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
0.25
Defensive (Low Sensitivity)
Annualized Alpha (α)
+54.83%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
1.24 vs 0.04
+1.20 Spread
Max Drawdown (1-Yr)
-20.1% vs -11.4%
-8.7% vs VNQ
| Quantitative Risk & Return Metric | CXW | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.25 | 1.00 | -0.75 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+54.83% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
1.24 | 0.04 | +1.20 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
1.21 | 0.03 | +1.18 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
41.7% | 13.9% | +27.8% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-20.1% | -11.4% | -8.7% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
60.6% | 4.1% | +56.5% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.01 | Corr: 0.09 | 1% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
53.6% | 51.6% | +2.0% vs Benchmark |
QuantStats Analytical Synthesis: CXW displays a Beta of 0.25 relative to VNQ with 0.01 R² correlation. Annualized volatility is 41.7% (27.8% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +54.83% (Outperforming VNQ) with a Sharpe ratio of 1.24 against 0.04 for VNQ, and a maximum drawdown of -20.1%.