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
0.04
Defensive (Low Sensitivity)
Annualized Alpha (α)
+38.78%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
1.6 vs -4.25
+5.85 Spread
Max Drawdown (1-Yr)
-6.2% vs -10.9%
+4.7% vs VNQ
| Quantitative Risk & Return Metric | GBCS | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.04 | 1.00 | -0.96 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+38.78% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
1.6 | -4.25 | +5.85 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
1.81 | -4.52 | +6.33 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
20.4% | 11.3% | +9.1% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-6.2% | -10.9% | +4.7% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
42.1% | -35.6% | +77.7% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.0 | Corr: 0.02 | 0% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
23.2% | 30.4% | -7.2% vs Benchmark |
QuantStats Analytical Synthesis: GBCS displays a Beta of 0.04 relative to VNQ with 0.00 R² correlation. Annualized volatility is 20.4% (9.2% higher than VNQ at 11.3%). Trailing 12-month Alpha stands at +38.78% (Outperforming VNQ) with a Sharpe ratio of 1.60 against -4.25 for VNQ, and a maximum drawdown of -6.2%.