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
0.54
Defensive (Low Sensitivity)
Annualized Alpha (α)
+1.01%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
-0.04 vs 0.04
-0.08 Spread
Max Drawdown (1-Yr)
-14.2% vs -11.4%
-2.8% vs VNQ
| Quantitative Risk & Return Metric | ARI | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.54 | 1.00 | -0.46 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+1.01% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
-0.04 | 0.04 | -0.08 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
-0.04 | 0.03 | -0.07 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
19.4% | 13.9% | +5.5% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-14.2% | -11.4% | -2.8% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
1.9% | 4.1% | -2.2% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.15 | Corr: 0.39 | 15% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
45.2% | 51.6% | -6.4% vs Benchmark |
QuantStats Analytical Synthesis: ARI displays a Beta of 0.54 relative to VNQ with 0.15 R² correlation. Annualized volatility is 19.4% (5.5% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +1.01% (Outperforming VNQ) with a Sharpe ratio of -0.04 against 0.04 for VNQ, and a maximum drawdown of -14.2%.