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
0.88
Index Tracking (Market Neutral)
Annualized Alpha (α)
+1.25%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
0.18 vs 0.35
-0.17 Spread
Max Drawdown (1-Yr)
-17.8% vs -11.6%
-6.2% vs VNQ
| Quantitative Risk & Return Metric | CDR-PB.PDF.PDF.PDF | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.88 | 1.00 | -0.12 (Index Tracking (Market Neutral)) |
|
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
|
0.18 | 0.35 | -0.17 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
0.22 | 0.42 | -0.20 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
17.5% | 14.1% | +3.4% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-17.8% | -11.6% | -6.2% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
1.8% | 4.1% | -2.3% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.52 | Corr: 0.72 | 52% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
50.8% | 51.9% | -1.1% vs Benchmark |
QuantStats Analytical Synthesis: CDR-PB.PDF.PDF.PDF displays a Beta of 0.88 relative to VNQ with 0.52 R² correlation. Annualized volatility is 17.5% (3.4% higher than VNQ at 14.1%). Trailing 12-month Alpha stands at +1.25% (Outperforming VNQ) with a Sharpe ratio of 0.18 against 0.35 for VNQ, and a maximum drawdown of -17.8%.