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
0.82
Defensive (Low Sensitivity)
Annualized Alpha (α)
+6.77%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
0.31 vs 0.04
+0.27 Spread
Max Drawdown (1-Yr)
-14.7% vs -11.4%
-3.3% vs VNQ
| Quantitative Risk & Return Metric | DEA | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.82 | 1.00 | -0.18 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+6.77% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
0.31 | 0.04 | +0.27 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
0.31 | 0.03 | +0.28 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
20.7% | 13.9% | +6.8% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-14.7% | -11.4% | -3.3% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
9.1% | 4.1% | +5.0% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.3 | Corr: 0.55 | 30% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
52.0% | 51.6% | +0.4% vs Benchmark |
QuantStats Analytical Synthesis: DEA displays a Beta of 0.82 relative to VNQ with 0.30 R² correlation. Annualized volatility is 20.7% (6.7% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +6.77% (Outperforming VNQ) with a Sharpe ratio of 0.31 against 0.04 for VNQ, and a maximum drawdown of -14.7%.