Quantitative Risk & Benchmark Performance (QuantStats • VNQ)
Empirical 252-day trading window compared to Vanguard Real Estate ETF (VNQ) benchmark
METHODOLOGY: QUANTSTATS / CAPM
Beta vs VNQ
0.67
Defensive (Low Sensitivity)
Annualized Alpha (α)
-62.12%
Trailing VNQ
Sharpe Ratio (vs VNQ)
-2.9 vs 0.04
-2.94 Spread
Max Drawdown (1-Yr)
-48.6% vs -11.4%
-37.2% vs VNQ
| Quantitative Risk & Return Metric | AIV | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.67 | 1.00 | -0.33 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
-62.12% | 0.00% (Baseline) | Trailing VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
-2.9 | 0.04 | -2.94 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
-2.57 | 0.03 | -2.60 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
21.8% | 13.9% | +7.9% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-48.6% | -11.4% | -37.2% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
-45.8% | 4.1% | -49.9% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.18 | Corr: 0.43 | 18% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
37.2% | 51.6% | -14.4% vs Benchmark |
QuantStats Analytical Synthesis: AIV displays a Beta of 0.67 relative to VNQ with 0.18 R² correlation. Annualized volatility is 21.8% (7.9% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at -62.12% (Trailing VNQ) with a Sharpe ratio of -2.90 against 0.04 for VNQ, and a maximum drawdown of -48.6%.