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
0.64
Defensive (Low Sensitivity)
Annualized Alpha (α)
+5.40%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
0.25 vs 0.04
+0.21 Spread
Max Drawdown (1-Yr)
-19.5% vs -11.4%
-8.1% vs VNQ
| Quantitative Risk & Return Metric | IVT | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.64 | 1.00 | -0.36 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+5.40% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
0.25 | 0.04 | +0.21 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
0.27 | 0.03 | +0.24 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
16.5% | 13.9% | +2.6% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-19.5% | -11.4% | -8.1% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
7.5% | 4.1% | +3.4% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.29 | Corr: 0.54 | 29% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
47.2% | 51.6% | -4.4% vs Benchmark |
QuantStats Analytical Synthesis: IVT displays a Beta of 0.64 relative to VNQ with 0.29 R² correlation. Annualized volatility is 16.5% (2.6% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +5.40% (Outperforming VNQ) with a Sharpe ratio of 0.25 against 0.04 for VNQ, and a maximum drawdown of -19.5%.