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
0.84
Defensive (Low Sensitivity)
Annualized Alpha (α)
+12.31%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
0.7 vs 0.04
+0.66 Spread
Max Drawdown (1-Yr)
-14.0% vs -11.4%
-2.6% vs VNQ
| Quantitative Risk & Return Metric | EGP | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.84 | 1.00 | -0.16 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+12.31% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
0.7 | 0.04 | +0.66 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
0.74 | 0.03 | +0.71 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
17.1% | 13.9% | +3.2% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-14.0% | -11.4% | -2.6% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
16.2% | 4.1% | +12.1% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.47 | Corr: 0.68 | 47% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
51.2% | 51.6% | -0.4% vs Benchmark |
QuantStats Analytical Synthesis: EGP displays a Beta of 0.84 relative to VNQ with 0.47 R² correlation. Annualized volatility is 17.1% (3.2% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +12.31% (Outperforming VNQ) with a Sharpe ratio of 0.70 against 0.04 for VNQ, and a maximum drawdown of -14.0%.