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
-0.1
Defensive (Low Sensitivity)
Annualized Alpha (α)
+1.25%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
-0.13 vs 0.04
-0.17 Spread
Max Drawdown (1-Yr)
-25.3% vs -11.4%
-13.9% vs VNQ
| Quantitative Risk & Return Metric | CDR-PB | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
-0.1 | 1.00 | -1.10 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+1.25% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
-0.13 | 0.04 | -0.17 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
-0.13 | 0.03 | -0.16 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
29.3% | 13.9% | +15.4% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-25.3% | -11.4% | -13.9% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
-3.4% | 4.1% | -7.5% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.0 | Corr: -0.05 | 0% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
41.6% | 51.6% | -10.0% vs Benchmark |
QuantStats Analytical Synthesis: CDR-PB displays a Beta of -0.10 relative to VNQ with 0.00 R² correlation. Annualized volatility is 29.3% (15.4% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +1.25% (Outperforming VNQ) with a Sharpe ratio of -0.13 against 0.04 for VNQ, and a maximum drawdown of -25.3%.