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
1.33
High Beta (Aggressive Leverage)
Annualized Alpha (α)
-9.16%
Trailing VNQ
Sharpe Ratio (vs VNQ)
-0.2 vs 0.04
-0.24 Spread
Max Drawdown (1-Yr)
-28.8% vs -11.4%
-17.4% vs VNQ
| Quantitative Risk & Return Metric | CCI | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
1.33 | 1.00 | +0.33 (High Beta (Aggressive Leverage)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
-9.16% | 0.00% (Baseline) | Trailing VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
-0.2 | 0.04 | -0.24 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
-0.21 | 0.03 | -0.24 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
35.4% | 13.9% | +21.5% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-28.8% | -11.4% | -17.4% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
-8.3% | 4.1% | -12.4% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.27 | Corr: 0.52 | 27% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
51.2% | 51.6% | -0.4% vs Benchmark |
QuantStats Analytical Synthesis: CCI displays a Beta of 1.33 relative to VNQ with 0.27 R² correlation. Annualized volatility is 35.4% (21.5% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at -9.16% (Trailing VNQ) with a Sharpe ratio of -0.20 against 0.04 for VNQ, and a maximum drawdown of -28.8%.