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
1.21
High Beta (Aggressive Leverage)
Annualized Alpha (α)
-2.50%
Trailing VNQ
Sharpe Ratio (vs VNQ)
-0.04 vs 0.04
-0.08 Spread
Max Drawdown (1-Yr)
-15.2% vs -11.4%
-3.8% vs VNQ
| Quantitative Risk & Return Metric | CUBE | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
1.21 | 1.00 | +0.21 (High Beta (Aggressive Leverage)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
-2.50% | 0.00% (Baseline) | Trailing VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
-0.04 | 0.04 | -0.08 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
-0.05 | 0.03 | -0.08 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
22.1% | 13.9% | +8.2% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-15.2% | -11.4% | -3.8% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
1.1% | 4.1% | -3.0% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.58 | Corr: 0.76 | 58% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
49.6% | 51.6% | -2.0% vs Benchmark |
QuantStats Analytical Synthesis: CUBE displays a Beta of 1.21 relative to VNQ with 0.58 R² correlation. Annualized volatility is 22.1% (8.2% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at -2.50% (Trailing VNQ) with a Sharpe ratio of -0.04 against 0.04 for VNQ, and a maximum drawdown of -15.2%.