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
1.27
High Beta (Aggressive Leverage)
Annualized Alpha (α)
+15.68%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
0.39 vs 0.04
+0.35 Spread
Max Drawdown (1-Yr)
-28.1% vs -11.4%
-16.7% vs VNQ
| Quantitative Risk & Return Metric | COLD | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
1.27 | 1.00 | +0.27 (High Beta (Aggressive Leverage)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+15.68% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
0.39 | 0.04 | +0.35 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
0.46 | 0.03 | +0.43 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
44.8% | 13.9% | +30.9% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-28.1% | -11.4% | -16.7% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
13.1% | 4.1% | +9.0% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.16 | Corr: 0.39 | 16% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
50.8% | 51.6% | -0.8% vs Benchmark |
QuantStats Analytical Synthesis: COLD displays a Beta of 1.27 relative to VNQ with 0.16 R² correlation. Annualized volatility is 44.8% (30.9% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +15.68% (Outperforming VNQ) with a Sharpe ratio of 0.39 against 0.04 for VNQ, and a maximum drawdown of -28.1%.