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
1.38
High Beta (Aggressive Leverage)
Annualized Alpha (α)
+2488.34%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
2.21 vs 0.04
+2.17 Spread
Max Drawdown (1-Yr)
-99.2% vs -11.4%
-87.8% vs VNQ
| Quantitative Risk & Return Metric | KBSR | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
1.38 | 1.00 | +0.38 (High Beta (Aggressive Leverage)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+2488.34% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
2.21 | 0.04 | +2.17 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
2.81 | 0.03 | +2.78 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
1129.1% | 13.9% | +1115.2% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-99.2% | -11.4% | -87.8% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
-96.8% | 4.1% | -100.9% 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
|
7.2% | 51.6% | -44.4% vs Benchmark |
QuantStats Analytical Synthesis: KBSR displays a Beta of 1.38 relative to VNQ with 0.00 R² correlation. Annualized volatility is 1129.1% (1115.2% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +2488.34% (Outperforming VNQ) with a Sharpe ratio of 2.21 against 0.04 for VNQ, and a maximum drawdown of -99.2%.