ACM Residential Real Estate Fund
The ACM Residential Real Estate Fund (REF) is a professionally managed model portfolio designed to provide sophisticated investors with targeted, exclusive exposure to the U.S. residential real estate sector. By utilizing the REF model portfolio, investors gain diversified access to a broad spectrum of residential real estate assets, including mortgage-backed securities, single-family homes, rental properties, multifamily apartments — both coastal gateway and Sunbelt — manufactured housing communities, and residential land development across the United States.
Structured as a hedge fund-of-stocks-and-funds, the model REF portfolio is constructed using a blend of passively managed exchange-traded funds (ETFs), real estate investment trusts (REITs), and publicly traded homebuilder equities. The portfolio employs a balanced equal-weight strategic asset allocation that distributes capital equally across three complementary residential real estate segments: 33⅓% mortgage-backed securities (VMBS), 33⅓% equity REITs, and 33⅓% homebuilder and land developer stocks. This equal-weight structure ensures no single segment dominates performance attribution and provides maximum diversification across the entire residential housing value chain — from land acquisition and financing through construction, ownership, and occupancy. This allocation is enhanced by a tactical asset allocation overlay, which facilitates periodic rebalancing to optimize risk-adjusted returns in response to evolving market conditions.
The combination of strategic and tactical asset allocation, the fund-of-stocks-and-funds structure, high-quality underlying investments, and a dynamic hedging strategy is designed to deliver the risk-managed performance expected by investors over a suitable investment horizon.
The ACM REF is designed for sophisticated investors who require professionally managed, full-cycle exposure to the U.S. residential real estate market — and who understand that the optimal vehicle for that exposure is not a single REIT ETF or a homebuilder basket, but a risk-managed structure that spans the entire residential housing value chain. This fund is suitable for high-net-worth individuals, family offices, and institutional allocators for whom residential real estate represents a meaningful strategic allocation and who demand institutional-grade portfolio construction, transparent attribution, and defined downside controls.
This fund is not suitable for investors seeking maximum equity beta to residential real estate in a bull market. Investors with that objective can access concentrated homebuilder or REIT ETFs at lower cost. The ACM REF is built for a different mandate: to optimize the Sharpe ratio of residential real estate exposure across the full market cycle — capturing meaningful upside participation while limiting drawdown through dynamic hedging, fixed income ballast, and disciplined rebalancing. The 33.33% VMBS allocation intentionally reduces equity beta in exchange for government-backed yield stability and defensive characteristics during housing corrections. That trade-off is the defining structural attribute of this fund, and it should be evaluated accordingly.
Institutional allocators should benchmark this fund against a risk-adjusted residential real estate composite — not against pure-equity REIT indices such as REZ or sector ETFs such as ITB. The 60/40 benchmark used throughout this fund page (40% VMBS / 30% REZ / 30% XHB) is the appropriate comparator: it reflects the same asset class exposures at a passive market-cap-weighted construction, against which the ACM REF's active equal-weight allocation and dynamic hedging overlay can be fairly assessed. Comparing this fund to a pure-equity index systematically penalizes the VMBS allocation by design — a comparison that misrepresents the fund's investment mandate and understates its risk-adjusted return.
No comparable publicly accessible product combines manufactured housing exposure (SUI), pure-play residential land development (FOR), single-family rentals (AMH), Sunbelt apartments (MAA), coastal gateway apartments (EQR), agency MBS (VMBS), and three distinct homebuilder profiles (entry-level DHI, move-up PHM, luxury TOL) in a single, equal-weight, actively managed fund with no lock-up period, full portfolio transparency, and a fee rebate policy. Investors seeking this breadth of residential real estate coverage will not find it in any alternative public market vehicle.
ACM offers a flexible managed account structure wherein the investor establishes a brokerage account with a custodian of their choice and grants ACM limited discretionary trading authority to replicate the REF model portfolio. The investor retains exclusive control over deposits and withdrawals at all times. The brokerage firm provides custody, recordkeeping, compliance, and IRS tax reporting. ACM's sole function is portfolio management — we have no access to investor funds beyond the authority to execute trades.
ACM establishes separately managed accounts (SMAs) held in trust with an independent custodial banking institution selected by the investor. At this tier, ACM assumes full responsibility for investment management, front-office functions, and back-office administration — including performance reporting, attribution analysis, compliance documentation, and investor communications. The SMA structure provides complete legal separation of assets and full audit transparency.
Allocation & Holdings
The ACM REF is a fund-of-stocks-and-funds portfolio structured on an equal-weight allocation across three residential real estate segments: 33⅓% Mortgage-Backed Securities, 33⅓% Equity REITs, and 33⅓% Homebuilder & Land Securities. This balanced architecture reflects the conviction that superior long-term risk-adjusted returns are achieved through equal participation across the entire residential housing value chain. The MBS segment (VMBS) provides yield stability and government-backed principal protection; the REIT segment (EQR, AMH, MAA, SUI) delivers dividend income and property appreciation across coastal apartments (EQR), single-family rentals (AMH), Sun Belt apartments (MAA), and manufactured housing communities (SUI); the homebuilder and land segment (DHI, PHM, TOL, FOR) captures cyclical growth and, uniquely through Forestar Group, pure-play residential land development unavailable in any other fund structure. The equal-weight structure requires periodic rebalancing, which systematically enforces a buy-low/sell-high discipline across segments.
The 33.33% agency MBS position serves three simultaneous functions within this portfolio. First, it provides a current income stream through coupon distributions regardless of equity market conditions. Second, it acts as a structural hedge against the equity volatility inherent in REITs and homebuilder stocks — precisely when those segments suffer their deepest drawdowns, agency MBS benefits from a flight-to-quality bid and government backing that insulates principal. Third, and most importantly, it preserves the fund's exclusive residential real estate mandate: VMBS holds securities whose performance is directly determined by mortgage origination volumes, prepayment speeds, and housing finance conditions. Unlike a traditional 60/40 portfolio where the bond allocation has no thematic relationship to the equity allocation, the VMBS position here is economically linked to the same residential housing market driving the equity holdings — it is residential real estate fixed income, not a generic interest rate hedge. This thematic coherence is what distinguishes the ACM REF from a simple blended portfolio and justifies its classification as a dedicated residential real estate hedge fund.
Portfolio Insurance Strategy
The ACM REF model incorporates a dynamic, multi-layered portfolio insurance strategy grounded in a disciplined hedging framework. Because this portfolio is a concentrated bet on the U.S. Residential Housing Ecosystem — diversified across sub-sectors (MBS, multi-family, single-family rentals, and homebuilders) but highly sensitive to interest rates and housing affordability — the hedge must work in the opposite direction of the portfolio's long housing exposure. The core principle: to hedge a long housing portfolio, ACM must be positioned short housing or long interest rates. When the hedging strategy is active, the value of the Fund's hedge positions and its underlying securities may move in opposite directions; however, the portfolio maintains a consistently positive net delta. Under the hedging protocol, investment risk is effectively limited to the difference between the underlying security prices and the put option strike prices, adjusted for option premiums and transaction costs.
Employed when short-term residential real estate market sentiment is bearish, but long-term fundamentals remain constructive, to protect equity positions against anticipated adverse movements before they occur. ACM initiates ex-ante hedges when macro indicators — Fed rate trajectory, housing starts, mortgage application volume, or builder sentiment surveys — signal deteriorating near-term conditions.
Utilized to mitigate prepayment and extension risks within the fixed income segment, recognizing the lagged effect of macroeconomic data on mortgage-backed securities. The Fund does not hedge against default risk — underlying MBS carry explicit or implicit U.S. government guarantees. Ex-post hedges are added after a material adverse move to limit further drawdown and accelerate recovery.
Estimated annual hedging cost against 10% losses: $96,600 (9.66% of $1M AUM). Complete portfolio insurance is cost-prohibitive. ACM implements hedging only when macro and valuation metrics merit the action, targeting durations under one quarter to minimize time-decay drag (theta) on option positions.
Hedging Instruments & Implementation
ACM employs a tiered approach to hedging, selecting from five categories of instruments depending on the nature and magnitude of the risk being hedged. All nine portfolio holdings — VMBS, EQR, AMH, MAA, SUI, DHI, PHM, TOL, and FOR — are highly liquid and easy to borrow, making the full range of hedging strategies operationally viable at any time. The preferred instrument in each scenario is chosen based on cost, liquidity, precision of exposure, and risk profile.
The Fund's primary and preferred hedging instrument. A put option grants the right to sell a security at a specified strike price before expiration, with maximum loss strictly capped at the premium paid. Unlike short selling, puts require no margin account, carry no short-squeeze risk, and impose no dividend obligation. Put options are available on all major equity holdings: DHI, PHM, TOL, EQR, AMH, MAA, and SUI all carry active, liquid options chains. FOR (Forestar Group) has lower options market liquidity, and hedging it directly via puts is frequently cost-prohibitive due to wide bid-ask spreads; ACM manages FOR risk through correlated sector instruments instead.
When hedging the homebuilder segment, buying puts on ITB (iShares U.S. Home Construction ETF) is typically more capital-efficient than buying puts across four individual builders — one trade covers the full sector at tighter spreads. For a 6-month hedge on the equity segments, put premiums typically range from 3–7% of the position's notional value.
Costs of put options: (1) Premium — the upfront insurance cost, which is entirely lost if the market remains flat or rises before expiration (theta decay); (2) Slippage — the bid-ask spread on options, which is wider on lower-volume underlyings. FOR and SUI options, where available, carry meaningfully higher slippage than DHI, PHM, or TOL, making ITB puts the preferred vehicle for sector-level homebuilder protection.
ACM may sell shares of current holdings short — borrowing and selling securities it does not own in order to profit from a price decline. All portfolio equity holdings (DHI, PHM, TOL, EQR, AMH, MAA, SUI, FOR) and VMBS are sufficiently liquid that short positions can be established and unwound without material market impact. Short selling is most aggressively applied to the Homebuilder and Land Development segment (DHI, PHM, TOL, FOR), which carries the highest beta and declines fastest during a housing downturn — typically dropping more sharply and more rapidly than the REIT or MBS segments.
Costs of short selling: (1) Borrow fee — an annualized interest rate paid to the broker for the use of borrowed shares, typically below 1% per annum for these highly liquid names; (2) Dividend replacement — ACM must pay out any dividends declared on shorted shares to the lender, which is a meaningful ongoing cost given the dividend yields carried by EQR, AMH, MAA, and SUI; (3) Opportunity cost of margin — short positions require a margin account, and the collateral posted ties up capital that would otherwise earn a return elsewhere.
Because the VMBS (MBS) and REIT holdings are essentially bond proxies — their valuations are inversely and acutely sensitive to interest rate movements in either direction — a dedicated rate instrument is warranted whenever the macroeconomic environment signals a sustained directional shift in rates. ACM uses two instruments in this category depending on whether rates are rising or falling.
Rising Rate Environment — TBT (ProShares UltraShort 20+ Year Treasury): TBT gains value when long-duration interest rates rise, providing a direct hedge for the Fund's most rate-sensitive positions. This instrument is particularly effective in rate-shock environments — as demonstrated in 2022 — when VMBS and REIT positions suffer simultaneous drawdowns driven by the same underlying factor: rising rates. A TBT position established proactively — for example, as the Federal Reserve telegraphed its 2022 hiking cycle in late 2021 — would have substantially offset both drawdowns simultaneously in a single instrument. The 2022 back-test confirms this: rotating the full 33.33% VMBS allocation into TBT at cycle onset would have transformed the Fund's -22.7% annual return into an estimated +13.8%, a 36.5 percentage point swing driven entirely by a single, forecastable macro decision.
Falling Rate Environment — TMF (Direxion Daily 20+ Year Treasury Bull 3X): When a new Federal Reserve chair or dovish FOMC majority signals significant and sustained rate cuts, TBT must be exited immediately — it becomes the Fund's single largest liability in a falling-rate cycle — and TMF becomes the preferred rate amplifier. TMF delivers 3× daily exposure to long-duration Treasuries, gaining when rates fall. Because long Treasury bonds and agency MBS move in near-lockstep as duration assets, TMF provides leveraged amplification of the same tailwind that lifts VMBS and the REIT segment. In the 2019 Fed rate-cut cycle, TMF returned approximately +90% for the year as the Fed cut rates three times. In a confirmed multi-year dovish cycle with falling rates and recovering housing affordability, TMF can be held alongside an overweighted VMBS position to produce dual-engine MBS-segment returns: price appreciation on VMBS + levered duration gain on TMF.
The Mirror-Image Principle: The 2022 rate-shock playbook and the dovish-cycle playbook are structural inverses of each other. In 2022: exit VMBS, hold TBT, hedge REITs and builders. In a confirmed dovish cycle: exit TBT entirely on Day 1, overweight VMBS to 45–50%, add TMF as a rate amplifier, remove all equity hedges, and tilt within segments toward the highest-beta positions (MAA, EQR among REITs; DHI and FOR among builders). The same nine securities that suffered in 2022 are the same nine that benefit most from a sustained rate-cut environment — the only instrument that crosses over is TBT/TMF, which must be toggled with precision at every macro inflection point.
Rather than managing multiple individual short positions across eight holdings simultaneously, ACM consolidates sector-level short exposure through index instruments when warranted. Shorting ITB (iShares U.S. Home Construction ETF) covers the homebuilder segment in a single, liquid position. Shorting REZ (iShares Residential Real Estate ETF) provides broad residential REIT short exposure without requiring individual short positions in EQR, AMH, MAA, and SUI. For combined REIT and builder short exposure in a single instrument, SRS (ProShares UltraShort Real Estate) provides 2x inverse daily exposure to the broad U.S. real estate market. SRS is used selectively given the daily-reset compounding embedded in its structure, which produces tracking error against the underlying index over holding periods longer than a few weeks.
CME Case-Shiller Housing Futures are the only instrument available to hedge the physical value of U.S. residential property rather than the stock price of housing-adjacent equities. These contracts allow ACM to take short exposure to actual home price movements in specific metropolitan markets — including Miami, Los Angeles, New York, Chicago, and others — providing a direct hedge against housing affordability deterioration that no equity or fixed income instrument can replicate. This instrument is reserved for scenarios in which ACM anticipates a structural correction in home prices driven by fundamental supply-demand imbalance, as distinct from equity market volatility or interest rate movements.
In scenarios where ACM assesses elevated risk of a 2008-style credit event — characterized by a seizure in residential lending standards and a sharp pullback in construction financing — the Fund may implement a short position in the KRE (SPDR S&P Regional Banking ETF). Regional banks hold the majority of residential construction loans in the United States. When they contract lending, the pipeline for the Fund's Homebuilder & Land segment (DHI, PHM, TOL, FOR) is the first to suffer — lot acquisition stalls, construction timelines extend, and speculative inventory builds. A short KRE position therefore hedges the Fund's most credit-sensitive exposure at the systemic source rather than waiting for the equity impact to manifest in builder stock prices.
Short Selling vs. Put Options: Risk & Cost Comparison
When ACM hedges individual equity positions directly, the choice between short selling and buying put options involves a fundamental trade-off between unlimited downside risk and time-decay cost. ACM's standing policy favors put options as the primary instrument for their defined maximum loss and zero margin exposure, but short selling is employed selectively on high-beta positions during acute downturns where the cost of option premiums would be excessive.
| Risk / Cost Factor | Short Selling | Long Put Options |
|---|---|---|
| Maximum Loss | Unlimited — if housing surges, the short position loses indefinitely with no cap | Limited — maximum loss is the premium paid; cannot exceed that amount |
| Margin Requirement | High — requires a margin account; a short squeeze can force an involuntary close at a loss | Zero — no margin collateral required beyond the purchase price of the option |
| Time Decay (Theta) | None — a short position can be held indefinitely as long as borrow fees are paid | Significant — the option loses value every day; a flat market causes the hedge to expire worthless |
| Dividend Obligation | Must pay all dividends to the stock lender — a material ongoing cost given REIT dividend yields | No dividend obligation of any kind |
| Borrow Fee | Annualized fee paid to broker — typically below 1% p.a. for these highly liquid holdings | No borrow fee — options are purchased outright |
| Opportunity Cost | Margin collateral ties up cash that could otherwise earn a return | No margin posted; uninvested capital remains fully deployable |
| Slippage / Spread | Minimal for liquid names — DHI, PHM, TOL, EQR, AMH, MAA are all highly liquid | Higher on lower-volume underlyings — FOR and SUI options carry wider bid-ask spreads |
| ACM Application | Selective — high-beta homebuilders (DHI, PHM, TOL, FOR) during acute housing downturns | Primary instrument — preferred for all hedging scenarios due to defined risk and zero margin exposure |
Direct Hedging of Underlying Securities
The most precise way for ACM to reduce portfolio risk is to act directly on the securities the Fund already owns — either by purchasing put options on those holdings or by short selling them. Both methods create an offsetting position against the exact same asset generating the risk, meaning the hedge tracks the exposure with maximum fidelity. There is no basis risk from using a proxy instrument that only partially correlates with the underlying position.
When ACM buys a put option on a current holding — for example, a put on DHI — it purchases the contractual right to sell that position at a defined strike price before expiration. If DHI falls below the strike, the put gains value, directly offsetting the loss on the long position. The Fund continues to benefit from any upside above the strike. The cost of this protection is the premium paid, which functions identically to an insurance premium: it is expensed if the adverse move never materializes, and it pays off when it does. This is ACM's preferred approach because the maximum loss is known at the time of the trade, no margin account is implicated, and the long position remains intact and eligible for dividends.
When ACM short sells a current holding — for example, borrowing and selling shares of EQR — it creates a position that gains value as EQR declines, directly offsetting the long exposure. The mechanics require borrowing shares from a broker-dealer, selling them in the open market, and eventually repurchasing them to close. Short selling requires a margin account, exposes the Fund to theoretically unlimited loss if the security rises sharply, and obligates ACM to pay any dividends declared on the borrowed shares to the lender. Despite these costs and risks, short selling carries no time decay — unlike options, a short position does not erode in value simply because time passes — making it the more efficient choice for hedges expected to be held for extended periods when option premium costs would become prohibitive.
Tactical Allocation & Expanded Hedging Universe
Beyond the Fund's nine core holdings, ACM's tactical asset allocation overlay permits the use of additional publicly traded securities that provide concentrated or amplified exposure to the U.S. residential real estate market. These instruments are not permanent portfolio holdings — they are deployed tactically when market conditions create opportunities or risks that cannot be efficiently addressed through the Fund's existing positions alone. The same logic that justifies owning these securities long also makes them effective hedging vehicles when held short or via put options.
The five instruments described below are not permanent holdings in the ACM REF core portfolio. They are tactical hedging and amplification vehicles — each one targeting a distinct layer of residential real estate risk or return that the core nine holdings cannot efficiently capture alone. ACM deploys these instruments selectively, governed by its macro and valuation framework, and rebalances back to the strategic equal-weight allocation once the tactical condition resolves. Together they cover every major dimension of housing market risk and opportunity: equity price risk, interest rate risk in both directions, physical home price risk, sector-level homebuilder risk, and residential credit risk.
Dovish Fed Cycle — Tactical Rotation Playbook
When a new Federal Reserve chair is confirmed or the FOMC signals a sustained, significant rate-cutting cycle, the Fund's tactical overlay executes a specific rotation that mirrors the inverse of the 2022 rate-shock playbook. In a falling-rate environment, every segment of the ACM REF benefits simultaneously — VMBS appreciates as a duration asset, REITs reprice higher as cap rate spreads narrow and dividend yields become more attractive relative to Treasuries, and homebuilders rally as mortgage affordability improves and housing demand accelerates. The tactical overlay is designed to maximize participation in this synchronized upside rather than merely protect against downside.
- TBT — zero weight; becomes the Fund's largest liability in a falling-rate cycle
- ITB puts — let expire or sell to close; homebuilders are going up
- REZ short — cover immediately; REITs are going up
- KRE short — cover; banks rally in a soft-landing easing environment
- VMBS overweight to 45–50% — dual return engine: price appreciation + coupon income
- TMF 10–15% of MBS sleeve — 3× duration amplifier
- VMBS margin 1.3–1.4× — borrow cost declines as cuts progress
- MBB calls (6–12 mo) — defined-risk upside leverage on MBS price rally
- Overweight MAA & EQR — highest rate sensitivity; largest multiple re-rating on cuts
- Hold AMH — single-family rental benefits from demand surge as buyers re-enter market
- Trim SUI slightly — most defensive; lowest beta to rate cuts; weakest early-cycle bounce
- Overweight DHI — entry-level; first and largest beneficiary of affordability recovery
- Overweight FOR — land is the scarcest input; highest margin expansion in a demand surge
- Hold PHM — move-up buyer market re-opens quickly as rates fall
- Moderate TOL — luxury/jumbo market recovers mid-cycle as jumbo rates normalize
TBT seeks to deliver 2x the inverse daily performance of the ICE U.S. Treasury 20+ Year Bond Index. When long-duration interest rates rise, TBT gains value — making it a direct hedge against the Fund's most rate-sensitive positions. The ACM REF holds VMBS (33.33% of the portfolio), which behaves as a bond proxy: its price falls when interest rates rise and prepayment speeds shift. The four REIT holdings (EQR, AMH, MAA, SUI) are similarly rate-sensitive because their valuations are driven by capitalization rates that expand as the risk-free rate rises, compressing net asset values and price-to-FFO multiples.
By holding TBT tactically, ACM creates a position that appreciates in the same rate environment that causes the VMBS and REIT segments to decline — a genuine inverse correlation hedge rather than a proxy or approximation. The 2022 rate-shock cycle demonstrated this precisely: the Fed funds rate rose from 0.25% to 4.50% in twelve months, VMBS fell approximately 11.75%, and residential REITs declined 25–35%. A TBT position established ahead of that cycle — replacing the full VMBS allocation at the first clear Fed signal — would have converted the Fund's -22.7% annual return into an estimated +13.8%, a 36.5 percentage point improvement from a single proactive macro decision.
Critical Exit Discipline — Dovish Pivot: TBT must be exited immediately when a new Federal Reserve chair is confirmed with an explicit mandate to cut rates significantly, or when the FOMC signals a sustained dovish pivot. In a falling-rate environment, TBT is the Fund's single largest liability — it loses value as rates decline, compounding daily against the Fund. The same Fed signal that makes TBT indispensable in a tightening cycle makes it toxic in an easing cycle. ACM's standing policy is to hold zero TBT exposure once a multi-year rate-cut trajectory is confirmed, rotating that allocation back into VMBS (which benefits from falling rates) or into TMF (which amplifies the duration tailwind with 3× leverage).
ITB tracks an index of U.S. companies engaged in residential home construction, including D.R. Horton, Lennar, PulteGroup, Toll Brothers, and NVR — making it a near-perfect proxy for the Fund's homebuilder segment (DHI, PHM, TOL, FOR). Rather than managing four separate short positions or buying puts on four individual builders, a single short position in ITB or a single ITB put hedge covers the entire homebuilder segment in one trade, at tighter bid-ask spreads than any individual builder option chain except DHI.
ITB is particularly important for hedging Forestar Group (FOR), which has thin options liquidity and no practical put market. Because FOR is approximately 75% owned by D.R. Horton and its land development pipeline is directly correlated with DHI's production volume, a short ITB position captures FOR's downside risk with high fidelity through its DHI and builder-sector exposure. ITB can also be held long tactically when ACM wishes to overweight the homebuilder segment above 33.33% without adding individual security concentration risk.
REZ tracks the FTSE NAREIT All Residential Capped Index, holding apartment REITs, manufactured housing REITs, and single-family rental REITs — an index that maps directly onto the Fund's REIT segment (EQR, AMH, MAA, SUI). A short position in REZ hedges all four REIT holdings simultaneously without requiring ACM to manage four individual short positions, pay four separate dividend replacement streams, or maintain four separate borrow arrangements with the prime broker.
REZ is also the Fund's benchmark component for the REIT segment (the composite benchmark uses 30% REZ). This dual role — benchmark and tactical hedge vehicle — makes REZ the most analytically coherent hedge for the REIT segment: a short REZ position is, in effect, a short against the very index the REIT holdings are measured against, providing a clean and auditable hedge attribution. REZ can equally be held long tactically to increase REIT exposure above 33.33% without adding individual stock concentration.
CME Case-Shiller Housing Futures are the only instrument in existence that hedges against the actual price of U.S. residential real estate, as opposed to the stock price of companies involved in the housing market. All other hedging instruments in ACM's toolkit — puts on DHI, a short in REZ, a position in TBT — are equity or fixed income instruments whose correlation with physical home prices is real but indirect. A short position in Case-Shiller futures is a direct economic bet that home prices in the specified metropolitan area will decline.
Contracts are available for ten major U.S. metropolitan markets — Boston, Chicago, Denver, Las Vegas, Los Angeles, Miami, New York, San Diego, San Francisco, and Washington D.C. — as well as a national composite index. Each contract settles against the published S&P/Case-Shiller Home Price Index for that city. For the ACM REF, which owns assets whose performance is tied to home prices nationally and in major metros, a short futures position in the national composite or in specific markets where REIT and builder exposure is concentrated provides a hedge that no equity instrument can replicate.
This instrument is reserved for scenarios in which ACM identifies a structural, fundamental overvaluation of home prices — driven by affordability exhaustion, credit tightening, or supply-demand normalization — rather than equity market volatility or interest rate movements alone. It is the appropriate hedge when the thesis is that physical property values will fall, not merely that housing stocks will reprice.
KRE tracks the S&P Regional Banks Select Industry Index, representing the U.S. regional banking sector. Regional banks are the primary source of residential construction financing in the United States — they originate and hold the majority of acquisition, development, and construction (ADC) loans that fund the land purchases and homebuilding activity underpinning the Fund's Homebuilder & Land segment (DHI, PHM, TOL, FOR). When regional banks tighten lending standards, raise underwriting hurdles, or face capital pressure, the residential construction pipeline contracts — directly and with a short lag — suppressing new home starts, lot absorption rates, and ultimately builder revenue.
A short position in KRE hedges this credit transmission channel at its source. Rather than waiting for tighter lending to flow through to reduced builder earnings over one or two reporting cycles, a short KRE position profits from the same financial stress that will ultimately impair the homebuilder segment — providing an early-cycle hedge before the equity market prices the construction lending contraction into builder stocks. This is the instrument of choice in a 2008-style credit event scenario, where a systemic pullback in residential lending creates cascading pressure across the entire Fund — not just the builder segment, but REIT financing costs and MBS credit spreads as well.
TMF delivers 3× daily exposure to the ICE U.S. Treasury 20+ Year Bond Index — the mirror image of TBT, deployed in falling-rate environments rather than rising ones. When a new Federal Reserve chair is confirmed with an explicit dovish mandate, or when the FOMC signals a multi-year rate-cut trajectory, ACM rotates out of TBT on Day 1 and may deploy TMF alongside an overweighted VMBS position to amplify the MBS-segment tailwind. Long Treasury bonds and agency MBS move in near-lockstep as duration assets — when rates fall, both appreciate. TMF amplifies that appreciation with 3× leverage, compounding the price gain on the duration component of the MBS position.
In the 2019 Fed rate-cut cycle — three cuts totaling 75 basis points — TMF returned approximately +90% for the calendar year. In a confirmed multi-year dovish cycle with the federal funds rate declining significantly from elevated levels, the return profile for TMF over the cutting period is substantially larger, as the starting rate level determines the magnitude of the bond price move. ACM sizes the TMF position at 10–15% of the MBS sleeve, holding it alongside a margin-leveraged VMBS position to create a dual-engine MBS segment: income + price appreciation from VMBS, and leveraged duration gain from TMF.
Key Risk: Like TBT, TMF uses a daily-reset structure that produces compounding drag in volatile, range-bound markets. It performs best when rates fall in a sustained, low-volatility trend — which a clearly telegraphed, multi-year dovish cycle tends to produce. ACM does not hold TMF as a long-term position; it is deployed tactically during confirmed easing cycles and exited as the rate-cut cycle approaches its end.
In a confirmed dovish rate-cut environment, VMBS transforms from the Fund's defensive ballast into its highest-conviction income-and-appreciation engine. Falling rates produce price appreciation on existing MBS holdings (duration gain) while the coupon income stream continues. To amplify this dual return, ACM can lever the VMBS position through two complementary mechanisms permitted under the Fund's governing documents ("Leverage: Available; Typically None").
VMBS is an agency MBS ETF backed by government-guaranteed mortgages — among the most margin-eligible fixed income instruments at prime brokers. Typical margin requirement is 10–25%, enabling a 1.3× to 1.5× levered VMBS position. In a rate-cut cycle where VMBS generates 8–12% on price plus income, 1.4× leverage converts that into approximately 11–17% on deployed capital before borrowing cost. Critically, the borrowing cost falls alongside the Fed funds rate as the cut cycle progresses — the cost of leverage declines precisely as the trade works in the Fund's favor. ACM targets 1.3×–1.4× leverage on VMBS in confirmed dovish cycles, staying well below the margin call threshold to avoid forced liquidation during temporary rate volatility.
MBB (iShares MBS ETF) is the most liquid equivalent to VMBS in the options market, with an active chain of strikes and maturities. Buying out-of-the-money calls on MBB provides 3× to 5× effective leverage on the MBS price appreciation component of a rate-cut cycle, with maximum loss strictly capped at the premium paid — zero margin call risk. A 6–12 month call struck slightly out of the money, established at the confirmed dovish pivot, participates fully in the bond price rally as rates fall. This instrument fits directly within the Fund's stated derivatives framework ("Long-only Risk Managed Put Options") — calls are the exact structural inverse of puts, applied to the upside rather than the downside. The call option hedge also serves as a natural replacement for ITB or REZ puts that are unwound as the dovish cycle removes the need for equity-segment downside protection.
In a clearly telegraphed multi-year easing cycle, implied volatility on MBB calls tends to be low at cycle onset — precisely when the expected move is largest and the calls are cheapest. This asymmetry makes call options on MBB the highest-conviction leverage instrument at the beginning of a confirmed dovish pivot.
Effective MBS-segment exposure: approximately 1.6×–1.8× in a confirmed, sustained rate-cut environment.
Taken together, these five instruments cover every distinct layer of risk facing the ACM REF: TBT hedges the interest rate sensitivity of VMBS and REITs in rising-rate environments; TMF amplifies MBS and REIT performance in falling-rate environments while VMBS margin leverage compounds the income-and-appreciation tailwind; ITB provides a single-trade hedge for the entire homebuilder and land segment; REZ covers the REIT segment without managing four individual short positions; CME Case-Shiller Futures hedge the physical home price risk that no equity instrument reaches; and KRE short addresses the credit transmission channel that links regional bank stress to builder and developer distress. ACM's tactical allocation framework governs when each instrument is activated, in what size, and for how long — always with the objective of protecting the portfolio against material downside while preserving the ability to participate fully in the long-term appreciation of U.S. residential real estate.
Hedging Liquidity by Security
The table below assesses the practical liquidity of both hedging methods — short selling and put options — for each of the Fund's nine core holdings. Liquidity determines execution quality: a liquid hedge can be established and closed quickly at tight spreads; an illiquid hedge may require wider spreads, smaller position sizes, or substitution with a correlated proxy instrument.
| Security | Segment | Short Sell Feasibility |
Short Sell Borrow Cost |
Put Options Availability |
Options Liquidity |
ACM Preferred Hedge Method |
|---|---|---|---|---|---|---|
| VMBS Vanguard MBS ETF |
MBS | ✓ Easy | < 0.25% p.a. | Limited | Low | TBT (rate inverse ETF) — more effective than direct VMBS hedge |
| EQR Equity Residential |
REIT | ✓ Easy | < 0.50% p.a. | ✓ Active | High | Put options preferred; short viable but dividend replacement is costly |
| AMH American Homes 4 Rent |
REIT | ✓ Easy | < 0.75% p.a. | ✓ Active | Moderate | Put options preferred; REZ short as efficient proxy for REIT segment hedge |
| MAA Mid-America Apartment |
REIT | ✓ Easy | < 0.50% p.a. | ✓ Active | Moderate | Put options preferred; short viable but dividend replacement is an ongoing cost |
| SUI Sun Communities |
REIT | ✓ Easy | < 0.75% p.a. | ⚠ Available | Low–Mod | Short selling preferred over puts — SUI options spreads are wide; REZ short as alternative |
| DHI D.R. Horton |
Builder | ✓ Easy | < 0.50% p.a. | ✓ Active | High | Either method viable — DHI is the most liquid builder; ITB puts cover DHI implicitly |
| PHM PulteGroup |
Builder | ✓ Easy | < 0.50% p.a. | ✓ Active | High | Put options preferred; ITB puts serve as efficient proxy for all four builders |
| TOL Toll Brothers |
Builder | ✓ Easy | < 0.50% p.a. | ✓ Active | Moderate | Put options preferred; ITB puts serve as efficient proxy for all four builders |
| FOR Forestar Group |
Land Dev. | ✓ Easy | < 1.00% p.a. | ⚠ Thin | Low | Short selling preferred — FOR options are illiquid with wide spreads; ITB short as proxy alternative |
Borrow cost estimates are indicative for normal market conditions. Costs may rise significantly during acute housing market stress when short interest is elevated. Options liquidity assessed by average daily volume of near-the-money contracts. ACM preferred method reflects standing policy under typical conditions and may vary based on pricing at the time of hedge implementation.
Put Options vs. Short Selling: Pros & Cons
Neither instrument is universally superior — each has structural advantages that make it the better choice in specific market conditions, holding periods, and cost environments. ACM selects between them on a case-by-case basis at the time of hedge implementation, guided by current option premium levels, implied volatility, borrow availability, dividend calendars, and the expected duration of the hedge.
- Defined maximum loss — the premium paid is the absolute worst-case outcome; no surprise losses regardless of how far prices move against the position
- No margin required — puts are purchased outright with no collateral, margin call risk, or forced liquidation
- No dividend obligation — the Fund continues to receive dividends on its long holdings unimpeded
- Asymmetric upside preserved — if the underlying rises, the long position profits while the put simply expires; the Fund participates fully above the strike
- Strike price precision — ACM can select exactly the price level at which protection begins, tailoring the hedge to the specific loss threshold it is managing against
- No short-squeeze risk — options cannot be called back by a lender; the position is contractually guaranteed through expiration
- Time decay (theta) — options lose value every day they are held, even if the underlying is unchanged; a flat or slowly declining market can cause the hedge to expire worthless
- Premium cost — a 6-month hedge on the equity segment typically costs 3–7% of notional value; in high-volatility environments, implied volatility inflates premiums precisely when hedges are most needed
- Expiration constraint — puts have a fixed life; if the adverse move occurs after expiration, the hedge has already lapsed and must be renewed at then-current pricing
- Bid-ask slippage — options markets are less liquid than equity markets; FOR and SUI in particular carry wide spreads that erode the effective cost of protection
- No time decay — a short position can be held indefinitely without erosion simply from the passage of time; there is no expiration date forcing a decision
- No premium cost — the hedge is established by borrowing and selling shares; no upfront insurance premium is paid
- Dollar-for-dollar precision — the short position offsets the long exposure on a one-to-one basis without strike price constraints or delta decay
- Low borrow cost for liquid names — borrow fees on DHI, PHM, TOL, EQR, AMH, MAA, and SUI are typically below 1% per annum under normal conditions, making this the most cost-efficient hedge for extended holding periods
- Effective on FOR — where options are illiquid, short selling is the only direct hedging method available for the Forestar position
- Unlimited loss potential — if the shorted security rises sharply, losses are theoretically unbounded; a 50% rally in DHI or PHM doubles the loss on the short without any cap
- Margin requirement — short positions require a margin account and ongoing collateral; a short squeeze can force involuntary liquidation at an unfavorable price
- Dividend obligation — ACM must pay any dividends declared on borrowed shares to the lender, which is a significant and recurring cost on REIT shorts given EQR, AMH, MAA, and SUI all pay substantial quarterly dividends
- Recall risk — the broker-dealer lending the shares retains the right to recall them at any time; if shares are recalled during an active hedge, ACM must close the position regardless of market conditions
- Borrow cost volatility — while borrow fees are low under normal conditions, they can spike dramatically during market stress when short interest surges and available float shrinks
Growth of $1,000 — 2010 Through 2025
Hypothetical growth of a $1,000 investment in the ACM REF model portfolio versus the 60/40 benchmark (40% VMBS + 30% REZ + 30% XHB) from January 2010 through December 2025. Based on actual ETF annual total returns with dividends reinvested — all three benchmark components have live price data from 2010 onward, so no index proxies are required. The 16-year window captures the post-financial-crisis recovery, the 2022 interest rate shock, and the post-COVID housing boom, providing a complete picture of the portfolio's behavior across multiple distinct rate and housing market cycles.
Calendar Year Performance
Annual total returns for the ACM REF model portfolio (33.33% MBS / 33.33% REITs / 33.33% Builders & Land) versus the 60/40 benchmark (40% VMBS + 30% REZ + 30% XHB), 2010–2025. Based on actual ETF and security annual total returns with dividends reinvested. The fund's equal-weight structure tends to outperform in balanced market environments and exhibit moderate volatility relative to a pure-equity residential real estate portfolio.
| Year | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ACM REF | +23.3% | +3.9% | +36.8% | +19.7% | +12.6% | +5.8% | +14.9% | +30.8% | -8.0% | +45.8% | +19.6% | +35.5% | -22.7% | +26.3% | +12.4% | -0.1% |
| Benchmark | +22.8% | +3.7% | +35.0% | +17.3% | +12.5% | +10.4% | +10.3% | +26.4% | -10.7% | +42.3% | +16.2% | +31.5% | -23.0% | +23.5% | +10.9% | -0.1% |
| Alpha | +0.5% | +0.2% | +1.8% | +2.4% | +0.0% | -4.6% | +4.6% | +4.5% | +2.7% | +3.5% | +3.4% | +4.0% | +0.2% | +2.9% | +1.6% | 0.0% |
* Pre-inception data (2010–2019) uses actual annual returns for all securities. Fund inception: July 2020. All benchmark ETFs (VMBS, REZ, XHB) have live price data from 2010 onward — no index proxies. FOR pre-2017 reflects diversified real estate & natural resources operations prior to DR Horton acquisition.
Rolling Return Analysis
Rolling annualized performance charts show how the portfolio return has evolved over successive periods. Each data point represents the annualized return for the trailing window ending in that year. Charts cover 2020–2025 to focus on the fund's active period.
Each bar shows the annual total return for that calendar year.
Each bar shows the annualized return for the 3-year period ending in that year.
Each bar shows the annualized return for the 5-year period ending in that year.
Attribution Analysis — As of 2026-04
The following analysis decomposes ACM REF performance relative to the 60/40 benchmark (40% VMBS / 30% REZ / 30% XHB) using the Brinson-Hood-Beebower framework. Security Selection measures value added by choosing specific securities within each asset class versus the class benchmark index: (Security Return − Benchmark Class Return) × Portfolio Weight. Asset Allocation measures the impact of over/underweighting each asset class: (Portfolio Weight − Benchmark Weight) × (Benchmark Class Return − Fund Return). All returns are annualized over the stated period and computed from live monthly price data.
| Security | Security Return (A) |
Benchmark Return (B) |
A−B | Port. Wt (D) |
Selection (A−B)×D |
|---|---|---|---|---|---|
| Mortgage-Backed Securities | |||||
| Vanguard Mortgage-Backed Securities ETF (VMBS) | +6.36% | +6.36% | +0.00% | 33.33% | +0.00% |
| Mortgage-Backed Securities Subtotal | 33.3% | +0.00% | |||
| Equity REITs | |||||
| Equity Residential (EQR) | -7.62% | +4.54% | -12.16% | 8.33% | -1.01% |
| American Homes 4 Rent (AMH) | -14.22% | +4.54% | -18.76% | 8.33% | -1.56% |
| Mid-America Apartment Communities (MAA) | -19.38% | +4.54% | -23.91% | 8.33% | -1.99% |
| Sun Communities (SUI) | +7.94% | +4.54% | +3.40% | 8.33% | +0.28% |
| Equity REITs Subtotal | 33.3% | -4.29% | |||
| Homebuilder & Land Securities | |||||
| DR Horton (DHI) | +24.92% | +12.08% | +12.84% | 8.33% | +1.07% |
| Pulte Group (PHM) | +23.18% | +12.08% | +11.10% | 8.33% | +0.93% |
| Toll Brothers (TOL) | +36.72% | +12.08% | +24.64% | 8.33% | +2.05% |
| Forestar Group (FOR) | +30.13% | +12.08% | +18.05% | 8.33% | +1.50% |
| Homebuilder & Land Securities Subtotal | 33.3% | +5.55% | |||
| Total Security Selection | +1.27% | ||||
| Security | Port. Wt (A) |
Bench. Wt (B) |
A−B (C) | Class Bench (D) |
Fund Ret (E) |
D−E (F) | Alloc C×F |
|---|---|---|---|---|---|---|---|
| Mortgage-Backed Securities | |||||||
| Vanguard Mortgage-Backed Securities ETF (VMBS) | 33.33% | 40.00% | -6.67% | +6.36% | +8.93% | -2.56% | +0.17% |
| Mortgage-Backed Securities Subtotal | +0.17% | ||||||
| Equity REITs | |||||||
| Equity Residential (EQR) | 8.33% | 7.50% | +0.83% | +4.54% | +8.93% | -4.39% | -0.04% |
| American Homes 4 Rent (AMH) | 8.33% | 7.50% | +0.83% | +4.54% | +8.93% | -4.39% | -0.04% |
| Mid-America Apartment Communities (MAA) | 8.33% | 7.50% | +0.83% | +4.54% | +8.93% | -4.39% | -0.04% |
| Sun Communities (SUI) | 8.33% | 7.50% | +0.83% | +4.54% | +8.93% | -4.39% | -0.04% |
| Equity REITs Subtotal | -0.15% | ||||||
| Homebuilder & Land Securities | |||||||
| DR Horton (DHI) | 8.33% | 7.50% | +0.83% | +12.08% | +8.93% | +3.15% | +0.03% |
| Pulte Group (PHM) | 8.33% | 7.50% | +0.83% | +12.08% | +8.93% | +3.15% | +0.03% |
| Toll Brothers (TOL) | 8.33% | 7.50% | +0.83% | +12.08% | +8.93% | +3.15% | +0.03% |
| Forestar Group (FOR) | 8.33% | 7.50% | +0.83% | +12.08% | +8.93% | +3.15% | +0.03% |
| Homebuilder & Land Securities Subtotal | +0.11% | ||||||
| Total Asset Allocation | +0.13% | ||||||
| Security | Security Return (A) |
Benchmark Return (B) |
A−B | Port. Wt (D) |
Selection (A−B)×D |
|---|---|---|---|---|---|
| Mortgage-Backed Securities | |||||
| Vanguard Mortgage-Backed Securities ETF (VMBS) | +2.45% | +2.45% | +0.00% | 33.33% | +0.00% |
| Mortgage-Backed Securities Subtotal | 33.3% | +0.00% | |||
| Equity REITs | |||||
| Equity Residential (EQR) | +6.82% | +7.21% | -0.39% | 8.33% | -0.03% |
| American Homes 4 Rent (AMH) | +7.77% | +7.21% | +0.56% | 8.33% | +0.05% |
| Mid-America Apartment Communities (MAA) | +8.84% | +7.21% | +1.63% | 8.33% | +0.14% |
| Sun Communities (SUI) | +7.49% | +7.21% | +0.28% | 8.33% | +0.02% |
| Equity REITs Subtotal | 33.3% | +0.17% | |||
| Homebuilder & Land Securities | |||||
| DR Horton (DHI) | +3.99% | +6.53% | -2.54% | 8.33% | -0.21% |
| Pulte Group (PHM) | +7.56% | +6.53% | +1.03% | 8.33% | +0.09% |
| Toll Brothers (TOL) | +8.82% | +6.53% | +2.28% | 8.33% | +0.19% |
| Forestar Group (FOR) | +8.56% | +6.53% | +2.03% | 8.33% | +0.17% |
| Homebuilder & Land Securities Subtotal | 33.3% | +0.23% | |||
| Total Security Selection | +0.41% | ||||
| Security | Port. Wt (A) |
Bench. Wt (B) |
A−B (C) | Class Bench (D) |
Fund Ret (E) |
D−E (F) | Alloc C×F |
|---|---|---|---|---|---|---|---|
| Mortgage-Backed Securities | |||||||
| Vanguard Mortgage-Backed Securities ETF (VMBS) | 33.33% | 40.00% | -6.67% | +2.45% | +5.80% | -3.35% | +0.22% |
| Mortgage-Backed Securities Subtotal | +0.22% | ||||||
| Equity REITs | |||||||
| Equity Residential (EQR) | 8.33% | 7.50% | +0.83% | +7.21% | +5.80% | +1.41% | +0.01% |
| American Homes 4 Rent (AMH) | 8.33% | 7.50% | +0.83% | +7.21% | +5.80% | +1.41% | +0.01% |
| Mid-America Apartment Communities (MAA) | 8.33% | 7.50% | +0.83% | +7.21% | +5.80% | +1.41% | +0.01% |
| Sun Communities (SUI) | 8.33% | 7.50% | +0.83% | +7.21% | +5.80% | +1.41% | +0.01% |
| Equity REITs Subtotal | +0.05% | ||||||
| Homebuilder & Land Securities | |||||||
| DR Horton (DHI) | 8.33% | 7.50% | +0.83% | +6.53% | +5.80% | +0.73% | +0.01% |
| Pulte Group (PHM) | 8.33% | 7.50% | +0.83% | +6.53% | +5.80% | +0.73% | +0.01% |
| Toll Brothers (TOL) | 8.33% | 7.50% | +0.83% | +6.53% | +5.80% | +0.73% | +0.01% |
| Forestar Group (FOR) | 8.33% | 7.50% | +0.83% | +6.53% | +5.80% | +0.73% | +0.01% |
| Homebuilder & Land Securities Subtotal | +0.02% | ||||||
| Total Asset Allocation | +0.29% | ||||||
| Security | Security Return (A) |
Benchmark Return (B) |
A−B | Port. Wt (D) |
Selection (A−B)×D |
|---|---|---|---|---|---|
| Mortgage-Backed Securities | |||||
| Vanguard Mortgage-Backed Securities ETF (VMBS) | -0.88% | -0.88% | +0.00% | 33.33% | +0.00% |
| Mortgage-Backed Securities Subtotal | 33.3% | +0.00% | |||
| Equity REITs | |||||
| Equity Residential (EQR) | -1.18% | -2.65% | +1.46% | 8.33% | +0.12% |
| American Homes 4 Rent (AMH) | +1.64% | -2.65% | +4.28% | 8.33% | +0.36% |
| Mid-America Apartment Communities (MAA) | -0.11% | -2.65% | +2.53% | 8.33% | +0.21% |
| Sun Communities (SUI) | -5.36% | -2.65% | -2.72% | 8.33% | -0.23% |
| Equity REITs Subtotal | 33.3% | +0.46% | |||
| Homebuilder & Land Securities | |||||
| DR Horton (DHI) | +4.15% | +6.23% | -2.08% | 8.33% | -0.17% |
| Pulte Group (PHM) | +10.32% | +6.23% | +4.09% | 8.33% | +0.34% |
| Toll Brothers (TOL) | +9.09% | +6.23% | +2.86% | 8.33% | +0.24% |
| Forestar Group (FOR) | +5.57% | +6.23% | -0.66% | 8.33% | -0.05% |
| Homebuilder & Land Securities Subtotal | 33.3% | +0.35% | |||
| Total Security Selection | +0.81% | ||||
| Security | Port. Wt (A) |
Bench. Wt (B) |
A−B (C) | Class Bench (D) |
Fund Ret (E) |
D−E (F) | Alloc C×F |
|---|---|---|---|---|---|---|---|
| Mortgage-Backed Securities | |||||||
| Vanguard Mortgage-Backed Securities ETF (VMBS) | 33.33% | 40.00% | -6.67% | -0.88% | +1.71% | -2.60% | +0.17% |
| Mortgage-Backed Securities Subtotal | +0.17% | ||||||
| Equity REITs | |||||||
| Equity Residential (EQR) | 8.33% | 7.50% | +0.83% | -2.65% | +1.71% | -4.36% | -0.04% |
| American Homes 4 Rent (AMH) | 8.33% | 7.50% | +0.83% | -2.65% | +1.71% | -4.36% | -0.04% |
| Mid-America Apartment Communities (MAA) | 8.33% | 7.50% | +0.83% | -2.65% | +1.71% | -4.36% | -0.04% |
| Sun Communities (SUI) | 8.33% | 7.50% | +0.83% | -2.65% | +1.71% | -4.36% | -0.04% |
| Equity REITs Subtotal | -0.15% | ||||||
| Homebuilder & Land Securities | |||||||
| DR Horton (DHI) | 8.33% | 7.50% | +0.83% | +6.23% | +1.71% | +4.52% | +0.04% |
| Pulte Group (PHM) | 8.33% | 7.50% | +0.83% | +6.23% | +1.71% | +4.52% | +0.04% |
| Toll Brothers (TOL) | 8.33% | 7.50% | +0.83% | +6.23% | +1.71% | +4.52% | +0.04% |
| Forestar Group (FOR) | 8.33% | 7.50% | +0.83% | +6.23% | +1.71% | +4.52% | +0.04% |
| Homebuilder & Land Securities Subtotal | +0.15% | ||||||
| Total Asset Allocation | +0.18% | ||||||
| Security | Security Return (A) |
Benchmark Return (B) |
A−B | Port. Wt (D) |
Selection (A−B)×D |
|---|---|---|---|---|---|
| Mortgage-Backed Securities | |||||
| Vanguard Mortgage-Backed Securities ETF (VMBS) | -0.16% | -0.16% | +0.00% | 33.33% | +0.00% |
| Mortgage-Backed Securities Subtotal | 33.3% | +0.00% | |||
| Equity REITs | |||||
| Equity Residential (EQR) | +3.97% | +5.37% | -1.40% | 8.33% | -0.12% |
| American Homes 4 Rent (AMH) | +11.39% | +5.37% | +6.02% | 8.33% | +0.50% |
| Mid-America Apartment Communities (MAA) | +6.28% | +5.37% | +0.91% | 8.33% | +0.08% |
| Sun Communities (SUI) | +5.96% | +5.37% | +0.59% | 8.33% | +0.05% |
| Equity REITs Subtotal | 33.3% | +0.51% | |||
| Homebuilder & Land Securities | |||||
| DR Horton (DHI) | +17.82% | +19.67% | -1.84% | 8.33% | -0.15% |
| Pulte Group (PHM) | +23.79% | +19.67% | +4.12% | 8.33% | +0.34% |
| Toll Brothers (TOL) | +22.72% | +19.67% | +3.05% | 8.33% | +0.25% |
| Forestar Group (FOR) | +19.24% | +19.67% | -0.43% | 8.33% | -0.04% |
| Homebuilder & Land Securities Subtotal | 33.3% | +0.41% | |||
| Total Security Selection | +0.92% | ||||
| Security | Port. Wt (A) |
Bench. Wt (B) |
A−B (C) | Class Bench (D) |
Fund Ret (E) |
D−E (F) | Alloc C×F |
|---|---|---|---|---|---|---|---|
| Mortgage-Backed Securities | |||||||
| Vanguard Mortgage-Backed Securities ETF (VMBS) | 33.33% | 40.00% | -6.67% | -0.16% | +9.21% | -9.37% | +0.62% |
| Mortgage-Backed Securities Subtotal | +0.62% | ||||||
| Equity REITs | |||||||
| Equity Residential (EQR) | 8.33% | 7.50% | +0.83% | +5.37% | +9.21% | -3.84% | -0.03% |
| American Homes 4 Rent (AMH) | 8.33% | 7.50% | +0.83% | +5.37% | +9.21% | -3.84% | -0.03% |
| Mid-America Apartment Communities (MAA) | 8.33% | 7.50% | +0.83% | +5.37% | +9.21% | -3.84% | -0.03% |
| Sun Communities (SUI) | 8.33% | 7.50% | +0.83% | +5.37% | +9.21% | -3.84% | -0.03% |
| Equity REITs Subtotal | -0.13% | ||||||
| Homebuilder & Land Securities | |||||||
| DR Horton (DHI) | 8.33% | 7.50% | +0.83% | +19.67% | +9.21% | +10.45% | +0.09% |
| Pulte Group (PHM) | 8.33% | 7.50% | +0.83% | +19.67% | +9.21% | +10.45% | +0.09% |
| Toll Brothers (TOL) | 8.33% | 7.50% | +0.83% | +19.67% | +9.21% | +10.45% | +0.09% |
| Forestar Group (FOR) | 8.33% | 7.50% | +0.83% | +19.67% | +9.21% | +10.45% | +0.09% |
| Homebuilder & Land Securities Subtotal | +0.35% | ||||||
| Total Asset Allocation | +0.85% | ||||||
Security Selection = (Security Return − Benchmark Class Return) × Portfolio Weight. Asset Allocation = (Portfolio Weight − Benchmark Weight) × (Benchmark Class Return − Fund Return). Benchmark class returns: MBS = VMBS, REITs = REZ, Builders & Land = XHB. Benchmark weights: VMBS 40%, REZ 30%, XHB 30%. Per-holding benchmark weight = class weight ÷ number of holdings in class. Data: Yahoo Finance monthly adjusted closes.
Risk Statistics Since Inception
About Troy Morris Adkins II
Troy Morris Adkins II is the founder and portfolio manager of Adkins Capital Management LLC, with exclusive focus on the U.S. residential real estate industry. As a thought leader and progressive hedge fund investment manager, Troy has committed to providing investors with transparent operations, comprehensive investment exposure exclusive to the residential housing industry, fully disclosed investment guidelines and performance, liquid holdings with no lock-up period, and a fee rebate policy that returns ACM's management fee in full for any calendar year in which the model REF Fund delivers a negative return.
Troy routinely conducts a copious level of qualitative and quantitative due diligence on every security in the model REF Fund and periodically conducts research across the broader residential real estate universe to determine if any portfolio changes would enhance the risk-return profile of the fund. ACM also provides analytical services to prospective home buyers, housing educational services, sell-side investment management research to institutional asset management firms, and consultancy services to federal government agencies.
- Transparent operations and fully disclosed holdings
- No lock-up period — complete liquidity at all times
- Fee rebate if calendar-year return is negative (0.25% ACM fee)
- Competitive, transparent fee structure with prepaid annual invoice
- Exclusive, comprehensive residential real estate market exposure
- Clearly defined and controlled investment risks
- Dynamic hedging to protect against material downside events
The ACM Residential Real Estate Fund (REF) is a simulated model portfolio and does not represent an actual investment fund. All performance data shown is hypothetical and based on historical market prices with dividends reinvested. Growth of $1,000 chart covers 2010–2025 using actual ETF annual returns throughout; no index proxies are used. Pre-inception data (2010–June 2020) reflects actual historical security returns but does not represent actual fund performance. Simulated results have inherent limitations and do not reflect actual trading, liquidity constraints, bid-ask spreads, or the full impact of fees and taxes.
The ACM REF employs an equal-weight allocation of 33.33% across three segments: Mortgage-Backed Securities (VMBS 33.33%), Equity REITs (EQR, AMH, MAA, SUI — 8.333% each), and Homebuilder & Land Securities (DHI, PHM, TOL, FOR — 8.333% each). American Campus Communities (ACC, taken private Aug 2022) has been replaced by Mid-America Apartment Communities (MAA), the largest Sunbelt/Southeast apartment REIT, providing a full 2000–2025 return history. UMH Properties has been replaced by Sun Communities (SUI). Forestar Group (FOR) has been added as the only publicly traded pure-play residential land developer. Benchmark: 40% VMBS + 30% REZ + 30% XHB (60% equity / 40% fixed income).
Past performance is not indicative of future results. This information is provided for educational purposes only and does not constitute an offer or solicitation to buy or sell any securities. Investing involves risk, including the possible loss of principal. ACM Expense Ratio: 0.25% per annum. Underlying expense ratios: <0.76%. The ACM management fee will be rebated in full for any calendar year in which the model REF Fund delivers a negative return.
©2020 Adkins Capital Management LLC. All rights reserved. Data refreshed every 24 hours. Last updated: April 25, 2026 at 9:50 AM EDT • Live data source: Yahoo Finance.