monitoring Required

REIT Same-Store NOI Growth

Update after EQR / AMH / MAA / SUI earnings

Trigger threshold: <2% for 2 consecutive quarters

REIT Portfolio Occupancy

Update after quarterly earnings

Trigger threshold: <93%

Builder Gross Margins (DHI / PHM / TOL)

Update after quarterly earnings

Watch threshold: <22% • Trigger: <18%

Builder Cancellation Rates

Update after quarterly earnings

Watch: >18% • Trigger: >30%

Yield Enhancement Signals

Overlay Opportunity Monitoring — MBB Calls, VMBS Margin & TMF Easing

The following signals monitor conditions for deploying yield enhancement overlays. These are opportunity signals, not stress signals — they indicate when offensive overlay deployment is justified. Yield enhancement instruments are never deployed when Beta Hedging instruments are active.

Federal Funds Rate — Policy Direction

Opportunity: Confirmed rate-cut cycle • Activates: TMF (offensive), MBB Calls, VMBS Margin

3.64%

Effective Federal Funds Rate • 2026-03-01 • Trend: HOLD

Current rate3.64%

Prior reading3.64%

Change0.00%

○ No Active Cut Cycle

MBS Spread — 30yr Mortgage vs. 10-Year Treasury

Opportunity: Spread <125bps (tight) • Activates: MBB Calls, VMBS Margin

187bps

30yr Mortgage minus 10yr Treasury • 2026-04-28

30yr Mortgage6.23%

10yr Treasury4.36%

Spread187bps

○ Normal Spreads — Monitor Monthly

Note: This uses 30yr mortgage rate minus 10yr Treasury as an OAS proxy. True agency MBS OAS available via Bloomberg or ICE.

VMBS Carry vs. SOFR — Margin Leverage Economics

Opportunity: VMBS yield exceeds SOFR by >25bps • Activates: VMBS Margin 1.10–1.25x

+259bps

Carry differential • VMBS yield proxy minus SOFR

VMBS yield proxy (30yr Mtg)6.23%

SOFR (borrowing cost)3.640%

Net carry+259bps

● POSITIVE CARRY — VMBS Margin Deployment Justified

Note: Uses 30yr mortgage rate as VMBS yield proxy. Actual VMBS SEC yield available at Vanguard.com. SOFR via FRED.

⚠ Not FDIC Insured

△ May Lose Value

⚠ No Bank Guarantee

Important Disclosures & Disclaimers

The ACM Residential Real Estate Fund (REF) is a simulated model portfolio. All signal readings are provided for informational and educational purposes only and do not constitute investment advice or a recommendation to buy or sell any security. Signal data sourced from FRED (Federal Reserve Bank of St. Louis) and Yahoo Finance; ACM makes no representation as to the accuracy or completeness of third-party data.

The MBS spread shown is a proxy using the 30-year mortgage rate minus the 10-year Treasury yield, not a true agency MBS option-adjusted spread. SOFR is used as a margin borrowing cost proxy; actual margin rates vary by broker and account size. Quarterly earnings signals (REIT occupancy, NOI, builder margins, cancellation rates) are not available in real time and require manual monitoring via company earnings releases.