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
0.75
Defensive (Low Sensitivity)
Annualized Alpha (α)
+58.56%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
2.0 vs 0.04
+1.96 Spread
Max Drawdown (1-Yr)
-19.4% vs -11.4%
-8.0% vs VNQ
| Quantitative Risk & Return Metric | CBL | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.75 | 1.00 | -0.25 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+58.56% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
2.0 | 0.04 | +1.96 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
2.01 | 0.03 | +1.98 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
29.0% | 13.9% | +15.1% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-19.4% | -11.4% | -8.0% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
78.7% | 4.1% | +74.6% 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
|
57.2% | 51.6% | +5.6% vs Benchmark |
QuantStats Analytical Synthesis: CBL displays a Beta of 0.75 relative to VNQ with 0.13 R² correlation. Annualized volatility is 29.0% (15.0% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +58.56% (Outperforming VNQ) with a Sharpe ratio of 2.00 against 0.04 for VNQ, and a maximum drawdown of -19.4%.