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
1.16
High Beta (Aggressive Leverage)
Annualized Alpha (α)
+7.45%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
0.26 vs 0.04
+0.22 Spread
Max Drawdown (1-Yr)
-25.1% vs -11.4%
-13.7% vs VNQ
| Quantitative Risk & Return Metric | IRM | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
1.16 | 1.00 | +0.16 (High Beta (Aggressive Leverage)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+7.45% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
0.26 | 0.04 | +0.22 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
0.26 | 0.03 | +0.23 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
33.1% | 13.9% | +19.2% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-25.1% | -11.4% | -13.7% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
8.1% | 4.1% | +4.0% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.24 | Corr: 0.49 | 24% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
52.8% | 51.6% | +1.2% vs Benchmark |
QuantStats Analytical Synthesis: IRM displays a Beta of 1.16 relative to VNQ with 0.24 R² correlation. Annualized volatility is 33.1% (19.2% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +7.45% (Outperforming VNQ) with a Sharpe ratio of 0.26 against 0.04 for VNQ, and a maximum drawdown of -25.1%.