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
0.71
Defensive (Low Sensitivity)
Annualized Alpha (α)
+13.38%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
0.46 vs 0.04
+0.42 Spread
Max Drawdown (1-Yr)
-17.3% vs -11.4%
-5.9% vs VNQ
| Quantitative Risk & Return Metric | ALX | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.71 | 1.00 | -0.29 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+13.38% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
0.46 | 0.04 | +0.42 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
0.43 | 0.03 | +0.40 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
27.0% | 13.9% | +13.1% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-17.3% | -11.4% | -5.9% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
14.1% | 4.1% | +10.0% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.13 | Corr: 0.36 | 13% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
53.2% | 51.6% | +1.6% vs Benchmark |
QuantStats Analytical Synthesis: ALX displays a Beta of 0.71 relative to VNQ with 0.13 R² correlation. Annualized volatility is 27.0% (13.1% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +13.38% (Outperforming VNQ) with a Sharpe ratio of 0.46 against 0.04 for VNQ, and a maximum drawdown of -17.3%.