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
-0.12
Defensive (Low Sensitivity)
Annualized Alpha (α)
+21.55%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
1.07 vs -0.03
+1.10 Spread
Max Drawdown (1-Yr)
-6.5% vs -11.4%
+4.9% vs VNQ
| Quantitative Risk & Return Metric | CFTR-PA | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
-0.12 | 1.00 | -1.12 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+21.55% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
1.07 | -0.03 | +1.10 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
1.1 | -0.03 | +1.13 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
15.4% | 14.3% | +1.1% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-6.5% | -11.4% | +4.9% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
22.0% | 3.1% | +18.9% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.01 | Corr: -0.11 | 1% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
49.6% | 47.4% | +2.2% vs Benchmark |
QuantStats Analytical Synthesis: CFTR-PA displays a Beta of -0.12 relative to VNQ with 0.01 R² correlation. Annualized volatility is 15.4% (1.2% higher than VNQ at 14.3%). Trailing 12-month Alpha stands at +21.55% (Outperforming VNQ) with a Sharpe ratio of 1.07 against -0.03 for VNQ, and a maximum drawdown of -6.5%.