Brinson-Hood-Beebower Performance Attribution
The following analysis decomposes ACM REF performance relative to the 60/40 benchmark (40% VMBS / 30% REZ / 30% XHB) using the Brinson-Hood-Beebower (BHB) framework — the institutional standard for active performance decomposition. BHB separates total alpha into two independent, additive components: Security Selection and Asset Allocation. All returns are annualized over the stated period using historical annual return data for all nine holdings and three benchmark ETFs.
Measures value added by choosing specific securities within each asset class versus the class benchmark proxy. Positive = ACM holdings outperformed the relevant segment index. Class proxies: MBS = VMBS, REITs = REZ, Builders = XHB.
Measures the impact of over- or underweighting each asset class. ACM equal-weight (33/33/33) vs. benchmark 40/30/30 means ACM systematically overweights REITs and Builders, underweights MBS. This structural tilt generates allocation contribution that varies by segment performance.
Compounded Growth & Alpha Decomposition — 2020 Through 2025
The upper chart shows compounded growth of $100 invested at fund inception (2020 base = 100). The lower chart shows cumulative percentage-point alpha components accumulating year by year — how much of the fund’s outperformance came from security selection versus the structural asset allocation tilt. Both charts share the same time axis and should be read together.
Attribution Across All Periods — Grouped Comparison
All five attribution metrics across all four measurement periods simultaneously. Use this view to assess whether alpha is consistent across time horizons or concentrated in specific periods. Consistent positive Security Selection across all four periods is the strongest signal of genuine skill.
Attribution Analysis — As of 2026-04
| Security | Security Return (A) |
Class Benchmark Return (B) |
Active Return A − B |
Portfolio Weight |
Selection Contribution — bar scaled to largest position |
|---|---|---|---|---|---|
| Mortgage-Backed Securities | |||||
| VMBS Vanguard Mortgage-Backed Securities ETF | +6.36% | +6.36% | +0.00% | 33.33% | |
| Mortgage-Backed Securities subtotal | 33.3% | +0.000% | |||
| Equity REITs | |||||
| EQR Equity Residential | -7.62% | +4.54% | -12.16% | 8.33% | |
| AMH American Homes 4 Rent | -14.22% | +4.54% | -18.76% | 8.33% | |
| MAA Mid-America Apartment Communities | -19.38% | +4.54% | -23.91% | 8.33% | |
| SUI Sun Communities | +7.94% | +4.54% | +3.40% | 8.33% | |
| Equity REITs subtotal | 33.3% | -4.285% | |||
| Homebuilder & Land Securities | |||||
| DHI DR Horton | +24.92% | +12.08% | +12.84% | 8.33% | |
| PHM PulteGroup | +23.18% | +12.08% | +11.10% | 8.33% | |
| TOL Toll Brothers | +36.72% | +12.08% | +24.64% | 8.33% | |
| FOR Forestar Group | +30.13% | +12.08% | +18.05% | 8.33% | |
| Homebuilder & Land Securities subtotal | 33.3% | +5.552% | |||
| Total Security Selection Alpha | +1.27% | ||||
| Security | Portfolio Weight (A) |
Benchmark Weight (B) |
Active Weight A − B (C) |
Class Benchmark Return (D) |
Fund Return (E) |
D − E (F) |
Allocation Contribution C × F |
|---|---|---|---|---|---|---|---|
| Mortgage-Backed Securities | |||||||
| VMBS Vanguard Mortgage-Backed Securities ETF | 33.33% | 40.00% | -6.67% | +6.36% | +8.93% | -2.56% | |
| Mortgage-Backed Securities subtotal | +0.171% | ||||||
| Equity REITs | |||||||
| EQR Equity Residential | 8.33% | 7.50% | +0.83% | +4.54% | +8.93% | -4.39% | |
| AMH American Homes 4 Rent | 8.33% | 7.50% | +0.83% | +4.54% | +8.93% | -4.39% | |
| MAA Mid-America Apartment Communities | 8.33% | 7.50% | +0.83% | +4.54% | +8.93% | -4.39% | |
| SUI Sun Communities | 8.33% | 7.50% | +0.83% | +4.54% | +8.93% | -4.39% | |
| Equity REITs subtotal | -0.146% | ||||||
| Homebuilder & Land Securities | |||||||
| DHI DR Horton | 8.33% | 7.50% | +0.83% | +12.08% | +8.93% | +3.15% | |
| PHM PulteGroup | 8.33% | 7.50% | +0.83% | +12.08% | +8.93% | +3.15% | |
| TOL Toll Brothers | 8.33% | 7.50% | +0.83% | +12.08% | +8.93% | +3.15% | |
| FOR Forestar Group | 8.33% | 7.50% | +0.83% | +12.08% | +8.93% | +3.15% | |
| Homebuilder & Land Securities subtotal | +0.105% | ||||||
| Total Asset Allocation Alpha | +0.13% | ||||||
BHB Attribution: Security Selection = (Security Return − Benchmark Class Return) × Portfolio Weight. Asset Allocation = (Portfolio Weight − Benchmark Weight) × (Benchmark Class Return − Fund Return). Information Ratio = Annual Alpha ÷ Annual Tracking Error (standard deviation of annual alpha). Benchmark: VMBS 40% / REZ 30% / XHB 30%. Historical annual returns 2010–2025 with live Yahoo Finance monthly fallback.
The ACM Residential Real Estate Fund (REF) is a simulated model portfolio and does not represent an actual investment fund. All attribution data is hypothetical based on historical market prices and does not represent actual fund performance. Simulated results have inherent limitations including absence of actual trading costs, bid-ask spreads, and full fee impact.
BHB attribution computed using historical annual total returns 2010–2025 and three benchmark ETFs (VMBS, REZ, XHB). Fund inception: July 2020. Benchmark: 40% VMBS + 30% REZ + 30% XHB. Past performance is not indicative of future results. ACM Expense Ratio: 0.25% per annum.
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