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
1.74
High Beta (Aggressive Leverage)
Annualized Alpha (α)
-50.02%
Trailing VNQ
Sharpe Ratio (vs VNQ)
-0.95 vs 0.04
-0.99 Spread
Max Drawdown (1-Yr)
-46.5% vs -11.4%
-35.1% vs VNQ
| Quantitative Risk & Return Metric | ARE | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
1.74 | 1.00 | +0.74 (High Beta (Aggressive Leverage)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
-50.02% | 0.00% (Baseline) | Trailing VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
-0.95 | 0.04 | -0.99 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
-0.86 | 0.03 | -0.89 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
48.2% | 13.9% | +34.3% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-46.5% | -11.4% | -35.1% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
-41.3% | 4.1% | -45.4% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.25 | Corr: 0.5 | 25% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
49.6% | 51.6% | -2.0% vs Benchmark |
QuantStats Analytical Synthesis: ARE displays a Beta of 1.74 relative to VNQ with 0.25 R² correlation. Annualized volatility is 48.2% (34.3% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at -50.02% (Trailing VNQ) with a Sharpe ratio of -0.95 against 0.04 for VNQ, and a maximum drawdown of -46.5%.