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
0.86
Index Tracking (Market Neutral)
Annualized Alpha (α)
+81.35%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
2.64 vs 0.04
+2.60 Spread
Max Drawdown (1-Yr)
-10.2% vs -11.4%
+1.2% vs VNQ
| Quantitative Risk & Return Metric | CLDT | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.86 | 1.00 | -0.14 (Index Tracking (Market Neutral)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+81.35% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
2.64 | 0.04 | +2.60 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
3.44 | 0.03 | +3.41 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
30.8% | 13.9% | +16.9% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-10.2% | -11.4% | +1.2% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
124.6% | 4.1% | +120.5% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.15 | Corr: 0.39 | 15% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
52.8% | 51.6% | +1.2% vs Benchmark |
QuantStats Analytical Synthesis: CLDT displays a Beta of 0.86 relative to VNQ with 0.15 R² correlation. Annualized volatility is 30.8% (16.8% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +81.35% (Outperforming VNQ) with a Sharpe ratio of 2.64 against 0.04 for VNQ, and a maximum drawdown of -10.2%.