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
-0.45
Defensive (Low Sensitivity)
Annualized Alpha (α)
+68.75%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
1.05 vs 0.04
+1.01 Spread
Max Drawdown (1-Yr)
-18.1% vs -11.4%
-6.7% vs VNQ
| Quantitative Risk & Return Metric | FREVS | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
-0.45 | 1.00 | -1.45 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+68.75% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
1.05 | 0.04 | +1.01 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
1.33 | 0.03 | +1.30 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
59.0% | 13.9% | +45.1% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-18.1% | -11.4% | -6.7% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
67.5% | 4.1% | +63.4% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.01 | Corr: -0.11 | 1% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
27.2% | 51.6% | -24.4% vs Benchmark |
QuantStats Analytical Synthesis: FREVS displays a Beta of -0.45 relative to VNQ with 0.01 R² correlation. Annualized volatility is 59.0% (45.1% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +68.75% (Outperforming VNQ) with a Sharpe ratio of 1.05 against 0.04 for VNQ, and a maximum drawdown of -18.1%.